3. Order Synchronization
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Order Synchronization


  • 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!

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  • 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.

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

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  • @T-H said in Order Synchronization:

    How can I get API logs?

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

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

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  • D

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

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  • @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

    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.

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  • @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

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

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  • D

    for example this way:

        def notify_store(self, msg, *args, **kwargs):
        print(msg)
    1 1 Reply

  • @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.

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  • 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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  • 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...)

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  • D

    could you also provide the code which creates the orders?

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

    0 1 Reply

  • @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

    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

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

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