alpacahq / alpacahq/Alpaca-API
Partial FILL activities are not totally ordered
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- 言語のデータがありません
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- 17
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説明
**Describe the bug**
When I fetch FILL activities, partial fills that occur in the same millisecond may be listed out of order, as evident by the `cum_qty` amount.
**To Reproduce**
`GET https://api.alpaca.markets/v2/account/activities/FILL?date=2021-01-27`
For my account, this returns
```
[
{
id: '20210127144930176::ddc0a142-ebfd-4890-9021-641d33e58742',
activity_type: 'FILL',
transaction_time: '2021-01-27T19:49:30.176Z',
type: 'partial_fill',
price: '31.6',
qty: '100',
side: 'buy',
symbol: 'QQQJ',
leaves_qty: '131',
order_id: 'ee8058e5-41a0-48fd-8156-915ae0af6d17',
cum_qty: '869'
},
{
id: '20210127144930176::b68ca618-f2a3-42a4-804f-f7ffda59023a',
activity_type: 'FILL',
transaction_time: '2021-01-27T19:49:30.176Z',
type: 'partial_fill',
price: '31.6',
qty: '51',
side: 'buy',
symbol: 'QQQJ',
leaves_qty: '30',
order_id: 'ee8058e5-41a0-48fd-8156-915ae0af6d17',
cum_qty: '970'
},
{
id: '20210127144930176::0ef90479-4a4a-44e4-b7a2-a4186c0d7dfb',
activity_type: 'FILL',
transaction_time: '2021-01-27T19:49:30.176Z',
type: 'fill',
price: '31.6',
qty: '30',
side: 'buy',
symbol: 'QQQJ',
leaves_qty: '0',
order_id: 'ee8058e5-41a0-48fd-8156-915ae0af6d17',
cum_qty: '1000'
},
{
id: '20210127144930176::0837a86c-26a5-4503-9367-c13730a7d0aa',
activity_type: 'FILL',
transaction_time: '2021-01-27T19:49:30.176Z',
type: 'partial_fill',
price: '31.6',
qty: '50',
side: 'buy',
symbol: 'QQQJ',
leaves_qty: '81',
order_id: 'ee8058e5-41a0-48fd-8156-915ae0af6d17',
cum_qty: '919'
},
{
id: '20210127144930175::1a6ee896-6194-44a9-a603-24ec4e9fc87a',
activity_type: 'FILL',
transaction_time: '2021-01-27T19:49:30.175Z',
type: 'partial_fill',
price: '31.6',
qty: '719',
side: 'buy',
symbol: 'QQQJ',
leaves_qty: '231',
order_id: 'ee8058e5-41a0-48fd-8156-915ae0af6d17',
cum_qty: '769'
},
{
id: '20210127144930175::01301eb9-48a3-4a91-9439-09f22d210c27',
activity_type: 'FILL',
transaction_time: '2021-01-27T19:49:30.175Z',
type: 'partial_fill',
price: '31.6',
qty: '50',
side: 'buy',
symbol: 'QQQJ',
leaves_qty: '950',
order_id: 'ee8058e5-41a0-48fd-8156-915ae0af6d17',
cum_qty: '50'
}
]
```
As you can see, all these fills were for the same order, and happened within 2 milliseconds. The final fill appears in the middle of the list. The actual order can be unraveled by the cum_qty field.
**Expected behavior**
If there is a ns-resolution timestamp in the back-end, maybe order by that, or by trade sequence, or something deterministic.
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