Limit order execution on high price on the next bar

Alexander Lifanov

Hi
I create order as buy_brackets and on the next bar the high price is higher than my limit price of order but it doesn't execute.

2018-10-01T13:15:00, Open: 0.00003940. High: 0.00003965. Low: 0.00003918. Close: 0.00003920
2018-10-01T13:15:00, 	Buy. Price: 0.00003920. Limit: 0.00003936. Stop: 0.00003904
2018-10-01T13:20:00, Open: 0.00003933. High: 0.00003941. Low: 0.00003915. Close: 0.00003923
2018-10-01T13:25:00, Open: 0.00003925. High: 0.00003927. Low: 0.00003910. Close: 0.00003911
2018-10-01T13:30:00, Open: 0.00003910. High: 0.00003921. Low: 0.00003908. Close: 0.00003913
2018-10-01T13:35:00, 	OPERATION PROFIT, GROSS -0.00000016, NET -0.00000016
2018-10-01T13:35:00, Open: 0.00003911. High: 0.00003911. Low: 0.00003900. Close: 0.00003907

Where have I mistake ?

ab_trader

@alexander-lifanov seems the mistake is in your code.

Alexander Lifanov

@ab_trader there is the code

current = self.datas[0]

limitprice = (1. + 2 * .005) * current.close[0]
stopprice = (1. - .005) * current.close[0]

self.log(f'\tBuy. Price: {current.close[0]:.8f}. Limit: {limitprice:.8f}. Stop: {stopprice:.8f}')
self.buy_bracket(
 data=self.data,
 price=current.close[0],
 limitprice=limitprice,
 stopprice=stopprice
)

backtrader

@alexander-lifanov said in Limit order execution on high price on the next bar:

Where have I mistake ?

In your understanding about when orders execute (in backtrader and in real-life). Please read: Docs - Order Management and Execution

@alexander-lifanov said in Limit order execution on high price on the next bar:

2018-10-01T13:15:00, Open: 0.00003940. High: 0.00003965. Low: 0.00003918. Close: 0.00003920
2018-10-01T13:15:00, 	Buy. Price: 0.00003920. Limit: 0.00003936. Stop: 0.00003904

You create an order at 13:15, which can first be executed with the next bar
@alexander-lifanov said in Limit order execution on high price on the next bar:

2018-10-01T13:20:00, Open: 0.00003933. High: 0.00003941. Low: 0.00003915. Close: 0.00003923

The next set of prices ...

@alexander-lifanov said in Limit order execution on high price on the next bar:

2018-10-01T13:25:00, Open: 0.00003925. High: 0.00003927. Low: 0.00003910. Close: 0.00003911

Cannot match your Limit sell order because the price for it is 0.00003936 which is higher than the high

Just follow the logic and understand when and why your order executes.