Trailing stop orders (#7402)

* Add trailing stop orders base implementation * Handle trailing stop order prices rounding * Implement trailing stop orders fill logic * Minor fill model changes * Add ApplySplit to fill model interface for models that might need to be aware of splits. Filling trailing stop orders require keeping track of min/max prices, which need to be split adjusted. * Add brokerage order updated event for communicating certain order types prices changes * Add order update event args class for brokerage side order updates * Revert IFillModel.ApplySplit * Add trailing stop orders regression algorithm * Updated order ticket demo algorithm to include trailing stop orders * Some cleanup * Support trailing stop orders in IB brokerage model * Some cleanup * Fix failing tests * Fix failing regression algorithm * Address peer review * Add trailing stop price calculation unit tests * Minor changes * Minor change
2023-07-28 17:49:58 -04:00
parent 10a9f31d65
commit 906ab20bee
41 changed files with 1892 additions and 170 deletions
@@ -0,0 +1,85 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from AlgorithmImports import *
+
+### <summary>
+### Basic algorithm demonstrating how to place trailing stop orders.
+### </summary>
+### <meta name="tag" content="trading and orders" />
+### <meta name="tag" content="placing orders" />
+### <meta name="tag" content="trailing stop order"/>
+class TrailingStopOrderRegressionAlgorithm(QCAlgorithm):
+    '''Basic algorithm demonstrating how to place trailing stop orders.'''
+
+    BuyTrailingAmount = 2
+    SellTrailingAmount = 0.5
+
+    def Initialize(self):
+
+        self.SetStartDate(2013,10, 7)
+        self.SetEndDate(2013,10,11)
+        self.SetCash(100000)
+
+        self._symbol = self.AddEquity("SPY").Symbol
+
+        self._buyOrderTicket: OrderTicket = None
+        self._sellOrderTicket: OrderTicket = None
+        self._previousSlice: Slice = None
+
+    def OnData(self, slice: Slice):
+        if not slice.ContainsKey(self._symbol):
+            return
+
+        if self._buyOrderTicket is None:
+            self._buyOrderTicket = self.TrailingStopOrder(self._symbol, 100, trailingAmount=self.BuyTrailingAmount, trailingAsPercentage=False)
+        elif self._buyOrderTicket.Status != OrderStatus.Filled:
+            stopPrice = self._buyOrderTicket.Get(OrderField.StopPrice)
+
+            # Get the previous bar to compare to the stop price,
+            # because stop price update attempt with the current slice data happens after OnData.
+            low = self._previousSlice.QuoteBars[self._symbol].Ask.Low if self._previousSlice.QuoteBars.ContainsKey(self._symbol) \
+                  else self._previousSlice.Bars[self._symbol].Low
+
+            stopPriceToMarketPriceDistance = stopPrice - low
+            if stopPriceToMarketPriceDistance > self.BuyTrailingAmount:
+                raise Exception(f"StopPrice {stopPrice} should be within {self.BuyTrailingAmount} of the previous low price {low} at all times.")
+
+        if self._sellOrderTicket is None:
+            if self.Portfolio.Invested:
+                self._sellOrderTicket = self.TrailingStopOrder(self._symbol, -100, trailingAmount=self.SellTrailingAmount, trailingAsPercentage=False)
+        elif self._sellOrderTicket.Status != OrderStatus.Filled:
+            stopPrice = self._sellOrderTicket.Get(OrderField.StopPrice)
+
+            # Get the previous bar to compare to the stop price,
+            # because stop price update attempt with the current slice data happens after OnData.
+            high = self._previousSlice.QuoteBars[self._symbol].Bid.High if self._previousSlice.QuoteBars.ContainsKey(self._symbol) \
+                   else self._previousSlice.Bars[self._symbol].High
+            stopPriceToMarketPriceDistance = high - stopPrice
+            if stopPriceToMarketPriceDistance > self.SellTrailingAmount:
+                raise Exception(f"StopPrice {stopPrice} should be within {self.SellTrailingAmount} of the previous high price {high} at all times.")
+
+        self._previousSlice = slice
+
+    def OnOrderEvent(self, orderEvent: OrderEvent):
+        if orderEvent.Status == OrderStatus.Filled:
+            if orderEvent.Direction == OrderDirection.Buy:
+                stopPrice = self._buyOrderTicket.Get(OrderField.StopPrice)
+                if orderEvent.FillPrice < stopPrice:
+                    raise Exception(f"Buy trailing stop order should have filled with price greater than or equal to the stop price {stopPrice}. "
+                                    f"Fill price: {orderEvent.FillPrice}")
+            else:
+                stopPrice = self._sellOrderTicket.Get(OrderField.StopPrice)
+                if orderEvent.FillPrice > stopPrice:
+                    raise Exception(f"Sell trailing stop order should have filled with price less than or equal to the stop price {stopPrice}. "
+                                    f"Fill price: {orderEvent.FillPrice}")