3. How to get the StopTrail order price returned by the broker from time to time?
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How to get the StopTrail order price returned by the broker from time to time?


  • I searched through the forum seems no one asked it before.

    As StopTrail order price is a dynamic value that will be updated by broker to a new value when the is new high in long position, may I know how to get StopTrail order value in the next()

    Is there a simple code to do this ? Thanks in advance.

    0

  • When you create the order make your order equal to a variable, say: self.order Also keep track of the latest traillimit price with another variable, in this case self.trail_price.

    You will need to initialize them as None. The changing limit can be found in the order as the created price, so order.created.price.

    Just compare the created price to your tracking trail_price and you can print or log whenever they are not equal.

    Here's full code implementation:

    def next(self):

    if not self.position and self.buy_sig:
        self.order = self.buy(size=1, exectype=bt.Order.StopTrail, trailamount=5)
        self.trail_price = self.order.created.price
        self.log(
            f"ORDER MADE: close {self.data.close[0]}, trail price {self.trail_price}"
        )
    elif self.position and self.sell_sig:
        self.sell()
    else:
        pass

    if self.trail_price and self.order is not None:
        if self.trail_price != self.order.created.price:
            self.log(
                f"TRAIL PRICE CHANGES: \tclose {self.data.close[0]:.2f},"
                f"\told trail price {self.trail_price:.2f},"
                f"\tnew trail price {self.order.created.price:.2f}"
            )
            self.trail_price = self.order.created.price

    Output:

    2020-01-29 12:10:00, ORDER MADE: close 3274.75, trail price 3279.75
2020-01-29 12:25:00, TRAIL PRICE CHANGES: 	close 3274.50, 	old trail price 3279.75, 	new trail price 3279.50
2020-01-29 12:35:00, TRAIL PRICE CHANGES: 	close 3273.75, 	old trail price 3279.50, 	new trail price 3278.75
2020-01-29 13:00:00, TRAIL PRICE CHANGES: 	close 3273.25, 	old trail price 3278.75, 	new trail price 3278.25
2020-01-29 13:10:00, TRAIL PRICE CHANGES: 	close 3272.00, 	old trail price 3278.25, 	new trail price 3277.00
2020-01-29 13:30:00, BUY EXECUTED, Price: 3277.00, Cost: -3308.50, Comm 0.00
    3 2 Replies

  • @run-out , thanks a lot for your detailed explanation. You helped me to fix my days of headache. I never notice order.created.price will store the updated price.

    Now I can use order.created.price to track the StopTrail price changes.

    1

  • @run-out hello!

    I've tried to use that recommendation and change stop-limit price, but some issues have happened and my strategy shows the same results.

    My code is:

       def notify_order(self, order):
        ...

        # notification for STOP-LOSS orders
        elif order.issell() and order.exectype==bt.Order.Stop:
            print('{}: Order № {} | STOP-LOSS - {} | Size {} | Price {}'.
            format(
                self.data.datetime.datetime(0),
                order.ref,
                order.getstatusname(),
                order.size,
                order.price))


    def notify_trade(self, trade):
        if trade.isclosed:
            self.log(f'OPERATION RESULT --- Gross: {trade.pnl:.2f}, Net: {trade.pnlcomm:.2f} \n')
    

    def next(self):
        ...

        self.price_SL_order = self.price_B_order - self.p.bargain_risk * self.data.close[0]
        
        ...

        if self.SL_order:
            if self.SL_order.alive and (self.SL_order.price < self.price_SL_order):
                self.SL_orderprice = self.price_SL_order
            else:
                self.SL_order = None

    With changing stop-loss price I have last stop-loss price 5008.725 and OPERATION RESULT --- Gross: -8932.00

    2019-08-16 18:00:00: Order № 4 | BUY - Submitted | Size 116 | Price 5055.0
2019-08-16 18:00:00: Order № 5 | STOP-LOSS - Submitted | Size -116 | Price 4979.175
2019-08-16 18:00:00: Order № 6 | TAKE-PROFIT - Submitted | Size -116 | Price 6571.5
2019-08-16 18:00:00: Order № 4 | BUY - Accepted | Size 116 | Price 5055.0
2019-08-16 18:00:00: Order № 5 | STOP-LOSS - Accepted | Size -116 | Price 4979.175
2019-08-16 18:00:00: Order № 6 | TAKE-PROFIT - Accepted | Size -116 | Price 6571.5
2019-08-16 18:00:00: Order № 4 | BUY - Completed | Size 116 | Price 5055.0
2019-08-26 11:00:00: Order № 5 | STOP-LOSS - Completed | Size -116 | Price 5008.725
2019-08-26 11:00:00: Order № 6 | TAKE-PROFIT - Canceled | Size -116 | Price 6571.5
2019-08-26 11:00:00, OPERATION RESULT --- Gross: -8932.00, Net: -8932.00

    Without changing stop-loss price I have last stop-loss price 4979.175 and OPERATION RESULT --- Gross: -8932.00

    2019-08-16 18:00:00: Order № 4 | BUY - Submitted | Size 116 | Price 5055.0
2019-08-16 18:00:00: Order № 5 | STOP-LOSS - Submitted | Size -116 | Price 4979.175
2019-08-16 18:00:00: Order № 6 | TAKE-PROFIT - Submitted | Size -116 | Price 6571.5
2019-08-16 18:00:00: Order № 4 | BUY - Accepted | Size 116 | Price 5055.0
2019-08-16 18:00:00: Order № 5 | STOP-LOSS - Accepted | Size -116 | Price 4979.175
2019-08-16 18:00:00: Order № 6 | TAKE-PROFIT - Accepted | Size -116 | Price 6571.5
2019-08-16 18:00:00: Order № 4 | BUY - Completed | Size 116 | Price 5055.0
2019-08-26 11:00:00: Order № 5 | STOP-LOSS - Completed | Size -116 | Price 4979.175
2019-08-26 11:00:00: Order № 6 | TAKE-PROFIT - Canceled | Size -116 | Price 6571.5
2019-08-26 11:00:00, OPERATION RESULT --- Gross: -8932.00, Net: -8932.00

    Where is a mistake?

    0

  • @run-out This actually doesn't make that much sense to me. My thought would be that when we buy at let's say 3277. the initial stoploss would be 3272 (because trailamount = 5). then when price moves up, it would keep trailing 5 behind. it would then stay the same if price comes back down and would trigger a sell order once it was hit.

    0
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