3. Update stoploss and profit orders of a bracket
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Update stoploss and profit orders of a bracket 


  • def moveBracketStopLoss(self, brackets):
    # cancel stop order automatically cancels the profit order of the bracket too
    self.cancel(brackets[1])
    self.cancel(brackets[2])

    before = brackets[1].created.price
    stopOrder = profitOrder = None

    # need to replace both stopOrder and profitOrder
    if brackets[0].ordtype == 0:  # buy
        stopOrder = self.sell(
            price=brackets[0].executed.price, size=brackets[0].size, exectype=bt.Order.Stop,
            transmit=False)

        profitOrder = self.sell(
            price=brackets[2].created.price, size=brackets[0].size, exectype=bt.Order.Limit,
            transmit=True, oco=stopOrder)

    if brackets[0].ordtype == 1:  # sell
        stopOrder = self.buy(
            price=brackets[0].executed.price, size=brackets[0].size, exectype=bt.Order.Stop,
            transmit=False)

        profitOrder = self.buy(
            price=brackets[2].created.price, size=brackets[0].size, exectype=bt.Order.Limit,
            transmit=True, oco=stopOrder)

    brackets[1] = stopOrder
    brackets[2] = profitOrder

    self.log('Move stoploss to breakeven for ',
             'long' if brackets[0].ordtype == 0 else 'short',
             'position from ',
             before, 'to',
             brackets[1].created.price)

    Not sure what is wrong with the code, but I just noticed a stopOrder order is not getting created with Interactive brokers live trading. Would transmit=True of profit order sumbit the stop oder too?

    update: https://www.backtrader.com/blog/posts/2017-03-19-oco/oco.html Here it says OCO order doesn't support live trading, so how can I replace a bracket order of which main order is already completed? Can I still attach a new bracket to the completed main order?

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  • I noticed @backtrader updated the documentations, it says Interactive Brokers support for OCO order.
    https://cookbook.backtrader.com/documentation/order-creation-execution/oco/oco/
    Not sure if my code above is correct, but one day I noticed that my OCO order with stop and profit was not working on IB, stop order is missing.. only profit order is placed

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     1 Reply
  • B
    administrators

    @han-chen said in Update stoploss and profit orders of a bracket:

    noticed @backtrader updated the documentations, it says Interactive Brokers support for OCO order.

    No. Format, layout and topic ordering have changed with the goal to try to make the content more accessible (if possible, sometimes one aims for the goal and it ends up being a throw in)

    The content hasn't changed. Version 1.9.6.36 released on 2017-03-28 (Commit hash: e6a7f1c80ca85e4b46c112e48ef879d881c3e817) added it.

    A Stop order has no guaranteed execution price. From experience with bracket orders, this means it cannot be related to other orders. It may simply be the ordering, i.e.: the Stop can only be the stop to a Limit and not the other way round.

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  • @backtrader I swap the ordering of stop and profit. Now the stoploss got placed but profit was missing.
    IB gateway: v974.4g
    http://cdn.quantconnect.com/interactive/ibgateway-latest-standalone-linux-x64-v974.4g.sh

    I moved the stop from 2834.25 to 2842.25, but profit order didn't get placed at all..
    0_1559852063256_dc69521e-8b33-411a-87c7-e85839fb6b54-image.png

    def moveBracketStopLoss(self, bracket, bt):
    # cancel stop order automatically cancels the profit order of the bracket too
    self.cancel(bracket[1])
    self.cancel(bracket[2])

    before = bracket[1].created.price
    stopOrder = profitOrder = None

    # need to replace both stopOrder and profitOrder
    if bracket[0].ordtype == 0:  # buy
        profitOrder = self.sell(
            price=bracket[2].created.price, size=bracket[0].size, exectype=bt.Order.Limit,
            transmit=False)

        stopOrder = self.sell(
            price=bracket[0].executed.price, size=bracket[0].size, exectype=bt.Order.Stop,
            transmit=True, oco=profitOrder)

    if bracket[0].ordtype == 1:  # sell
        profitOrder = self.buy(
            price=bracket[2].created.price, size=bracket[0].size, exectype=bt.Order.Limit,
            transmit=False)

        stopOrder = self.buy(
            price=bracket[0].executed.price, size=bracket[0].size, exectype=bt.Order.Stop,
            transmit=True, oco=profitOrder)

    bracket[1] = stopOrder
    bracket[2] = profitOrder

    Helper.log(self, 'Move stoploss to breakeven for ',
             'long' if bracket[0].ordtype == 0 else 'short',
             'position from ',
             before, 'to',
             bracket[1].created.price)
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