Simulating Limit Orders Clarifications

dimitar-petrov

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.

backtrader

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.

dimitar-petrov

Thanks for clarification.

I had missunderstanding of Stop vs Limit Order.