@ab_trader @run-out Thank you for your everything!

BUMP....

@run-out said in Cancel buy_bracket order after it's closed:

Try implementing the stop/close/cancel order something like this:

        price = round(self.data.close[0], 2)
        stop_price = price * (1 - self.p.stopLoss)
        if not self.position and self.rsi[0] <= self.p.lowerband:
            self.buy_order = self.buy(transmit=False)
            self.stop_order = self.sell(exectype=bt.Order.Stop, price=stop_price,
                      parent=self.buy_order, transmit=True)
            self.log(f'BUY CREATE, price: {price}')

        if self.position and self.rsi >= self.p.upperband:
            self.close()
            self.cancel(self.stop_order)
            self.log(f'CLOSE CREATE, price {price}')

Now I have a question. If I use self.buy(), the self.sell() from the stop loss will open a short order or will it simply close the buy order?

@Eduardo-Menges-Mattje said in Cancel buy_bracket order after it's closed:

stop_price = price * (1 - self.p.stopLoss)

A comment on the stop_price. Your parameter is 0.2, which means your stop price is:

price * (1-.2) 
# or
price * (0.8)

This will rarely trigger while the other sell condition is in place. I lowered this to .02 using 15 minute data and there seemed to be a good balance between stops and close orders.

Yes, this high number I've used only for testing, to see if it's working at all.

@run-out said in Cancel buy_bracket order after it's closed:

You might wish to consider using stop loss instead of bracket orders, since you aren't using the limit side.

I've tried to implement it with this:

    def next(self):
            price = round(self.data.close[0], 2)
            stop_price = price * (1 - self.p.stopLoss)
            if not self.position and self.rsi <= self.p.lowerband:
                buy = self.buy()
                stop = self.close(price=stop_price)
                self.log(f'BUY CREATE, price:{price}')
            if self.position and self.rsi >= self.p.upperband:
                self.close()
                self.log(f'CLOSE CREATE, price:{price}')
                if self.stop:
                    self.cancel(stop)

However, it doesn't work. I get an UnboundLocalError.

I'm trying to implement a stop loss in my strategy by using buy_bracket, but I'm getting multiple closes, as you can see on the log. What I think is happening is that the stop order issued by the buy_bracket is not being canceled after the buy_bracket is closed. This is the code:

import backtrader as bt
from datetime import datetime


class RSI(bt.Strategy):
    params = dict(
        stopLoss=0.2,
        upperband=75,
        lowerband=25,
        period=9
    )

    def __init__(self):
        self.rsi = bt.indicators.RelativeStrengthIndex(period=self.p.period, upperband=self.p.upperband, lowerband=self.p.lowerband, safediv=True)

    def log(self, txt, dt=None):
        dt = dt or self.data.datetime[0]
        if isinstance(dt, float):
            dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat(), txt))

    def notify_order(self, order):
        price = round(order.executed.price, 2)
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(f'BUY EXECUTED, Price: {price}')
            else:
                self.log(f'CLOSE EXECUTED, Price: {price}')

        self.order = None

    def next(self):
        price = round(self.data.close[0], 2)
        if not self.position and self.rsi <= self.p.lowerband:
            self.buy_bracket(limitexec=None, stopprice=(self.data.close * (1 - self.p.stopLoss)), exectype=bt.Order.Market)
            self.log(f'BUY CREATE, price:{price}')
        if self.position and self.rsi >= self.p.upperband:
            self.close()
            self.log(f'CLOSE CREATE, price:{price}')


start_cash = 100

cerebro = bt.Cerebro()

cerebro.addstrategy(RSI)

data = bt.feeds.GenericCSVData(
    dataname='NEOUSDT-15m-data.csv',
    fromdate=datetime(2020, 2, 1, 0, 0),
    todate=datetime(2020, 6, 1, 0, 0),
    timeframe=bt.TimeFrame.Minutes,
    compression=15,
    dtformat='%Y-%m-%d %H:%M:%S',
    openinterest=None
)

cerebro.adddata(data)

cerebro.broker.setcash(start_cash)

cerebro.addsizer(bt.sizers.PercentSizer, percents=90)  # Set the order size

cerebro.addanalyzer(bt.analyzers.DrawDown, _name='Drawdown')

cerebro.broker.setcommission(commission=0.0001, margin=False)

cerebro.run()

portvalue = round(cerebro.broker.getvalue(), 2)
pnl = round(portvalue - start_cash, 2)

print('Final Portfolio Value: ${}'.format(portvalue))
print('P/L: ${}'.format(pnl))
cerebro.plot(style='candlestick')

Is there a way to cancel that order or am I doing something wrong?

@ab_trader said in Multiple stop loss issued:

Good you figured this out. Maybe this is true in your case since you use Market order as a first order.For this type of order the execution price is unknown at the moment when order is issued. You passed close prices and maybe stoptrail started to work from that value.

I didn't have a chance to go thru all the info you dropped here. Especially having no RSI values and having outputs started from the middle of the whole price array. But I am still thinking that my guess above is true. Even 1% stop trail is large for your set of prices.

Is there a way for StopLoss to trigger only when executed price - current price <= percentage?

So it turns out that this is intended behaviour.
StopTrail compares the latest price, not the executed price.

BUMP....

@ab_trader said in Multiple stop loss issued:

I'll take a look. Also please log ohlc prices and rsi values.

This is the csv file: https://drive.google.com/file/d/1zx6Ywdts38sHVJqr9ZYfYV5Izxh_MBVk/view?usp=sharing

@ab_trader said in Multiple stop loss issued:

Just to clarify (Docs - Orders - StopTrail)

Percentage based distance: trailpercent=0.02 (i.e.: 2%)

You start with 0.1 which is 10% and your price range is much less than this value. You need to use much less % of stop in order to hit it before your self.close() closes position in regular way.
Even with trailpercent=0.01, the result is the same as 0.1 or any other value. As I said, it is as if trailpercent is completely disregarded.

You may want to add more logging into your script, this will help you to understand what is going on.
Ok. This is the code with the logging:

import backtrader as bt
from datetime import datetime


class firstStrategy(bt.Strategy):
    params = dict(
        stopLoss=0.01,
        upperband=75,
        lowerband=25,
        period=9
    )

    def log(self, txt, dt=None):
        dt = dt or self.data.datetime[0]
        if isinstance(dt, float):
            dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat(), txt))

    def notify_order(self, order):
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

            else:
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

        self.order = None

    def __init__(self):
        self.rsi = bt.indicators.RelativeStrengthIndex(period=self.p.period, upperband=self.p.upperband,
                                                       lowerband=self.p.lowerband, safediv=True)

    def next(self):
        if not self.position and self.rsi <= self.p.lowerband:
            # self.buy()
            self.buy_bracket(exectype=bt.Order.Market, price=self.data.close, limitexec=None,
                             stopexec=bt.Order.StopTrail, trailpercent=self.p.stopLoss, stopprice=self.data.close)
            self.log('BUY CREATE, exectype Market, price %.2f' % self.data.close[0])
        elif self.position and self.rsi >= self.p.upperband:
            self.close()
            self.log('BUY CREATE, exectype Close, price %.2f' % self.data.close[0])


startcash = 100

cerebro = bt.Cerebro()

cerebro.addstrategy(firstStrategy)

data = bt.feeds.GenericCSVData(
    dataname='NEOUSDT-15m-data.csv',
    fromdate=datetime(2020, 2, 1, 0, 0),
    todate=datetime(2020, 6, 1, 0, 0),
    timeframe=bt.TimeFrame.Minutes,
    compression=15,
    dtformat='%Y-%m-%d %H:%M:%S'
)

cerebro.adddata(data)

cerebro.broker.setcash(startcash)

cerebro.addsizer(bt.sizers.PercentSizer, percents=90)  # Set the order size

cerebro.addanalyzer(bt.analyzers.DrawDown, _name='Drawdown')

cerebro.broker.setcommission(commission=0.0001, margin=False)

cerebro.run()

portvalue = round(cerebro.broker.getvalue(), 2)
pnl = round(portvalue - startcash, 2)

print('Final Portfolio Value: ${}'.format(portvalue))
print('P/L: ${}'.format(pnl))
cerebro.plot(style='candlestick')

This is the log with trailpercent=0.01:
https://controlc.com/90e3b126
This is the log with trailpercent=0.10:
https://controlc.com/80136684