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Fix trailing stop #769

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Fix trailing stop #769

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e93dd34
[TrailingStopOrder] Ensure trailing_percent is decimal and absolute
Phodia Nov 14, 2022
e33967e
[Order] use origin_stop_price as price if setted
Phodia Nov 14, 2022
c3ca467
[TrailingStopOrder] Fix filled actions
Phodia Nov 14, 2022
f085ba3
[TrailingStopLimitOrder] Use origin_stop_price as limit price
Phodia Nov 17, 2022
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3 changes: 2 additions & 1 deletion octobot_trading/personal_data/orders/order.py
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Original file line number Diff line number Diff line change
Expand Up @@ -604,7 +604,8 @@ def ensure_order_id(self):
self.order_id = order_util.generate_order_id()

def to_dict(self):
filled_price = self.filled_price if self.filled_price > 0 else self.origin_price
filled_price = self.filled_price if self.filled_price > 0 \
else self.origin_price if not self.origin_stop_price else self.origin_stop_price
return {
enums.ExchangeConstantsOrderColumns.ID.value: self.order_id,
enums.ExchangeConstantsOrderColumns.SYMBOL.value: self.symbol,
Expand Down
24 changes: 12 additions & 12 deletions octobot_trading/personal_data/orders/types/trailing/trailing_stop_limit_order.py
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Original file line number Diff line number Diff line change
Expand Up @@ -18,20 +18,20 @@


class TrailingStopLimitOrder(trailing_stop_order.TrailingStopOrder):
UNINITIALIZED_LIMIT_PRICE = -1

def __init__(self, trader, side=enums.TradeOrderSide.SELL, limit_price=UNINITIALIZED_LIMIT_PRICE):
super().__init__(trader, side)
def __init__(self, trader, side=enums.TradeOrderSide.SELL,
trailing_percent=trailing_stop_order.TrailingStopOrder.UNINITIALIZED_TRAILING_PERCENT
):
super().__init__(trader, side, trailing_percent)
self.order_type = enums.TraderOrderType.TRAILING_STOP_LIMIT
self.limit_price = limit_price

async def on_filled(self):
await trailing_stop_order.TrailingStopOrder.on_filled(self)
# TODO replace with chained order ?
await self.trader.create_artificial_order(enums.TraderOrderType.SELL_LIMIT
if self.side is enums.TradeOrderSide.SELL else enums.TraderOrderType.BUY_LIMIT,
self.symbol, self.origin_stop_price,
self.origin_quantity,
self.limit_price
if self.limit_price != self.UNINITIALIZED_LIMIT_PRICE else
self.origin_stop_price)
if not self.trader.simulate and self.is_self_managed():
# TODO replace with chained order ?
await self.trader.create_artificial_order(enums.TraderOrderType.SELL_LIMIT
if self.side is enums.TradeOrderSide.SELL
else enums.TraderOrderType.BUY_LIMIT,
self.symbol, self.origin_stop_price,
self.origin_quantity,
self.origin_stop_price)
24 changes: 16 additions & 8 deletions octobot_trading/personal_data/orders/types/trailing/trailing_stop_order.py
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Original file line number Diff line number Diff line change
Expand Up @@ -47,7 +47,7 @@ async def set_trailing_percent(self, trailing_percent):
Set trailing percent and reset event and tasks
:param trailing_percent: the new trailing percent
"""
self.trailing_percent = trailing_percent
self.trailing_percent = decimal.Decimal(f"{abs(trailing_percent)}")
await self._reset_events(self.origin_price, self.creation_time)

async def _reset_events(self, new_price, new_price_time):
Expand All @@ -67,9 +67,10 @@ def _create_hit_events(self, price_events_manager, new_price, new_price_time):
:param price_events_manager: the price events manager to use
:param new_price: the new trailing price
"""
self.origin_stop_price = self._calculate_stop_price(new_price)
if self.trailing_stop_price_hit_event is None:
self.trailing_stop_price_hit_event = price_events_manager.new_event(
self._calculate_stop_price(new_price), new_price_time,
self.origin_stop_price, new_price_time,
self.side is enums.TradeOrderSide.BUY, self.allow_instant_fill)
if self.trailing_price_hit_event is None:
# don't allow instant fill since this event should only be triggered by next recent trades and prices
Expand Down Expand Up @@ -143,17 +144,24 @@ async def _on_price_hit(self):
f"replacing stop...")
await self._reset_events(decimal.Decimal(str(prices_manager.mark_price)), prices_manager.mark_price_set_time)

def on_fill_actions(self):
self.filled_price = self.origin_stop_price
self.filled_quantity = self.origin_quantity
self._update_total_cost()
order_class.Order.on_fill_actions(self)

async def on_filled(self):
"""
Create an artificial when trailing stop is filled
"""
await order_class.Order.on_filled(self)
# TODO replace with chained order ?
await self.trader.create_artificial_order(enums.TraderOrderType.SELL_MARKET
if self.side is enums.TradeOrderSide.SELL
else enums.TraderOrderType.BUY_MARKET,
self.symbol, self.origin_stop_price,
self.origin_quantity, self.origin_stop_price)
if not self.trader.simulate and self.is_self_managed():
# TODO replace with chained order ?
await self.trader.create_artificial_order(enums.TraderOrderType.SELL_MARKET
if self.side is enums.TradeOrderSide.SELL
else enums.TraderOrderType.BUY_MARKET,
self.symbol, self.origin_stop_price,
self.origin_quantity, self.origin_stop_price)

def _clear_event_and_tasks(self):
"""
Expand Down