Positions close automatically

Hello Emanuele,

From the code you provided, it seems that your positions are being closed by either the stop loss or take profit orders that you have set up. In your code, after a market order is placed, a stop market order (stop loss) and a limit order (take profit) are immediately placed. These orders are designed to close the position when the price reaches a certain level.

If you comment out the lines for the stop loss and take profit, the positions will not be closed automatically. They will remain open until you manually close them with a market order in the opposite direction of the open position. If you put this algorithm live with a demo account, the positions would remain open until you manually close them.

As for setting the stop loss and take profit in a more "smart" way, it really depends on your trading strategy. One common approach is to set the stop loss and take profit levels based on the volatility of the market. For example, you could use the Average True Range (ATR) indicator to measure market volatility and set your stop loss and take profit levels as a multiple of the ATR value.

Placing the stop and take orders directly under the MarketOrder is not necessarily a bad practice, but it does mean that your stop loss and take profit levels are fixed at the time of order placement and do not adapt to changing market conditions. One possible improvement could be to update your stop loss and take profit levels as the price moves in your favor. This is known as a trailing stop loss and a trailing take profit.

Here is an example of how you could implement a trailing stop loss in your code:

if self.Portfolio[self.symbol].Invested:
    if self.Portfolio[self.symbol].IsLong:
        if self.Securities[self.symbol].Price > self.highestPrice:
            self.highestPrice = self.Securities[self.symbol].Price
            updateFields = UpdateOrderFields()
            updateFields.StopPrice = self.highestPrice * (1 - self.stopLossPercent)
            self.stopMarketTicket.Update(updateFields)
    else:
        if self.Securities[self.symbol].Price < self.lowestPrice:
            self.lowestPrice = self.Securities[self.symbol].Price
            updateFields = UpdateOrderFields()
            updateFields.StopPrice = self.lowestPrice * (1 + self.stopLossPercent)
            self.stopMarketTicket.Update(updateFields)

In this code, self.highestPrice and self.lowestPrice are the highest and lowest prices seen since the position was opened. self.stopMarketTicket is the order ticket for the stop market order. The stop price is updated whenever a new highest or lowest price is seen.

I hope this helps! Let me know if you have any other questions.

Sources:

• Forum Discussion: Ema Cross Long and Short With Stop Loss and Take profit need help Part 1
• Forum Discussion: Stop Loss / Take Profit on Algorithm Framework Part 1
• Forum Discussion: Setting a stop loss and take profit
• Forum Discussion: Take Profit and Stop Loss on Stop Orders