Bracket Order Calculation Question that No One Asked.

Jeffrey C F Wong

I have been playing with bracket orders for my simple crossover strategy and all the trade entry time and execution price is matching up with Tradingview's result which is great news. However as I examine each trade, the P&L and closing time is quite off.

 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)


RESULTS:
Open Time             Close Time            Entry  Mins  PnL(Ticks)
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

What I noticed is that with backtrader's bracket order, the [main, stop, limit] are all calculated based on the previous candle's Close price. So now the parent order [main] is executed based on market price, hence the next candle's open price. Because othewise, all the P&L should either be 0.025 or -0.1 Whereas for Tradingview, the children orders [stop, limit] are calculated based on the parent order's [main] executed price. Looking below, you can see that all the P&L are consistent.

Anyone got a clue on how to replicate this behavior in backtrader's bracket order?

Jeffrey C F Wong

@backtrader, @ab_trader , @run-out you guys seems to be the most active gurus on this community, if you can please shine some light on my question, it'd be greatly appreciated.

ab_trader

@Jeffrey-C-F-Wong said in Bracket Order Calculation Question that No One Asked.:

Anyone got a clue on how to replicate this behavior in backtrader's bracket order?

If you want to use bracket order with the main market order executed on the open, than you can use cheat-on-open and issue the bracket order during next_open() call. If I remember correctly, than during next_open() the only price delivered is current open, so your stop and limit prices should be calculated correctly.