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    Order Synchronization

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    • T H
      T H last edited by

      Hi. There.
      Sometimes the state of the order object and the state of the actual order don't match, is there any way to synchronize this?
      Thanks!

      1 Reply Last reply Reply Quote 0
      • vladisld
        vladisld last edited by

        Could you provide more details:

        • what live broker is used ( assuming you are talking about live trading )
        • API logs if available

        Backtrader updates its order objects on notifications from the broker API. So the best way to detect such discrepancies is to analyze the API logs.

        T H 1 Reply Last reply Reply Quote 0
        • T H
          T H @vladisld last edited by

          @vladisld Thank you for your reply.
          The Live Broker I use is OANDA.
          How can I get API logs?
          It only occurs occasionally when there is a big price movement.

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          • T H
            T H last edited by

            And once it goes out of alignment, it will never go back to the way it was...

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            • vladisld
              vladisld last edited by

              @T-H said in Order Synchronization:

              How can I get API logs?

              Not using Oanda myself unfortunately. Hope other forum members may help here.

              T H 1 Reply Last reply Reply Quote 0
              • T H
                T H @vladisld last edited by

                @vladisld It's fine! Thank you for your concern.

                1 Reply Last reply Reply Quote 0
                • D
                  dasch last edited by

                  @T-H could you provide more details on how you use oanda. also do you open positions on the same account outside of backtrader?

                  T H 1 Reply Last reply Reply Quote 0
                  • T H
                    T H @dasch last edited by

                    @dasch said in Order Synchronization:

                    could you provide more details on how you use oanda.

                    • Set the sell_bracket at 5 pips intervals. (tp:-5pips, s/l:+1000pips)
                    • Holds the return value of the order in the List.
                    • The state of the order is monitored in next().

                    When I check the order that the status of main order is "Accepted" in "OANDA Web Trading Platform", it is already executed.
                    Moreover, when I close all orders with self.close(), it doesn't close just that one order.

                    Am I making sense?

                    also do you open positions on the same account outside of backtrader?

                    Never.

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                    • D
                      dasch last edited by

                      When initializing the oanda store, set the param notif_transactions=True to get all transactions that were received and post the problematic order / transactions either here or open an issue with that on github.

                      T H 1 Reply Last reply Reply Quote 0
                      • T H
                        T H @dasch last edited by

                        @dasch Thank you for your advice.
                        I already set notif_transactions=True, but I don’t understand how to use it.
                        Please tell me how to get those transactions.

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                        • D
                          dasch last edited by

                          the store will recieve a notification for every transaction. They are available in notify_store(...) in your strategy.

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                          • D
                            dasch last edited by

                            for example this way:

                                def notify_store(self, msg, *args, **kwargs):
        print(msg)
                            T H 1 Reply Last reply Reply Quote 1
                            • T H
                              T H @dasch last edited by

                              @dasch I didn't know that!!!!
                              I’m so happy! Thank you so so much!
                              I'll try it, after that I’ll wait for the problem to be reproduced.

                              1 Reply Last reply Reply Quote 0
                              • T H
                                T H last edited by

                                Finally, I succeeded in getting the api transactions.
                                The order I made (tradeid:54) should originally be in Accepted status after filled, but that status is still "Submitted".
                                In fact, When I check the order (tradeid:54) in "OANDA Web Trading Platform” , the order has been successfully filled.

                                • NEW BRACKET ORDER[tradeid:54]
                                  ( type:Sell, size:300, price:137.92799999999986, exectype:2(Limit), tradeid:54, stopprice:147.92799999999986, limitprice:137.87799999999984 )
                                2020-09-10 14:03:07,051 [    INFO] *****, STORE NOTIF:, {'id': '368', 'time': '1599714154.801444989', 'userID': 10733067, 'accountID': '101-009-10733067-005', 'batchID': '368', 'requestID': '24724085988296074', 'type': 'LIMIT_ORDER', 'instrument': 'GBP_JPY', 'units': '-300.0', 'price': 137.928, 'timeInForce': 'GTC', 'positionFill': 'DEFAULT', 'triggerCondition': 'DEFAULT', 'reason': 'CLIENT_ORDER', 'clientExtensions': {'id': '1599667859.922813-160'}, 'takeProfitOnFill': {'price': 137.878, 'timeInForce': 'GTC', 'clientExtensions': {'id': '1599667859.922813-162'}}, 'stopLossOnFill': {'price': 147.928, 'timeInForce': 'GTC', 'clientExtensions': {'id': '1599667859.922813-161'}}}
    :
    :
2020-09-10 14:18:46,834 [    INFO] *****, STORE NOTIF:, {'id': '369', 'time': '1599715094.455659870', 'userID': 10733067, 'accountID': '101-009-10733067-005', 'batchID': '369', 'requestID': '42738488438139833', 'type': 'ORDER_CANCEL', 'orderID': '368', 'clientOrderID': '1599667859.922813-160', 'reason': 'CLIENT_REQUEST_REPLACED', 'replacedByOrderID': '370'}
2020-09-10 14:18:46,836 [    INFO] *****, STORE NOTIF:, {'id': '370', 'time': '1599715094.455659870', 'userID': 10733067, 'accountID': '101-009-10733067-005', 'batchID': '369', 'requestID': '42738488438139833', 'type': 'LIMIT_ORDER', 'instrument': 'GBP_JPY', 'units': '-300.0', 'price': 137.928, 'timeInForce': 'GTC', 'positionFill': 'DEFAULT', 'triggerCondition': 'DEFAULT', 'reason': 'REPLACEMENT', 'clientExtensions': {'id': '1599667859.922813-160'}, 'takeProfitOnFill': {'price': 137.876, 'timeInForce': 'GTC'}, 'stopLossOnFill': {'price': 147.928, 'timeInForce': 'GTC'}, 'replacesOrderID': '368'}

                                • ORDER STATUS[tradeid:54] (2020-09-10 14:03:06 - 2020-09-10 14:21:51)
                                  Main Order: Accepted
                                  TP Order: Submitted
                                  SL Order: Submitted

                                • MAIN ORDER FILLED[tradeid:54] and NEW BRACKET ORDER[tradeid:55]
                                  (type:Sell, size:300, price:137.97799999999987, exectype:2(Limit), tradeid:55, stopprice:147.97799999999987, limitprice:137.92799999999986)

                                2020-09-10 14:21:51,437 [    INFO] *****, STORE NOTIF:, {'id': '371', 'time': '1599715278.907071425', 'userID': 12345678, 'accountID': '101-009-12345678-005', 'batchID': '371', 'type': 'ORDER_FILL', 'orderID': '370', 'clientOrderID': '1599667859.922813-160', 'instrument': 'GBP_JPY', 'units': '-300.0', 'gainQuoteHomeConversionFactor': '1.0', 'lossQuoteHomeConversionFactor': '1.0', 'price': 137.928, 'fullVWAP': 137.928, 'fullPrice': {'type': 'PRICE', 'bids': [{'price': 137.928, 'liquidity': '250000'}], 'asks': [{'price': 137.942, 'liquidity': '250000'}], 'closeoutBid': 137.921, 'closeoutAsk': 137.948}, 'reason': 'LIMIT_ORDER', 'pl': '0.0', 'financing': '0.0', 'commission': '0.0', 'guaranteedExecutionFee': '0.0', 'accountBalance': '2999633.0916', 'tradeOpened': {'tradeID': '371', 'units': '-300.0', 'price': 137.928, 'guaranteedExecutionFee': '0.0', 'halfSpreadCost': '2.1', 'initialMarginRequired': '2069.01'}, 'halfSpreadCost': '2.1'}
2020-09-10 14:21:51,437 [    INFO] *****, STORE NOTIF:, {'id': '372', 'time': '1599715278.907071425', 'userID': 12345678, 'accountID': '101-009-12345678-005', 'batchID': '371', 'type': 'TAKE_PROFIT_ORDER', 'tradeID': '371', 'price': 137.876, 'timeInForce': 'GTC', 'triggerCondition': 'DEFAULT', 'reason': 'ON_FILL'}
2020-09-10 14:21:51,439 [    INFO] *****, STORE NOTIF:, Received external transaction TAKE_PROFIT_ORDER with id 372. Skipping transaction.
2020-09-10 14:21:51,439 [    INFO] *****, STORE NOTIF:, {'id': '373', 'time': '1599715278.907071425', 'userID': 12345678, 'accountID': '101-009-12345678-005', 'batchID': '371', 'type': 'STOP_LOSS_ORDER', 'tradeID': '371', 'price': 147.928, 'timeInForce': 'GTC', 'triggerCondition': 'DEFAULT', 'reason': 'ON_FILL'}
2020-09-10 14:21:51,439 [    INFO] *****, STORE NOTIF:, Received external transaction STOP_LOSS_ORDER with id 373. Skipping transaction.
2020-09-10 14:22:00,987 [    INFO] *****, STORE NOTIF:, v20 REST request to https://stream-fxpractice.oanda.com:443/v3/accounts/101-009-12345678-005/transactions/stream has timed out (stream)
2020-09-10 14:22:02,451 [    INFO] *****, STORE NOTIF:, v20 REST request to https://stream-fxpractice.oanda.com:443/v3/accounts/101-009-12345678-005/pricing/stream?instruments=GBP_JPY has timed out (stream)
    :
2020-09-10 14:22:06,300 [    INFO] *****, STORE NOTIF:, Trying to reconnect streaming events (1 of -1)
                                • ORDER STATUS[tradeid:54] (2020-09-10 14:22:03 - )
                                  Main Order: Completed
                                  TP Order: Submitted <-- Why is it "Submitted" and not "Accepted"?
                                  SL Order: Submitted <-- Why is it "Submitted" and not "Accepted"?
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                                • T H
                                  T H last edited by

                                  By the way, the order (tradid:55) has already been successfully filled. (according to "OANDA Web Trading Platform")
                                  But this orders status also as follows.

                                  Main Order: Accepted <-- Why is it "Accepted" and not "Completed"?
                                  TP Order: Submitted
                                  SL Order: Submitted

                                  (I'm not very good at English, so I don't know what verbs to use.(Filled? Opened?, Executed?) I'm sorry about that...)

                                  1 Reply Last reply Reply Quote 0
                                  • D
                                    dasch last edited by

                                    could you also provide the code which creates the orders?

                                    I see the issue there, but don't really know what is wrong there.

                                    T H 1 Reply Last reply Reply Quote 0
                                    • T H
                                      T H @dasch last edited by

                                      @dasch That's hard…
                                      But, I can provide only my order method.
                                      This is in next().
                                      This is called after the status of the orders checked.
                                      Nothing in particular. Maybe...

                                      def create_new_order(self, price, exec_type):
    stopprice = price - (self.order_type_sign * self.max_range_price)
    limitprice = price + (self.order_type_sign * self.interval_price)

    self.tradeid_seq +=1
    
    orders = None
    if self.order_type == bt.Order.Buy:
        orders = self.buy_bracket(size=self.order_size, price=price, exectype=exec_type, 
                            tradeid=self.tradeid_seq, 
                            stopprice=stopprice, stopexec=bt.Order.Stop, 
                            limitprice=limitprice, limitexec=bt.Order.Limit)
    elif self.order_type == bt.Order.Sell:
        orders = self.sell_bracket(size=self.order_size, price=price, exectype=exec_type, 
                            tradeid=self.tradeid_seq, 
                            stopprice=stopprice, stopexec=bt.Order.Stop, 
                            limitprice=limitprice, limitexec=bt.Order.Limit)
    
    logger.info("$$$ ORDER $$$ type:{}, size:{}, price:{}, exectype:{}({}), tradeid:{}, stopprice:{}, limitprice:{}".format(
        bt.Order.OrdTypes[self.order_type], self.order_size, price, exec_type, bt.Order.ExecTypes[exec_type], self.tradeid_seq, stopprice, limitprice)
    )
    return orders
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                                      • D
                                        dasch last edited by

                                        the issue is with the tradeid, btoandav20 fails when the order gets replaced. I am not really sure, when i will be able to fix that in btoandav20 but as a workaround, cancel your previous order and create a new order without tradeid.

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                                        • D
                                          dasch last edited by

                                          to explain it more, btoandav20 will not recognize the child order, since they are assigned to the canceled order. the new order will not trigger the child orders.

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                                          • T H
                                            T H last edited by

                                            OMG!! Thank you for your information.
                                            Anyway, I'll try it.

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