Spreader Status
SpreaderStatus
leg1_fill_quantity
Signed, filled quantity on leg 1
leg2_fill_quantity
Signed, filled quantity on leg 2
implied_spread_vwap
The average filled price of completed spread units so far
current_spreader_phase
leg1_quote_order_id
The QuoteOneSide order ID for Leg1, if Leg1 has a quote out in the market
leg2_quote_order_id
The QuoteOneSide order ID for Leg1, if Leg1 has a quote out in the market
spread_price
The current spread taking price (the price to cross the implied market)
SpreaderPhase
NoBbo
Either the bid or the ask does not exist. Usually this means the market is closed, or you caught the algo before it fully subscribed to market data (common in paper trading)
Waiting
Algo order is live, but no orders in any of the legs are in the market
OrdersInMarket
Algo order is live, with orders in at least one of the legs live in the market
DoneNotFullyFilled
Algo order has halted (generally from MissedTakePolicy.Halt) but the original spreader quantity is not fully complete
Done
Algo order has completed
Last updated