3. Simulating Limit Orders Clarifications
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Simulating Limit Orders Clarifications

  • D

    Hello All,

    I am wondering what is a correct sumulation when there is a gap between 2 consecutive bars.

       datetime    open    high     low   close 
 2016-12-12  785.04  791.25  784.35  789.27 
 2016-12-13   793.9  804.38  793.34   796.1

    Let's execute a long limit order on 2016-12-12 with price equal to the high of current bar (791.25)

    ipdb> pprint(vars(order.created))
{'comm': 0.0,
 'dt': 736310.9999999999,
 'exbits': deque([]),
 'margin': None,
 'p1': 0,
 'p2': 0,
 'pclose': 789.27,
 'pnl': 0.0,
 'pprice': 0,
 'price': 791.25,
 'pricelimit': 791.25,
 'psize': 0,
 'remsize': 0,
 'size': 6,
 'trailamount': None,
 'trailpercent': None,
 'value': 0.0}

    BT will skip that order execution due to the following logic in ./backtrader/brokers/bbroker.py(717)_try_exec_limit()

        718             if plimit >= popen:
    719                 # open smaller/equal than requested - buy cheaper
    720                 pmax = min(phigh, plimit)
    721                 p = self._slip_up(pmax, popen, doslip=self.p.slip_open,
    722                                   lim=True)
    723                 self._execute(order, ago=0, price=p)
    724             elif plimit >= plow:
    725                 # day low below req price ... match limit price
    726                 self._execute(order, ago=0, price=plimit)

    Technically our limit order price is between high of previous bar and low of current bar, so during live trading that order will be executed I think.

    I am wondering what are your thoughs on this scenario.

    0
  • B
    administrators

    If you issue an order on 2016-12-12 (the timeframe seems daily) it won't be considered for execution until 2016-12-13.

    The bar on 2016-12-12 is already closed when you see it.

    0
    D
     1 Reply
  • D

    Thanks for clarification.

    I had missunderstanding of Stop vs Limit Order.

    0