ImmediateExecutionModel not executing immediately (?)

Hey Jose

I think you have to do something like this instead. The problem is in the RiskManagement, and not the execution 

class Trailing_SL_TP(RiskManagementModel):

    def __init__(self):

        #These two dictionaries will store the symbol and the respective TP and SL
        self.Take_Profit = dict()
        self.Stop_Loss = dict()

    def ManageRisk(self, algorithm, targets):
        
        #Risk_targets is the list to be returned at the end
        #Green is the % value of the take profit (e.g 1.30 is 30% on the upside)
        #Red is the % value of the Stop Loss (e.g 0.90 is 10% on the downside)
        risk_targets = list()
        Green = 1.15
        Red = 0.95

        for kvp in algorithm.Securities:
            security = kvp.Value

            #We just care if the security is invested coz it is the whole point of the risk management model 
            if algorithm.Securities[security.Symbol].Invested:

                if security.Symbol not in self.Take_Profit:

                    self.Take_Profit[security.Symbol] = Green * algorithm.Portfolio[security.Symbol].AveragePrice
                    self.Stop_Loss[security.Symbol] = Red * algorithm.Portfolio[security.Symbol].AveragePrice

                if (security.Symbol in self.Take_Profit):

                    if algorithm.Securities[security.Symbol].Price >= self.Take_Profit[security.Symbol]:
                        self.Take_Profit[security.Symbol] = Green * algorithm.Portfolio[security.Symbol].Price
                        self.Stop_Loss[security.Symbol] = Red * algorithm.Portfolio[security.Symbol].Price

                    if algorithm.Securities[security.Symbol].Price <= self.Stop_Loss[security.Symbol]:
                        risk_targets.append(PortfolioTarget(security.Symbol, 0))

        return risk_targets

I did not check if it works 100% as you intended (tight schedule on a saturday ;) '

Have a good day

Lucas

Hi Jose and Lucas

The main problem is the data resolution is daily, so bars are received at the end of the day. Any stop-loss order has to wait until the next day's opening to be submitted. Since the framework models are using that data bar received to update, for more “real-time” stop-loss, we recommend a denser resolution like minute or second.

Although the Risk Management Model would generate portfolio targets that will close the positions with market orders "mimicking" a stop loss, the insight is still active. Thus, it will re-order the stop-loss asset. Please refer to this thread on how to stop loss using the framework.

Best
Louis