I'm having some issues getting correct modified order data returned by ib_insync and I'm trying to get to the bottom of it.
As an example workflow, I place a position order and a stop order. Once the position order fills, I modify the stop order and send it.
Placed Order
Order object I transmitted to place the order:
Order(orderId=509133, action='BUY', totalQuantity=200, orderType='LIT', lmtPrice=169.97, auxPrice=169.94, tif='GTD', orderRef='position-2U-2U-1h--eid-1914--ogid-13491', goodTillDate='20240611 18:22:00 UTC', usePriceMgmtAlgo=True), Order(orderId=509134, action='SELL', totalQuantity=200, orderType='STP LMT', lmtPrice=169.83, auxPrice=169.86, orderRef='stop-2U-2U-1h--eid-1914--ogid-13491', parentId=509133, triggerMethod=4, usePriceMgmtAlgo=True)
Trade object received from orderStatusEvent after order placed:
Trade(contract=Stock(conId=76792991, symbol='TSLA', exchange='SMART', primaryExchange='NASDAQ', currency='USD', localSymbol='TSLA', tradingClass='NMS'), order=Order(orderId=509134, clientId=1000, permId=541689050, action='SELL', totalQuantity=200.0, orderType='STP LMT', lmtPrice=169.83, auxPrice=169.86, orderRef='stop-2U-2U-1h--eid-1914--ogid-13491', parentId=509133, triggerMethod=4, usePriceMgmtAlgo=True), orderStatus=OrderStatus(orderId=509134, status='PreSubmitted', filled=0.0, remaining=200.0, avgFillPrice=0.0, permId=541689050, parentId=509133, lastFillPrice=0.0, clientId=1000, whyHeld='child,trigger', mktCapPrice=0.0), fills=[], log=[TradeLogEntry(time=datetime.datetime(2024, 6, 11, 18, 21, 14, 397321, tzinfo=datetime.timezone.utc), status='PendingSubmit', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2024, 6, 11, 18, 21, 14, 530493, tzinfo=datetime.timezone.utc), status='PreSubmitted', message='', errorCode=0)], advancedError='')
Here are the TWS API Logs to corroborate what's in the returned Trade object:
14:21:14:340 -> --?5-509134-76792991-TSLA-STK--0-?--SMART-USD-TSLA-NMS-SELL-200-STP LMT-169.83-169.86-DAY-541689049-DU5623872-O-0-stop-2U-2U-1h--eid-1914--ogid-13491-1000-541689050-0-0-0--541689050.0/DU5623872/100----------0---1-0------2147483647-0-0-0--3-0-0--509133-4--0-None--0----?-0-0--0-0------0-0-0-2147483647-2147483647---0--IB-0-0--0-0-PreSubmitted-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308------0-0-0-None-1.7976931348623157E308-169.86-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-0----0-1-0-0-1---0--100-0.02------F3-509134-PreSubmitted-0-200-0-541689050-509133-0-1000-child,trigger-0-
Modified Order
Order object I transmitted to modify the order. I modify lmtPrice and auxPrice:
Order(orderId=509134, clientId=1000, permId=541689050, action='SELL', totalQuantity=200.0, orderType='STP LMT', lmtPrice=169.98, auxPrice=170.02, orderRef='stop-2U-2U-1h--eid-1914--ogid-13491', parentId=509133, triggerMethod=4, usePriceMgmtAlgo=True)]
Trade object received from modifyOrderEvent after modified order placed doesn't reflect the modified price. TradeLogEntry shows message='Modify' so I know I'm receiving the correct event:
Trade(contract=Stock(conId=76792991, symbol='TSLA', exchange='SMART', primaryExchange='NASDAQ', currency='USD', localSymbol='TSLA', tradingClass='NMS'), order=Order(orderId=509134, clientId=1000, permId=541689050, action='SELL', totalQuantity=200.0, orderType='STP LMT', lmtPrice=169.83, auxPrice=169.86, orderRef='stop-2U-2U-1h--eid-1914--ogid-13491', parentId=509133, triggerMethod=4, usePriceMgmtAlgo=True), orderStatus=OrderStatus(orderId=509134, status='PreSubmitted', filled=0.0, remaining=200.0, avgFillPrice=0.0, permId=541689050, parentId=509133, lastFillPrice=0.0, clientId=1000, whyHeld='trigger', mktCapPrice=0.0), fills=[], log=[TradeLogEntry(time=datetime.datetime(2024, 6, 11, 18, 21, 14, 397321, tzinfo=datetime.timezone.utc), status='PendingSubmit', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2024, 6, 11, 18, 21, 14, 530493, tzinfo=datetime.timezone.utc), status='PreSubmitted', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2024, 6, 11, 18, 21, 15, 20879, tzinfo=datetime.timezone.utc), status='PreSubmitted', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2024, 6, 11, 18, 21, 15, 742958, tzinfo=datetime.timezone.utc), status='PreSubmitted', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2024, 6, 11, 18, 21, 15, 748802, tzinfo=datetime.timezone.utc), status='PreSubmitted', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2024, 6, 11, 18, 21, 36, 525137, tzinfo=datetime.timezone.utc), status='PreSubmitted', message='Modify', errorCode=0)], advancedError='')
However, the TWS API Logs show the modified price in the callback:
14:21:36:376 -> --?5-509134-76792991-TSLA-STK--0-?--SMART-USD-TSLA-NMS-SELL-200-STP LMT-169.98-170.02-DAY-541689049-DU5623872-O-0-stop-2U-2U-1h--eid-1914--ogid-13491-1000-541689050-0-0-0--541689050.1/DU5623872/100----------0---1-0------2147483647-0-0-0--3-0-0--509133-4--0-None--0----?-0-0--0-0------0-0-0-2147483647-2147483647---0--IB-0-0--0-0-PreSubmitted-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308------0-0-0-None-1.7976931348623157E308-170.02-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308-0----0-1-0-0-1---0---------@3-509134-PreSubmitted-0-200-0-541689050-509133-0-1000-trigger-0-
Since TWS is sending back the price as modified, maybe I'm missing the point of Trade objects in the context of their transmission after things like Order modifications? There's a part of me that could understand if a Trade object was always intended to keep the original Order object intact and the Trade.log entries just log changes in a trade's lifecycle (ie: whyHeld= and status=). If that's the case, then maybe I'm just going about this incorrectly and I should be looking elsewhere to catch updated price data from a modified order?
