Limit order trade entry not correct

kr

Hello, I am in need of help to understand limit orders and why the following code doesn't execute like what the docs says.
Here is my strategy:

class backtestCSV(bt.feeds.GenericCSVData):
    params = (
        ('datetime', 0),
        ('open', 1),
        ('high', 2),
        ('low', 3),
        ('close', 4),
        ('volume', 5),
        ('openinterest', -1),
        ('timeframe', bt.TimeFrame.Ticks),
        ('compression', 1),
        ('dtformat', '%Y-%m-%d %H:%M:%S.%f'),
    )

class testStrategy(bt.Strategy):
    def __init__(self):
        self.bought = False

    def notify_order(self, order):
        print("ORDER:", self.datetime.datetime(ago=0), order.exectype, order.status, self.data0.close[0])

    def notify_trade(self, trade):
        print("TRADE:", self.datetime.datetime(ago=0), trade.status, self.data0.close[0])

    def next(self):
        if self.bought == False:
            entry_price = 2.0
            self.buy(exectype=bt.Order.Limit, price=entry_price)
            self.bought = True
            print("BUY:", self.datetime.datetime(ago=0), entry_price)

and here is the data:

2019-01-01 00:00:00.950,1.00368,1.00368,1.00368,1.00368,29000
2019-01-01 00:00:01.176,1.00368,1.00368,1.00368,1.00368,81000
2019-01-01 00:00:02.248,1.00367,1.00367,1.00367,1.00367,50000
2019-01-01 00:00:02.506,1.00368,1.00368,1.00368,1.00368,94000
2019-01-01 00:00:02.608,1.00369,1.00369,1.00369,1.00369,56000
2019-01-01 00:00:02.709,1.00370,1.00370,1.00370,1.00370,57000
2019-01-01 00:00:05.864,1.00370,1.00370,1.00370,1.00370,93000
2019-01-01 00:00:05.966,1.00372,1.00372,1.00372,1.00372,64000
2019-01-01 00:00:06.068,1.00374,1.00374,1.00374,1.00374,57000
2019-01-01 00:00:06.173,1.00374,1.00374,1.00374,1.00374,95000
2019-01-01 00:00:06.274,1.00375,1.00375,1.00375,1.00375,38000
2019-01-01 00:00:06.434,1.00375,1.00375,1.00375,1.00375,45000
2019-01-01 00:00:07.360,1.00375,1.00375,1.00375,1.00375,93000
2019-01-01 00:00:09.092,1.00374,1.00374,1.00374,1.00374,01000
2019-01-01 00:00:09.143,1.00372,1.00372,1.00372,1.00372,63000
2019-01-01 00:00:09.296,1.00372,1.00372,1.00372,1.00372,76000
2019-01-01 00:00:09.499,1.00372,1.00372,1.00372,1.00372,28000
2019-01-01 00:00:09.601,1.00372,1.00372,1.00372,1.00372,56000
2019-01-01 00:00:09.982,1.00372,1.00372,1.00372,1.00372,56000
2019-01-01 00:00:10.084,1.00372,1.00372,1.00372,1.00372,58000
2019-01-01 00:00:10.186,1.00373,1.00373,1.00373,1.00373,68000
2019-01-01 00:00:10.287,1.00373,1.00373,1.00373,1.00373,19000
2019-01-01 00:00:12.072,1.00372,1.00372,1.00372,1.00372,65000
2019-01-01 00:00:12.174,1.00370,1.00370,1.00370,1.00370,25000
2019-01-01 00:00:13.738,1.00371,1.00371,1.00371,1.00371,76000
2019-01-01 00:00:13.960,1.00370,1.00370,1.00370,1.00370,92000
2019-01-01 00:00:14.076,1.00371,1.00371,1.00371,1.00371,76000
2019-01-01 00:00:14.372,1.00372,1.00372,1.00372,1.00372,93000
2019-01-01 00:00:14.474,1.00371,1.00371,1.00371,1.00371,39000
2019-01-01 00:00:14.575,1.00371,1.00371,1.00371,1.00371,12000
2019-01-01 00:00:14.802,1.00370,1.00370,1.00370,1.00370,25000
2019-01-01 00:00:15.886,1.00371,1.00371,1.00371,1.00371,94000
2019-01-01 00:00:15.987,1.00372,1.00372,1.00372,1.00372,85000
2019-01-01 00:00:16.088,1.00371,1.00371,1.00371,1.00371,94000
2019-01-01 00:00:16.804,1.00373,1.00373,1.00373,1.00373,62000
2019-01-01 00:00:16.905,1.00374,1.00374,1.00374,1.00374,69000
2019-01-01 00:00:17.007,2.00375,2.00375,2.00375,2.00375,86000
2019-01-01 00:00:17.136,2.00374,2.00374,2.00374,2.00374,47000
2019-01-01 00:00:17.237,2.00374,2.00374,2.00374,2.00374,94000
2019-01-01 00:00:17.795,2.00375,2.00375,2.00375,2.00375,87000
2019-01-01 00:00:18.226,2.00375,2.00375,2.00375,2.00375,44000

And here is STDOUT

BUY: 2019-01-01 00:00:01.176004 2.0
ORDER: 2019-01-01 00:00:02.247996 2 1 1.00367
ORDER: 2019-01-01 00:00:02.247996 2 2 1.00367
ORDER: 2019-01-01 00:00:02.247996 2 4 1.00367
TRADE: 2019-01-01 00:00:02.247996 1 1.00367

Can somebody tell me why the trade happens at 00:00:02 when the price is still at 1.00. Shouldn't happen at 00:00:17 when the price has reached 2.0, which is the price I set for the limit order?

vladisld

IIUC, you've just submitted the limit buy order with a limit price set to 2.0 - meaning the order should be executed at the price <=2.0 - which is exactly what has happened at the next bar. Anything wrong with that ?

kr

I was reading this post:
https://backtest-rookies.com/2018/08/31/backtrader-bracket-orders/

and it said this:
Stop Entry, Stop Loss and Take Profit
Sometimes we may want to enter a position at a price which is worse than what we can have right now. We might choose to do this when looking for confirmation that price will continue moving in a certain direction. Another reason might be to try and catch a breakout. To enter with a stop order we just change the exectype like so: self.sell_bracket(limitprice=short_tp, price=entry, stopprice=short_stop, exectype=bt.Order.Limit)

I guess this is incorrect. You are saying this is not how to do entry at a worse price. Is this even possible then?

ab_trader

@kr the text you shown is not from the official docs. Link to official docs - Docs - Orders - Creation/Execution. If you want the order to be executed at set price or worse, than use stop order. Limit order executes on the set price or better.

kr

@ab_trader that works perfectly. Thank you very much!

backtrader

@kr said in Limit order trade entry not correct:

    def notify_trade(self, trade):
        print("TRADE:", self.datetime.datetime(ago=0), trade.status, self.data0.close[0])

and

Adding to the answers above.

t

@kr said in Limit order trade entry not correct:

ORDER: 2019-01-01 00:00:02.247996 2 4 1.00367
TRADE: 2019-01-01 00:00:02.247996 1 1.00367

That's NOT the trade time or the order execution time. That's the current datetime kept by the strategy by tracking the latest timestamp reported by the different data feeds.

Order execution data is kept in the attribute order.executed.

See: Docs - Order - https://www.backtrader.com/docu/order/

Furthermore, an order has different states notified and the code is accounting for none to understand when the execution is reported as Complete.

The same with trade.

See: Docs - Trade - https://www.backtrader.com/docu/trade/