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Trailing Stop Loss Order - Quantconnect - BootCamp
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class BootCampTask(QCAlgorithm): | |
# Order ticket for our stop order, Datetime when stop order was last hit | |
stopMarketTicket = None | |
stopMarketOrderFillTime = datetime.min | |
highestSPYPrice = -1 | |
def Initialize(self): | |
self.SetStartDate(2018, 12, 1) | |
self.SetEndDate(2018, 12, 10) | |
self.SetCash(100000) | |
spy = self.AddEquity("SPY", Resolution.Daily) | |
spy.SetDataNormalizationMode(DataNormalizationMode.Raw) | |
def OnData(self, data): | |
# 1. Plot the current SPY price to "Data Chart" on series "Asset Price" | |
self.Plot("Levels", "Asset Price", self.Securities["SPY"].Price) | |
self.Plot("Levels", "Stop Price", self.Securities["SPY"].Price * 0.9) | |
if (self.Time - self.stopMarketOrderFillTime).days < 15: | |
return | |
if not self.Portfolio.Invested: | |
self.MarketOrder("SPY", 500) | |
self.stopMarketTicket = self.StopMarketOrder("SPY", -500, 0.9 * self.Securities["SPY"].Close) | |
else: | |
#2. Plot the moving stop price on "Data Chart" with "Stop Price" series name | |
if self.Securities["SPY"].Close > self.highestSPYPrice: | |
self.highestSPYPrice = self.Securities["SPY"].Close | |
updateFields = UpdateOrderFields() | |
updateFields.StopPrice = self.highestSPYPrice * 0.9 | |
self.stopMarketTicket.Update(updateFields) | |
def OnOrderEvent(self, orderEvent): | |
if orderEvent.Status != OrderStatus.Filled: | |
return | |
if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId: | |
self.stopMarketOrderFillTime = self.Time |
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