Trades initializing at the wrong time

Hi Matyas

I'll try to help. I quoted your code's ordering hierarchy:

if (self.btc_money_flow.Current.Value >= 100) and (previous_close > previous_open):		# condition 1
		self.short_order = self.StopMarketOrder(..)		
		
		if self.close_price_history[0] >= (self.close_price_history[1] + self.close_price_history[1] * 0.003):	#condition 2
		
		if self.trailing_sl_short.Status == OrderStatus.Filled:		# condition 3
		
				if self.close_price_history[1] >= (self.close_price_history[1] * 0.005):	# condition 4

First short condition seems match what you have described your entry condition, the problem is your order type, your order will only be executed when the price acrossed the set stop price. If your preset condition is trading-signal based, it would be the best practice to just simply use market order for minimal delay, that is the sacrifice you would trade for a worse price even if there is chance of getting a better quote, otherwise limit order but not stop order.

Second, the trailing stop loss should not be set like this, it will not be updated, and only be sent out when at that slice both condition 1 & 2 are satisfied. You need to call for immediate stop market/limit order just after your short sell (i.e. under condition 1), and if certain conditions is true/false to update its stop price. Similar for the one in condition 4. BTW the stop price of condition 4 is a bit strange.

Third, condition 3 should not be encapsulated inside condition 1, otherwise it'll never sent out unless both the short sell and its trailing stop got executed immediately after sent out. Similar problem of order type like at condition 1.

Fourth, logical problem, maybe just you didn't show all your code: you never set any normal exit condition. This part I am not able help you with.

See if this could get what you need, I only include relevant parts:

class BTCTradingBot(QCAlgorithm):
        
    def Initialize(self):
        
        self.btc_money_flow = self.MFI(self.tick, 3, Resolution.Hour)
        
        self.close_price_history = RollingWindow[float](4)
        
        self.trailing_sl_short = None
        self.trailing_sl_long = None
     
    def OnData(self, data):
               
        if data.ContainsKey(self.tick):
        		self.close_price_history.Add(data[self.tick].Close)
        		previous_close = self.close_price_history[0]
        else: return
        
        # avoid entry when there is other orders/positions active, such that it will not mess up the variable storing orders
        if self.trailing_sl_short is None and self.trailing_sl_long is None and (self.btc_money_flow.Current.Value >= 100) and (previous_close > previous_open):		
            	self.MarketOrder(self.tick, -0.1, "Short order")		# SHORT ORDER
            	self.trailing_sl_short = self.StopMarketOrder(self.tick, 0.1, self.Securities[self.tick].Close * 1.003, "Short order stop loss")
            	self.trailing_sl_short_close = self.Securities[self.tick].Close
            
        if self.trailing_sl_short is not None and self.trailing_sl_short_close > previous_close:
        		updateSettings = self.trailing_sl_short.UpdateOrderFields()
        		updateSettings.StopPrice = self.Securities[self.tick].Close * 1.003
        		self.trailing_sl_short.Update(updateSettings)
        		self.trailing_sl_short_close = self.Securities[self.tick].Close		# update for trailing sl
                
        if self.trailing_sl_short is not None and self.trailing_sl_short.Status == OrderStatus.Filled:
        		self.trailing_sl_short = None
            	self.MarketOrder(self.tick, 0.1, "Long order")			# LONG ORDER
            	self.trailing_sl_long = self.StopMarketOrder(self.tick, -0.1, self.Securities[self.tick].Close * 0.995, "Long order stop loss")
            	self.trailing_sl_long_close = self.Securities[self.tick].Close
                
        if self.trailing_sl_long is not None and self.trailing_sl_long_close < previous_close:
            	updateSettings = self.trailing_sl_long.UpdateOrderFields()
        		updateSettings.StopPrice = self.Securities[self.tick].Close * 0.995
        		self.trailing_sl_long.Update(updateSettings)
        		self.trailing_sl_long_close = self.Securities[self.tick].Close		# update for trailing sl
        	
        if self.trailing_sl_long is not None and self.trailing_sl_long.Status == OrderStatus.Filled:
        		self.trailing_sl_long = None

CheersLouis

Thanks for responding Louis

After implementing your suggestions the code is definitely cleaner, but so far only the first trade (short and short stop loss) gets executed. Probably some of the conditions won't reset, so the first section won't get initialized again - I'm looking into that. I had a similar problem when trying to restrict placing trades by “if not self.Portfolio.Invested”.

Also, it still runs into problems when it comes to the MFI. The time order is submitted, which if I understand this correctly should happen immediately after meeting the conditions, isn't correlating with the time the MFI hits 100.

Have a great day,
Matyas

Hi Matyas

My test didm't replicate your repeating problem on MFI (see image, the MFI is indeed 100), also the trade count seems normal.

Anyway I attach my backtest for your reference. FYI I corrected some of the wrong code given to you earlier.

Cheers
Louis