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I thought every time order gets generated(placed), filled or cancelled by SetHoldings or Liquidate method in OnData, OnOrderEvent should be called. However by setting breakpoints at def OnOrderEvent, the algo doesn't seem to go there ever. What went wrong?

Thanks

Hi Ruming

self.fillPrice will not be the filled price you sent out the market order by SetHoldings, it takes time to get the true fill price but you already sent the stop order out. Same for other metrics. Also the filledQuantity will not be valid as the order could be splitted in SetHoldings. Usually we use Limit Order to better control our entry and exit in profit taking/stop loss. It is ok for liquid stocks like AAPL. Of course you can still use Market Order and Update the profit/stop order's limit/stop price after the entry order is filled.

Your order ticket is NOT equal to order ID. You need to use method .OrderId.

Your order is sent out does not mean it is filled. You can still have multiple orders sent in your way. So you might get insufficient margin.

Cheers
Louis

Hi Louis,

Many thanks! Let me try to summarize my errors and corrections here:

1. Structural: put actions triggered by order status changes in OnOrderEvent instead of OnData. If stop order is sent together with limit long order in OnData, it may get filled before long order if market moves down, makes it a long/short trade rather than long only.
    
2. It's more correct to set profit/loss limits according to filled price rather than order price considering the price move in on hour can be big enough to move out of the profit/loss range. Should I probably add comparison between the price against the profit/loss target (say fillprice 0.99 to fillprice 1.03)?
    
3. Wrong data type. All order methods return an OrderTicket, Use OrderTicket.OrderId to track the status of the placed order
    
4. self.state as an order/position indicator to prevent repeating orders. (Is there any other indicator/handler works for this purpose?)
    
5. I guess the quantity in StopMarketOrder should be negative to make it a sell stop loss, is it correct? I tried to change it to negative in your code, but trade stops after 10 orders. I guess CancelOpenOrders() or Liquidate() probably cancelled long enter order somewhere but self.state never set back to False thus it stops working.

6. The attached backtest looks more sensible as the limit order to enter long never gets filled after Mar 24 the lowest point through Jun 30.

7. Where to find the sequence of OnData and OnOrderEvent? Does status of orders places last hour come in before or after current hour data?

Thanks

Hi Ruming

In my humble opinion:

1.  This is incorrect, you will only get filled equal or lower than your set limit so limit order must filled at same time or before stop order.
    
2. You can update stop/exit price correspond to fill price later. Usual practice is using limit + stop order pairs as we don't want the actual filling price/time out of control, most price action strategies required very tight trading window (your stop price risks to be beaten in seconds before your order reached exchange if order in that way). It is also recommended to use higher resolution like minute for same reason. Of course you can use market order if wild price is acceptable. I didn't really look into your strategy or clean your code, my main assistance was trying to help you with technical issue.
    
3. Yes, OnOrderEvent input gives you an OrderTicket class object, while ordering gives you an Order class object. They're different, you track by their Id.
    
4. A better implementation will actually be using AlphaModel (signal generation), PortfolioConstructionModel (rebalancing) and RiskManagementModel (both take profit and cut loss). Check the documentation and demo algo on those, they could be sometimes hard, but very convenient and error preventing. Practice more ;) If you really really cannot do it, try to book a community tutor.
    
5. My bad. Yes they should be in negative quantity. And yes that is the reason. So you may also include another elif condition in OnOrderEvent method:

elif orderEvent.Status == OrderStatus.Canceled:

    self.Transactions.CancelOpenOrders()

    self.state = False

6. Stated in 1. & 5. for preliminary solution. Also use the framework in 4. may helps. Or you may set some condition to force trade.

7. That will need software engineer of LEAN to answer.

I include these in the backtest for your need to update stop/exit price after filled primary trade, but personal recommendation is not to have them for price action strategies.

updateSettings = UpdateOrderFields()

updateSettings.StopPrice = round(orderEvent.FillPrice * 0.99, 2)

self.stopOrder.Update(updateSettings)

self.exitPrice = round(orderEvent.FillPrice * 1.03, 2)

Louis

But basically OnData runs after you received a slice of data, and OnOrderEvent runs after orders are initiated and their status changes.

Hi Louis,

Thanks for the insights. The algo itself is no important. I used hourly data to reduce resource and help me see through the timing of all these events easier. From my questions I do see a good framework would be extremely valuable.. Everything looks much clear except for three:

1. Adding log after liquidation, I found liquidation orders being placed throughout a whole hour from day to day like following. Adding self.stat in front of liquidation solved it but I still wondered how it could happen. Similar problem on Jan 28 where orders are placed at 9:31 and 15:01. As OnData is only triggered by hourly data, I only expected all actions happen at hourly edges. Where do these 1min addtions come from?

Limit: $76.33226877625 USD

Stop: $75.57 USD

Fill: $78.647314442 USD

Limit: $78.647314442 USD

Fill: $77.86 USD

Stop: $77.86 USD

2. I added logs in OnOrderEvent trying to see timing of all order events (New, Submitted, Filled & Cancelled). I can only go through after commenting out the Submitted section in the end otherwise it keeps giving following error, although same code were used lines above with no issue.

Runtime Error: AttributeError : 'GeekyYellowGreenArmadillo' object has no attribute 'stopOrder' at OnOrderEvent elif orderEvent.OrderId == self.stopOrder.OrderId: === at Python.Runtime.PyObject.Invoke(PyTuple args in main.py:line 95 AttributeError : 'GeekyYellowGreenArmadillo' object has no attribute 'stopOrder'

Even if I comment out the last section, the New and Submitted order events do not seem to be logged:

3. There is one error in the log says zero quantity

Thanks

Hi Ruming

1. The 1 minute problem comes from self.SetBenchmark(self.AddEquity("SPY").Symbol): it is in minute resolution subscription (seems QC change the default from daily to minute I didn't notice before). So now it has chance for: not invested as stop ordere filled, and it also satisfies price > self.exitPrice.
2. Your long order is placed before your stop, so the time order event received/submitted of the first, the second has not been initialized.
3. Extreme ask price in non-regular hours usually resulted into this, making your quantity calculation less than 1 stocks

Cheers
Louis

Hi Louis,

I do appreciate your help with so many questions. There is value to see the challenges dealing with order mechanism but more importantly help me realize the value of the framework which I didn't when saw it in boot camp.

Thanks,

Ruming

welcome ;)