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STOP TRAIL order questions.



  • Hi all,

    First, thanks for all the contributors' work on Backtrader project, this is a very nice framework compare with what I used before.

    I have a question with the build in stop trail order. I use OANDA api before, maybe this influence my understanding on STOP Orders.

    In OANDA, when I pose a buy market order with trailing stop, the order will be executed as soon. Then if the price go down in a certain percent, then a sell market order active. If price go up, the order will keep trailing.

        mktOrder = MarketOrderRequest(instrument=instruments, units=units, trailingStopLossOnFill=trailingStopLossOnFill.data)
    
    • Question 1
    self.order = self.buy(exectype=bt.Order.StopTrail, trailpercent=self.p.trailingPercent, valid = valid1)
    

    After investigate the API doc of backtrader, in my understanding (if correct), the above buy order with a stop trail type means the order will be actived as market order once the price go up exceed a certain percent = self.p.trailingPercent, within time delta = valid1. And if the price go down within valid time, the buy order won't be executed. Once the order exceed valid time, this order will be cancelled.

    • Question 3
      To achieve what OANDA API do. In backtrader, I need to pose a buy order, and then pose a sell stop trail order (as the example below):
    self.buy(size=1)
    self.sell(size=1, exectype=bt.Order.StopTrail, price=10.50, trailpercent=0.0.02)
    
    • Question 4
      If I do this,
    if not self.position:
         if Signal = buy_signal:
              self.order = self.buy(exectype=bt.Order.StopTrail, trailpercent=self.p.trailingPercent, valid = valid1)
    else:
         if Signal = sell_signal:
              self.order = self.close()
    

    This means,
    If we have a buy signal, we pose a buy trail stop order in the market. Then,

    • a: if the price continue go up to a certain threshold, a buy market order will be posed. Once the buy order active, we wait for sell signal to close the position.

    • b: if the price continue go down, the buy order won't become market buy until exceed time threshold valid1, the order will be cancelled.

    • c: During the price going down period, the trail price will be updated.

    Thanks,
    Ciceron



  • Is above understanding correct?



  • Hi Ciceron.

    As i see Oanda broker doesn't have trailing stop implementation. Only:

    # Order type matching with oanda
    _ORDEREXECS = {
        bt.Order.Market: 'MARKET',
        bt.Order.Limit: 'LIMIT',
        bt.Order.Stop: 'STOP',
        bt.Order.StopLimit: 'STOP',
    }
    

    https://github.com/ftomassetti/backtrader-oandav20/blob/master/btoandav20/stores/oandav20store.py



  • @nikolai Hi Nikolai, Thanks for the answer, the OANDA API I used before come from oandapyV20, the original oanda v20 also support trailing stop.

    [from oandapyV20.contrib.requests import PositionCloseRequest, MarketOrderRequest, TrailingStopLossDetails](https://oanda-api-v20.readthedocs.io/en/latest/contrib/orders/marketorderrequest.html)
    

    What confused me is in oandapyv20, if I open a market order with a trailing stop loss, I just need one command:

    mktOrder = MarketOrderRequest(instrument=instruments, units=units, trailingStopLossOnFill=trailingStopLossOnFill.data)
    

    But in backtrader, if I want to do the same thing I need to open two order:

    self.buy(size=1)
    self.sell(size=1, exectype=bt.Order.StopTrail, price=10.50, trailpercent=0.0.02)
    

    Is my understanding correct?
    Best
    Ciceron



  • @ciceron hi again.
    I was wrong. Oanda broker has StopTrail implementation.

    if order.exectype == bt.Order.StopTrail:
        okwargs['distance'] = order.trailamount 
    

    https://github.com/ftomassetti/backtrader-oandav20/blob/master/btoandav20/stores/oandav20store.py

    I didn't have any practice with Oanda broker, so i don't know how stoptrail works on Oanda side. But your understanding is correct for backtesting.


 

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