Binance Live trading order fill price not working

Based on the information provided in the knowledge sources, it seems like the issue you're experiencing might be due to the differences between backtesting and live trading in QuantConnect.

In backtests, orders fill immediately. However, in live trading, they are sent to your brokerage and take about half a second to execute. If you fill an order in a backtest with stale data, deviations between backtesting and live trading can occur because the order is filled at a price that is likely different from the real market price (source).

In live trading, your brokerage provides the fill price of your orders. Since the backtesting brokerage models do not know the price at which live orders are filled, the fill price of backtest orders is based on the best price available in the current backtesting data (source).

For Binance, market orders are filled immediately and completely in backtests. In live trading, if the quantity of your market orders exceeds the quantity available at the top of the order book, your orders are filled according to what is available in the order book (source).

If you're still experiencing issues, it might be helpful to add an OnOrderEvent function to your algorithm to check the details of the order event. This function is triggered every time there's a change in an order status. You can use it to debug your order fills (source).

Here's an example of how you can use OnOrderEvent:

def OnOrderEvent(self, orderEvent):
    order = self.Transactions.GetOrderById(orderEvent.OrderId)
    if order.Status == OrderStatus.Filled:
        self.Debug("Order filled. Price: " + str(orderEvent.FillPrice))

This will log the fill price every time an order is filled. You can compare this with the expected fill price to see if there are any discrepancies.

I used the OnOrderEvent fucntion in the past but it is still not working. Is there something about Binance in live trading that is not working is there a workaround to set a stop loss (giving that I cant use StopMarketOrder)? 

Based on the knowledge sources, it seems that there might be some differences in how orders are handled in backtesting and live trading, especially with certain brokerages like Binance.

In backtesting, the StopMarketOrder is a type of order that becomes a market order once the stop price has been hit. However, it seems that Binance might not support this type of order (source).

As a workaround, you could manually implement a stop loss in your algorithm. You can do this by checking if the current price is less than your stop loss price, and if it is, you can place a market order to sell your holdings. Here's an example of how you can do this:

def OnData(self, data):
    if not self.Portfolio.Invested:
        self.MarketOrder("SPY", 100)
        self.stopLossPrice = self.Securities["SPY"].Close * 0.95
    else:
        if self.Securities["SPY"].Close < self.stopLossPrice:
            self.Liquidate("SPY")

In this example, a market order is placed to buy 100 shares of SPY. A stop loss price is then set at 95% of the closing price. In the OnData method, it checks if the current price is less than the stop loss price, and if it is, it liquidates the holdings.

Remember to adjust the stop loss logic to fit your specific trading strategy and risk tolerance.

I need to use the fillprice in order to code a trailing stop loss, I cant use the close price at the time of the order as the fill price could be different and that can impact in the return (taking into account that crypto markets are quite volatile)

Based on the knowledge sources, you can implement a trailing stop loss using the fill price of an order. You can do this by updating the stop loss price every time a new order is filled. Here's an example of how you can do this:

def OnOrderEvent(self, orderEvent):
    if orderEvent.Status == OrderStatus.Filled:
        self.Debug("Order filled. Price: " + str(orderEvent.FillPrice))
        self.trailingStopPrice = orderEvent.FillPrice * 0.95  # Adjust this to your desired trailing stop percentage

def OnData(self, data):
    if not self.Portfolio.Invested:
        self.MarketOrder("SPY", 100)
    else:
        if self.Securities["SPY"].Close < self.trailingStopPrice:
            self.Liquidate("SPY")

In this example, every time an order is filled, the OnOrderEvent method is triggered and the trailing stop price is set to 95% of the fill price. Then, in the OnData method, it checks if the current price is less than the trailing stop price, and if it is, it liquidates the holdings.

Remember to adjust the trailing stop logic to fit your specific trading strategy and risk tolerance (source, source).

Can you contact someone in the quantconnect team that gives me a new answer that I didnt hear yet?

Hi EA_investing

I believe Mia's last response is exactly what you were asking for. Make sure you use “order_event.fill_price” and that would be your average fill price instead of the market price at the time.

Best
Louis