Henry Tsai

How to implement stoploss?

Programming

Hello team, I am trying to implement a stop loss in my strategy. I’m not quite sure how to do it. Can someone provide more guidance?
0 0
Posted on : 2022-11-02 07:11:37.166056
 
Jeremy
It supports order level and portfolio level stop loss.
Which one you are talking about? It's better if you can give some codes that you have already tried.

0 0
Posted on : 2022-11-02 11:07:52.640565
 
admin

There are several ways to do it:

For example, you want to open a market buy order with a stoploss level being 10% from its entry price.



1. Open order with a stop loss condition

Refer to the TechDoc's PlaceOrder section, you can do it as in line #19. 

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from AlgoAPI import AlgoAPIUtil, AlgoAPI_Backtest
from datetime import datetime, timedelta

class AlgoEvent:
    def __init__(self):
        pass

    def start(self, mEvt):
        self.evt = AlgoAPI_Backtest.AlgoEvtHandler(self, mEvt)
        self.evt.start()

    def on_marketdatafeed(self, md, ab):
        order = AlgoAPIUtil.OrderObject(
            instrument = md.instrument,
            openclose = 'open', 
            buysell = 1,    #1=buy, -1=sell
            ordertype = 0,  #0=market, 1=limit
            volume = 0.01,
            stopLossLevel=md.askPrice*0.9
        )
        self.evt.sendOrder(order)



2. Update order condition

Alternatively, you can use the UpdateOpenedOrder function to update the stoploss level after an order has been successfully opened. Just in line #26 and #28.

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from AlgoAPI import AlgoAPIUtil, AlgoAPI_Backtest
from datetime import datetime, timedelta

class AlgoEvent:
    def __init__(self):
        pass

    def start(self, mEvt):
        self.evt = AlgoAPI_Backtest.AlgoEvtHandler(self, mEvt)
        self.evt.start()

    def on_marketdatafeed(self, md, ab):
        order = AlgoAPIUtil.OrderObject(
            instrument = md.instrument,
            openclose = 'open', 
            buysell = 1,    #1=buy, -1=sell
            ordertype = 0,  #0=market, 1=limit
            volume = 0.01
        )
        self.evt.sendOrder(order)

    def on_orderfeed(self, of): 
        if of.status=="success":
            # update take profit level
            if of.buysell==1:
                sl = of.fill_price*0.9
            else:
                sl = of.fill_price*1.1
            res = self.evt.update_opened_order(tradeID=of.tradeID, sl=sl)

            # print to console
            self.evt.consoleLog(res["status"], res["msg"])


0 0
Posted on : 2022-11-03 01:24:40.441982



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