Jhonathan Abreu
906ab20bee
* 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
86 lines
4.4 KiB
Python
86 lines
4.4 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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### <summary>
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### Basic algorithm demonstrating how to place trailing stop orders.
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="placing orders" />
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### <meta name="tag" content="trailing stop order"/>
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class TrailingStopOrderRegressionAlgorithm(QCAlgorithm):
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'''Basic algorithm demonstrating how to place trailing stop orders.'''
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BuyTrailingAmount = 2
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SellTrailingAmount = 0.5
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def Initialize(self):
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self.SetStartDate(2013,10, 7)
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self.SetEndDate(2013,10,11)
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self.SetCash(100000)
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self._symbol = self.AddEquity("SPY").Symbol
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self._buyOrderTicket: OrderTicket = None
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self._sellOrderTicket: OrderTicket = None
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self._previousSlice: Slice = None
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def OnData(self, slice: Slice):
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if not slice.ContainsKey(self._symbol):
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return
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if self._buyOrderTicket is None:
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self._buyOrderTicket = self.TrailingStopOrder(self._symbol, 100, trailingAmount=self.BuyTrailingAmount, trailingAsPercentage=False)
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elif self._buyOrderTicket.Status != OrderStatus.Filled:
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stopPrice = self._buyOrderTicket.Get(OrderField.StopPrice)
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# Get the previous bar to compare to the stop price,
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# because stop price update attempt with the current slice data happens after OnData.
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low = self._previousSlice.QuoteBars[self._symbol].Ask.Low if self._previousSlice.QuoteBars.ContainsKey(self._symbol) \
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else self._previousSlice.Bars[self._symbol].Low
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stopPriceToMarketPriceDistance = stopPrice - low
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if stopPriceToMarketPriceDistance > self.BuyTrailingAmount:
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raise Exception(f"StopPrice {stopPrice} should be within {self.BuyTrailingAmount} of the previous low price {low} at all times.")
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if self._sellOrderTicket is None:
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if self.Portfolio.Invested:
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self._sellOrderTicket = self.TrailingStopOrder(self._symbol, -100, trailingAmount=self.SellTrailingAmount, trailingAsPercentage=False)
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elif self._sellOrderTicket.Status != OrderStatus.Filled:
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stopPrice = self._sellOrderTicket.Get(OrderField.StopPrice)
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# Get the previous bar to compare to the stop price,
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# because stop price update attempt with the current slice data happens after OnData.
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high = self._previousSlice.QuoteBars[self._symbol].Bid.High if self._previousSlice.QuoteBars.ContainsKey(self._symbol) \
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else self._previousSlice.Bars[self._symbol].High
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stopPriceToMarketPriceDistance = high - stopPrice
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if stopPriceToMarketPriceDistance > self.SellTrailingAmount:
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raise Exception(f"StopPrice {stopPrice} should be within {self.SellTrailingAmount} of the previous high price {high} at all times.")
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self._previousSlice = slice
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def OnOrderEvent(self, orderEvent: OrderEvent):
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if orderEvent.Status == OrderStatus.Filled:
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if orderEvent.Direction == OrderDirection.Buy:
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stopPrice = self._buyOrderTicket.Get(OrderField.StopPrice)
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if orderEvent.FillPrice < stopPrice:
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raise Exception(f"Buy trailing stop order should have filled with price greater than or equal to the stop price {stopPrice}. "
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f"Fill price: {orderEvent.FillPrice}")
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else:
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stopPrice = self._sellOrderTicket.Get(OrderField.StopPrice)
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if orderEvent.FillPrice > stopPrice:
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raise Exception(f"Sell trailing stop order should have filled with price less than or equal to the stop price {stopPrice}. "
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f"Fill price: {orderEvent.FillPrice}")
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