Hello,
The boot camp for the trailing stop loss was helpful. Great bootcamp! I was also able to modify the code from the boot camp to buy with this type of code.
I am having difficulties combining a trailing stop buy with trailing stop sell. I basically want to place the trailing stop sell as soon as the trailing stop buy fills. Can anyone help rustle up some code for this?
Thanks!
class BootCampTask(QCAlgorithm):
# Order ticket for our stop order, Datetime when stop order was last hit
stopMarketTicket = None
stopMarketOrderFillTime = datetime.min
highestSPYPrice = -1
lowestSPYPrice = 9999999
def Initialize(self):
self.SetStartDate(2018, 12, 1)
self.SetEndDate(2018, 12, 10)
self.SetCash(100000)
spy = self.AddEquity("SPY", Resolution.Minute)
spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
def OnData(self, data):
# 1. Plot the current SPY price to "Data Chart" on series "Asset Price"
self.Plot("Data Chart", "Asset Price", data["SPY"].Close)
if (self.Time - self.stopMarketOrderFillTime).days < 1:
return
if not self.Portfolio.Invested:
self.stopMarketTicket = self.StopMarketOrder("SPY", 500, 1.002 * self.Securities["SPY"].Close)
#2. Plot the moving stop price on "Data Chart" with "Stop Price" series name
self.Plot("Data Chart", "Stop Price", self.stopMarketTicket.Get(OrderField.StopPrice))
if self.Securities["SPY"].Close < self.lowestSPYPrice:
self.lowestSPYPrice = self.Securities["SPY"].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.lowestSPYPrice * 1.002
self.stopMarketTicket.Update(updateFields)
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId:
self.stopMarketOrderFillTime = self.Time
else:
self.stopMarketTicket = self.StopMarketOrder("SPY", -500, 0.998 * self.Securities["SPY"].Close)
#2. Plot the moving stop price on "Data Chart" with "Stop Price" series name
self.Plot("Data Chart", "Stop Price", self.stopMarketTicket.Get(OrderField.StopPrice))
if self.Securities["SPY"].Close > self.highestSPYPrice:
self.highestSPYPrice = self.Securities["SPY"].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.highestSPYPrice * 0.998
self.stopMarketTicket.Update(updateFields)
def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
return
if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId:
self.stopMarketOrderFillTime = self.Time
Rahul Chowdhury
Hey PK,
I've changed your algorithm to place a trailing stop loss as soon as the trailing stop buy fills.
I've also changed some things around to improve the logic. Read through my comments to see how each part works.
If you have any further questions, please don't hesitate to ask.
Best
Rahul
PK
Thank you!
PK
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