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I find out that stop market order is not triggered even when the price is way below stop price in backtesting mode.
For example, I would like to buy 100 AAPL stocks and I used self.StopMarketOrder('AAPL', 1, 304.53). And I changed the order fill time as the trailing stop bootcamp taught us: stopMarketOrderFillTime = datetime.min. I also change the universe resolution to minute even though I don't know if it helps like this: self.UniverseSettings.Resolution = Resolution.Minute. I'm pretty sure the price was hit during the period of backtest. However, I still held the position even when the backtest ended. And I faced this problem many times.
I'd like to ask whether this kind of order only work in live mode. Or did I do it wrong?
The following is a simple example of what I did:
class Example(QCAlgorithm):
def Initialize(self):
self.UniverseSettings.Resolution = Resolution.Minute
stopMarketOrderFillTime = datetime.min
self.SetStartDate(2020, 5, 12) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)
self.AddEquity("SPY", Resolution.Minute)
self.AddEquity("AAPL", Resolution.Minute)
self.Schedule.On(self.DateRules.EveryDay("SPY"),self.TimeRules.AfterMarketOpen("SPY", 1), Action(self.Rebalance))
self.bought = False
def Rebalance(self):
if not self.bought:
self.StopMarketOrder("AAPL",100,304)
self.bought = True
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