Bug in bbroder._try_exec_stoplimit()?
码农甲 last edited by
Hi, guys! I find the following issue when I'm writing blogs(https://blog.csdn.net/m0_46603114, Chinese only) of backtrader orders:
When running a stoplimit order, I got the following output:
2019-05-28, BUY CREATE, exectype StopLimit, close 12.49, price 12.55, pricelimit 12.51, valid: 2019-06-07 2019-05-29, ORDER SUBMITTED 2019-05-29, ORDER ACCEPTED 2019-05-29, Open: 12.36, High: 12.59, Low: 12.26, Close: 12.40 2019-05-30, Open: 12.32, High: 12.38, Low: 12.11, Close: 12.22 2019-05-30, BUY EXECUTED, Price: 12.32, Cost: 1232.00.
The stop price is 12.55, and the price limit is 12.51. The stoplimit order was created on 05-28.
On 05-29, the open(12.36) was less than stop price(12.55), but the high(12.59) was greater than stop price(12.55). So the order was triggered on 05-29.
Also on 05-29, since the close(12.40) was less price limit(12.51) , and price limit(12.51) was less than stop price(12.55). So the price limit should be reached before the bar on 05-29 was closed and the stoplimit order should be executed on 05-29.
But the output showed the stoplimit order was executed on 05-30.
When I dug into the source code of _try_exec_stoplimit() method:
def _try_exec_stoplimit(self, order, popen, phigh, plow, pclose, pcreated, plimit): if order.isbuy(): if popen >= pcreated: order.triggered = True self._try_exec_limit(order, popen, phigh, plow, plimit) elif phigh >= pcreated: # price penetrated upwards during the session order.triggered = True # can calculate execution for a few cases - datetime is fixed if popen > pclose: if plimit >= pcreated: # limit above stop trigger p = self._slip_up(phigh, pcreated, lim=True) self._execute(order, ago=0, price=p) elif plimit >= pclose: self._execute(order, ago=0, price=plimit) else: # popen < pclose if plimit >= pcreated: p = self._slip_up(phigh, pcreated, lim=True) self._execute(order, ago=0, price=p)
I found that there were no operations when (phigh >= pcreated) & (popen < pclose) & (plimit < pcreated) happened.
Is this a bug for stoplimit order? Or other logics were concerned?
Thanks in advance for your reply :)