Bracket Order closing at wrong prices.

Jeffrey C F Wong

Hi Everyone, I am back testing bracket orders with the following ticks target for SI futures.

  def next(self):
      
        close = self.data.close[0]
    
        long_tp = close + 0.025         #####   REWARD
        long_stop = close - 0.1       #####   RISK
        
        short_tp = close - 0.025       #####   REWARD
        short_stop = close + 0.1      #####   RISK  
  
        if not self.position:
            if self.crossover:   
                self.buy_bracket(stopprice=long_stop, limitprice=long_tp, exectype=bt.Order.Market, size=1)
                
            if self.crossunder:
                self.sell_bracket(stopprice=short_stop, limitprice=short_tp, exectype=bt.Order.Market, size=1)

However, after backtesting, the results are looking weird as the P&L are not consistent at 0.025 profit or -0.1 stoploss

Open Time            Close Time            Entry  Candles  PnL
2020-11-16 04:28:00   2020-11-16 05:04:00   25.11   36   0.02
2020-11-16 05:44:00   2020-11-16 06:09:00   25.025   25   -0.095
2020-11-16 06:17:00   2020-11-16 06:31:00   24.95   14   0.025
2020-11-16 06:42:00   2020-11-16 06:45:00   24.99   3   0.02  
2020-11-16 07:40:00   2020-11-16 08:31:00   24.97   51   -0.1
2020-11-16 09:31:00   2020-11-16 09:42:00   24.945   11   0.03
2020-11-16 10:12:00   2020-11-16 10:35:00   24.935   23   -0.095
2020-11-16 10:40:00   2020-11-16 11:10:00   24.875   30   0.03
2020-11-16 11:27:00   2020-11-16 11:30:00   24.905   3   0.025
2020-11-17 02:55:00   2020-11-17 02:58:00   24.845   3   0.02
2020-11-17 04:24:00   2020-11-17 04:38:00   24.795   14   0.025
2020-11-17 05:41:00   2020-11-17 06:13:00   24.76   32   -0.105
2020-11-17 06:16:00   2020-11-17 06:23:00   24.69   7   0.02
2020-11-17 07:14:00   2020-11-17 07:21:00   24.73   7   0.025
2020-11-17 07:27:00   2020-11-17 07:32:00   24.71   5   0.02

I painstakingly gone thru the CSV for each trade and I just can't seem to find why it fills at such random prices. For example, the first winning short trade:

With an entry price of 25.11, it would only make sense to take profit at 25.085 (25.11-0.025) . However, you can see that 5:04 doesn't have 25.085 for OHLC. So why did it close the trade at 25.09? Am I missing some important parameters in the bracket definition?

run-out

Could you run the backtest printing data for order creation and execution, along with ohlcv? This will help us to see what's going on.

Jeffrey C F Wong

@run-out Thank you for getting back. I reviewed the CSV again and noticed these trades are correct because it calculated the crossover based on the previous Close price, and then entered at the next Open price. If I used Cheat-on-close, all the P&L are perfect. However, now my question is, how can I specify the Take Profit and Stop Loss ticks based on the parent's executed price instead of previous Close?

run-out

Well the the three orders are issued simultaneouly, so you can't create the take profit and stop loss on the executed price of the entry order, as it has not happened yet.

Someone else my know a built in way, but I've issued orders manually in the past after the fill of the entry order, at which point you can use the executed price.

Jayden Clark

To your second question. I actually believe that the kind of tick trading you're talking of, using bid/ask, is not supported on backtrader.

Jayden Clark

My bad, I didn't read the question properly. I think what you're asking lends itself to creating a seperate stop/limit order once in the market.