STOP TRAIL order questions.

ciceron

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

ciceron

Is above understanding correct?

Nikolai

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

ciceron

@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

Nikolai

@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.