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Bracket order with a Trailing Stop



  • Any input to how I smartest set a bracket order plus a trailing stop such that the 1) stop and the 2) limit in the bracket have a OCO (aka One Cancel Others) relationship with 3) the trailing stop?

    if not self.position and self.myindicator > self.params.p:
        self.buy_bracket(limitprice=self.data.close[0]*self.params.lPerc, price=None, stopprice=self.data.close[0]*(1-self.params.sPerc))
        self.tstop = self.sell(exectype=bt.Order.StopTrail, trailpercent=self.params.tPerc)
    

    In other word tstop gets canceled immediately in the same next() loop if the stop or the limit order in the bracket is executed, cancelled or expires - AND visa versa.



  • @søren-pallesen You can use trailing stops in buy_bracket with the latest release, but note that there might be a bug. See my posts regarding the bug.

    You would write something like this:

    self.buy_bracket(...,stopexec=bt.Order.StopTrail,trailamount=trailamount,...)
    


  • @cheez can i have both a stop and a trailing stop in the same bracket order?



  • @søren-pallesen Ah, no I don't think that's possible.



  • Anyone? ...maybe @backtrader? thx in advance ...



  • What is the reason to have 2 stops at the same time? Only one will work anyway.



  • @ab_trader There are three live orders on the position: One is a stop (to limit loss) and the other is a trailing stop (to take profit) and the last is a limit (to take profit).

    They all trigger on different conditions.



  • From two stops only one will work, the one which is closer to the current price. IMO it is useless to have two stops for single position.



  • A trailing stop and a (normal) stop works completly different. For example on position bought at $10 a stop at say $9 would protect against a loss. A trailing stop of 20% would ensure that you sold if the price drops 20% at any time of the life span on the position. So if the price increased to $20 and drops to $16 it would be sold with a profit of $6.

    A normal stop is static protecting against a loss and a trailingstop dynamic and typically primarily used to lock in a profit while keeping the upside of further increases.



  • This worked fo me (it seems - still have more testing to do) in case anyone is interested ... :-)

                    mainside = self.buy(transmit=False)
                    lowside  = self.sell(price=self.data.close[0]*(1-self.params.sPerc), size=mainside.size, exectype=bt.Order.Stop, transmit=False, parent=mainside)
                    highside = self.sell(price=self.data.close[0]*self.params.lPerc, size=mainside.size, exectype=bt.Order.Limit, transmit=False, parent=mainside)
                    trailside = self.sell(size=mainside.size, exectype=bt.Order.StopTrail, trailpercent=self.params.tPerc, transmit=True, parent=mainside)
    

    Incendently anyone know the differences in doing this with 'OCO' vs the 'Parent' property?


  • administrators

    OCO orders are all active at the same time.

    Bracket orders (the ones you submit with parent) have a different lifecycle:

    • parent is 1st alive. children are inactive
    • If the parent is cancelled the children are simply discarded (they weren't active)
    • If the parent is executed, the children are activated
    • Both children behave now like OCO orders