Order Management and Execution

There’s no question, this is going to be the most complicated part of your Robo-advisor. I’ll do my best to inform you of key concepts, logic, and concerns, but much will be left to you to work out for yourself in collaboration with your broker.

We will kick off the chapter by introducing some key terms and concepts required for implementing basic order management processes. To get hands-on with orders, we will finally connect our goals, portfolios, and accounts. We will then set up the basic classes and class methods for orders, split orders, and master orders.

Once we have the basic objects in hand, we will implement a full seven-step order management workflow. This will cover splitting orders to the product level, aggregating those into master orders, and finally allocating filled orders back to accounts and Goals.

I should caveat that this chapter, in particular, is where 1,000 small things can go wrong, resulting in erroneous...