target order with different price limit depends on buy or sell

Yi Fang

Hi：

Is it possible to create target orders with different price limit for buy or sell operations.
So the code looks something like this:


self.order_target_percent(perc = 0.05,
                          exectype = Order.Limit,
                          price = X if order.isbuy() or price = Y if order.issell())

Yi Fang

So I read order_target_value method and it seems a buy or sell order is returned

        if target > value:
            size = comminfo.getsize(price, target - value)
            return self.buy(data=data, size=size, price=price, **kwargs)

        elif target < value:
            size = comminfo.getsize(price, value - target)
            return self.sell(data=data, size=size, price=price, **kwargs)

I will try with order cancellation and reissue the same buy/sell order with different price limit, currently still stuck with the original question.

A new question raised, is it possible to specify a price range for order execution, say I only want to buy a stock between 9 to 11 dollars, nothing more nothing less. I understand this is not a standard order which most brokers support, only for backtesting purpose.

ab_trader

@yi-fang said in target order with different price limit depends on buy or sell:

currently still stuck with the original question

Did you try to code it the way you shown or you are waiting for an answer? Can be quicker to code it by yourself.

Yi Fang

Did you try to code it the way you shown or you are waiting for an answer? Can be quicker to code it by yourself.

I did, currently I am working around the issue by manipulating my data in some way. Still stuck with strategy level code though.
The snippet shown was merely a demonstration of what I hoped to achieve, not working code.

backtrader

@yi-fang said in target order with different price limit depends on buy or sell:

So I read order_target_value method and it seems a buy or sell order is returned

Instead of reading the method, you may want to read the documentation: https://cookbook.backtrader.com/documentation/strategy/

All methods that operate on the market return the generated orders.

I probably don't understand what your goal is, but I believe that the usage of order_target_xxx is wrong in your case. Those methods are meant to do things automatically for the trader and you want to decide manually what to do, depending on the existing position.

There is no way around, in that case, keeping track of your position size, deciding on the new position size and then decide which price you want to issue.

Yi Fang

@backtrader

My goal is described in my old post:

https://community.backtrader.com/topic/1076/daily-upper-and-lower-bound-of-price/3

Only here I am trying to take into account daily upper and lower bound of price for target order.

target order or not, I did try to follow your suggestion in old post, but:

Having a custom Sizer

This wont work for me since my order are with specific size, a global custom Sizer will be overwritten.

2.Having a commission scheme

I read the custom commission scheme, dont see how this will work. The

def _getcommission(self, size, price, pseudoexec)

only pass in the execution price for orders, not previous bar's (when the order is created) close price, I wont be able to compare these two prices thus impose an inf commission accordingly.

Official name for such trading restriction is called daily maximum price fluctuation I think, and it is common in commodity futures as well, might be a good idea to implement such feature natively.