Delay in Orderexecution

Bayne

Hey
I tried to test Backtraders accuracy by execution Trades on Target Data which i actually used for machine learning purposes. -> sometimes my orders are executed with a delay of hours or even days! why?

here the log:

1999-02-10 03:00:00, 633
1999-02-10 04:00:00, 634
1999-02-10 05:00:00, 635
1999-02-10 06:00:00, 636
1999-02-10 07:00:00, 637
1999-02-10 08:00:00, 638
1999-02-10 08:00:00, _______
1999-02-10 08:00:00, OHLC = 1.12870, 1.12970, 1.12700, 1.12790, 
1999-02-10 08:00:00, TARGET =,1.13490
1999-02-10 08:00:00, BUY CREATE, 1.12790, ID 6,
1999-02-10 08:00:00, STOP =,1.12640
1999-02-10 08:00:00, _______
1999-02-10 09:00:00, 639
1999-02-10 10:00:00, 640
1999-02-10 11:00:00, 641
1999-02-10 12:00:00, 642
1999-02-10 13:00:00, 643
1999-02-10 14:00:00, 644
1999-02-10 15:00:00, 645
1999-02-10 16:00:00, 646
1999-02-10 17:00:00, 647
1999-02-10 18:00:00, 648
1999-02-10 19:00:00, 649
1999-02-10 20:00:00, 650
1999-02-10 21:00:00, 651
1999-02-10 22:00:00, 652
1999-02-10 23:00:00, 653
1999-02-11 00:00:00, 654
1999-02-11 01:00:00, 655
1999-02-11 02:00:00, 656
1999-02-11 03:00:00, 657
1999-02-11 04:00:00, 658
1999-02-11 05:00:00, 659
1999-02-11 06:00:00, 660
1999-02-11 07:00:00, 661
1999-02-11 08:00:00, 662
1999-02-11 09:00:00, 663
1999-02-11 10:00:00, 664
1999-02-11 11:00:00, 665
1999-02-11 12:00:00, 666
1999-02-11 13:00:00, 667
1999-02-11 14:00:00, 668
1999-02-11 15:00:00, 669
1999-02-11 16:00:00, 670
1999-02-11 17:00:00, 671
1999-02-11 18:00:00, 672
1999-02-11 19:00:00, BUY EXECUTED, Price_1.12790 ,ID_6, 
1999-02-11 19:00:00, DELAY 729795.3333333334  729796.7916666666
1999-02-11 19:00:00, 673
1999-02-11 20:00:00, DELAY 729795.3333333334  729796.8333333334
1999-02-11 20:00:00, Position 6 Closed , GROSS -1.50, NET -1.50
1999-02-11 20:00:00, 674

here my code:

class TestStrategy(bt.Strategy):
    params = (("PChan4", Positive_Chan4),
              ("NChan1", Negative_Chan1),('printlog', True),)

    def log(self, txt, dt=None, doprint=True):  #logs
        if self.params.printlog or doprint:
            dt = dt or f"{self.datas[0].datetime.date(0)} {self.datas[0].datetime.time(0)}"#self.datas[0].datetime.date(0)
            print('%s, %s' % (dt, txt))

    def __init__(self): 
        self.dataclose = self.datas[0].close
        self.order = None
        self.unexecuted_Order=False
        self.buyprice = None
        self.buycomm = None
        self.TradeID = 0
        self.sellprice = None
        self.sellcomm = None
        self.long_stop1 = None
        self.long_target4 = None 

        
    
    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return
        
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log('BUY EXECUTED, Price_%.5f ,ID_%.0f, ' % (order.executed.price,self.TradeID))
                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
                
            
            if  (order.executed.dt - order.created.dt) >0.5:
                self.log("DELAY %s  %s" % (order.created.dt,order.executed.dt))
            self.TradeID +=1
            self.bar_executed = len(self)
            self.unexecuted_Order =False
        elif order.status in [ order.Canceled]:
            self.log('Order Canceled')
        elif order.status in [ order.Margin]:
            self.log('Order Margin')
        elif order.status in [order.Rejected]:
            self.log('Order Rejected')


    def notify_trade(self, trade):
        
        if not trade.isclosed:
            return
        self.log('Position %.0f Closed , GROSS %.2f, NET %.2f' %(trade.tradeid, trade.pnl, trade.pnlcomm))
    
    def next(self):
        datestring = f"{self.datas[0].datetime.date(0)} {self.datas[0].datetime.time(0)}"
        #prediction = 0
        #prediction = pred_y[X_Dates.index(datestring)]
        TrueTarget = 0
        self.log(X_Dates.index(datestring))
        TrueTarget = Y_Data[X_Dates.index(datestring)]

        self.long_stop1 = self.data.close[0] - self.params.NChan1 
        self.long_target4 = self.data.close[0] + self.params.PChan4 

        if TrueTarget != 4:
            return

        self.log(f"prediction = {TrueTarget}")
 
        if TrueTarget == 4 and self.unexecuted_Order==False:

            self.log("_______")
            self.log("OHLC = %.5f, %.5f, %.5f, %.5f, "% (self.data.open[0],self.data.high[0],self.data.low[0],self.data.close[0],))
            self.log("TARGET =,%.5f" %self.long_target4)
            self.log('BUY CREATE, %.5f, ID %.0f,' % (self.dataclose[0],self.TradeID ))

            self.log("STOP =,%.5f" %self.long_stop1)
            self.log("_______")


            self.order = self.buy_bracket(tradeid = self.TradeID, limitprice=self.long_target4, price=self.dataclose[0], stopprice=self.long_stop1)

I just want to know how i can make it work without this delay ( this occours about 13 times in 2 Years Chart of Hours)

ab_trader

Limit order should be executed when the price reach the order price so bar's high > limit price. With that in mind, the first guess will be that in your case price didn't get to the limit price level very quick. Check the prices first or give more details.

Market orders give you no delays.

Bayne

@ab_trader arent bracket_orders the same as market orders?(but with alimitsell and a stopsell?)

if i want to implement this with market orders, should the following work the way i want it?
(didnt fully understood the documentation, because i was used to the MQL4 methods)

def __init__(self):
    self.Stoploss = None
    self.Takeprofit = None

def notify_trade()
    takeprofit = ...
    stoploss = ....
    if trade.isbuy():
          self.Takeprofit = self.sell(tradeid = TradeID, exectype=bt.Order.Limit, price=takeprofit_price)
          self.Stoploss = self.sell(tradeid = TradeID, exectype=bt.Order.Stop, price=stoploss_price)

def next():
      ...
     
     if signal:
          self.order=self.buy(tradeid=TradeID)
      ...

ab_trader

Best way is not to assume but take a look on what is written in the docs - Docs - Bracket Orders:

A bracket order isn’s a single order but it is actually made up of 3 orders. Let’s consider the long side

A main side buy order, usually set to be a Limit or StopLimit order

A low side sell order, usually set to be a Stop order to limit losses

A high side sell order, usually set to be a Limit order to take profit

Also reference to the buy_bracket and sell_bracket methods is shown there under Some reference section. And this reference states that baseline order is limit.

if i want to implement this with market orders, should the following work the way i want it?

Not clear what you want. Earlier you wanted the bracket order, now it is simple buy.

backtrader

@Bayne said in Delay in Orderexecution:

arent bracket_orders the same as market orders?(but with a limitsell and a stopsell?)

No they are not. It's a set of 3 orders.

@Bayne said in Delay in Orderexecution:

if i want to implement this with market orders, should the following work the way i want it?

You are bracketing a market position and not an order. Even if you think it is the same, it isn't, because you get no chance, for example, to cancel the market order.

In this case you want to use OCO orders to make sure One Cancel Other

Docs - OCO Orders - https://www.backtrader.com/docu/order-creation-execution/oco/oco/

@ab_trader said in Delay in Orderexecution:

Also reference to the buy_bracket and sell_bracket methods is shown there under Some reference section. And this reference states that baseline order is limit.

Here: Docs - Bracket Orders - https://www.backtrader.com/docu/order-creation-execution/bracket/bracket/

Limit is the baseline for a good reason (including rejection by brokers like IB or Market for bracket orders). The execution price of a Market order can fall outside of the brackets, which would render the entire construct useless.

backtrader

@Bayne said in Delay in Orderexecution:

sometimes my orders are executed with a delay of hours or even days! why?

And answering the 1st question: because that's how the stock market works.

Bayne

@backtrader thanks for your answers.

In my Case i can do without the aspect of Broker conditions, because I only News to Test my "strategy"...

So with "oco" i should ne feine for my purposes, right? (executing an Order with TP and SL in the Open price of the Next Bar without any delay)