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Hi, i have a problem updating all trailing stops for my portfolio.
First, the inital stop loss is made during the order event:
def OnOrderEvent(self, event):
# fetch the order of the event
#INITAL STOPLOSS
order = self.Transactions.GetOrderById(event.OrderId)
if order.Type == OrderType.Market and orderEvent.Status == OrderStatus.Filled:
self.stopMarketTicket = self.StopMarketOrder(event.Symbol, -event.Quantity, event.FillPrice*0.90)
In the OnData part, i want to update the Stoploss as a Trailing stop like this:
#Trailing Stop################################################
for kvp in self.Portfolio: # loop through portfolio
self.StockWatermark = -1 # init
self.StockClosePrice = self.GetPrice(kvp.Key)
if self.StockClosePrice > self.StockWatermark: #and not(self.stopMarketTicket == none):
self.StockWatermark = self.StockClosePrice # set new watermark high for this stock
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.StockWatermark * 0.8
self.stopMarketTicket.Update(updateFields) ###
How do I use an Array of “self.stopMarketTicket” for all stocks in my portfolio and use it in the OnData part?
Should i pass it through the function like def OnOrderEvent(self, event, Array): , and same in Ondata def OnData(self, data, Array) ?
Thanks for your help, Regards Chris
Varad Kabade
Hi Chris,
We recommend creating a dictionary keyed by symbol to store the tickets inside the initialize method:
then:
To save the ticket and use that in the OnOrderEvent.When the order is filled or canceled, we can remove the object from the dict.
Alternatively, you can use :
to get the list of all open orders, and you can check the order type to iterate only through the StopMarketOrders.
Best,
Varad Kabade
Toaster
Thanks for the answer, so i solved problem Nr.1 but not Nr.2:
I assign the Array in OnOrderEvent with event.Symbol
In Ondata, i dont have event.Symbol, so i want to iterate like this:
kvp.Key is the wrong “loop through” variable, but i dont know why?
Toaster
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