Adds Trailing Stop for All Fill Models

QuantConnect · Aug 7, 2023 · 30297c4 · 30297c4
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diff --git a/...y Modeling/02 Trade Fills/02 Supported Models/02 Future Model/07 Trailing Stop Orders.php b/...y Modeling/02 Trade Fills/02 Supported Models/02 Future Model/07 Trailing Stop Orders.php
@@ -0,0 +1,4 @@
+<? 
+$includeIntro = true;
+include(DOCS_RESOURCES."/reality-modeling/trade-fills/trailing-stop-orders.php");
+?>
diff --git a/...Future Model/07 Market on Open Orders.php → ...Future Model/08 Market on Open Orders.php b/...Future Model/07 Market on Open Orders.php → ...Future Model/08 Market on Open Orders.php
diff --git a/...uture Model/08 Market on Close Orders.php → ...uture Model/10 Market on Close Orders.php b/...uture Model/08 Market on Close Orders.php → ...uture Model/10 Market on Close Orders.php
diff --git a/...2 Future Model/09 Combo Market Orders.php → ...2 Future Model/11 Combo Market Orders.php b/...2 Future Model/09 Combo Market Orders.php → ...2 Future Model/11 Combo Market Orders.php
diff --git a/...02 Future Model/10 Combo Limit Orders.php → ...02 Future Model/12 Combo Limit Orders.php b/...02 Future Model/10 Combo Limit Orders.php → ...02 Future Model/12 Combo Limit Orders.php
diff --git a/...uture Model/11 Combo Leg Limit Orders.php → ...uture Model/13 Combo Leg Limit Orders.php b/...uture Model/11 Combo Leg Limit Orders.php → ...uture Model/13 Combo Leg Limit Orders.php
diff --git a/...ing/02 Trade Fills/02 Supported Models/03 Future Option Model/07 Trailing Stop Orders.php b/...ing/02 Trade Fills/02 Supported Models/03 Future Option Model/07 Trailing Stop Orders.php
@@ -0,0 +1,4 @@
+<? 
+$includeIntro = true;
+include(DOCS_RESOURCES."/reality-modeling/trade-fills/trailing-stop-orders.php");
+?>
diff --git a/...Option Model/07 Market on Open Orders.php → ...Option Model/09 Market on Open Orders.php b/...Option Model/07 Market on Open Orders.php → ...Option Model/09 Market on Open Orders.php
diff --git a/...ption Model/08 Market on Close Orders.php → ...ption Model/10 Market on Close Orders.php b/...ption Model/08 Market on Close Orders.php → ...ption Model/10 Market on Close Orders.php
diff --git a/...e Option Model/09 Combo Market Orders.php → ...e Option Model/11 Combo Market Orders.php b/...e Option Model/09 Combo Market Orders.php → ...e Option Model/11 Combo Market Orders.php
diff --git a/...re Option Model/10 Combo Limit Orders.php → ...re Option Model/12 Combo Limit Orders.php b/...re Option Model/10 Combo Limit Orders.php → ...re Option Model/12 Combo Limit Orders.php
diff --git a/...ption Model/11 Combo Leg Limit Orders.php → ...ption Model/13 Combo Leg Limit Orders.php b/...ption Model/11 Combo Leg Limit Orders.php → ...ption Model/13 Combo Leg Limit Orders.php
diff --git a/...odeling/02 Trade Fills/02 Supported Models/04 Immediate Model/07 Trailing Stop Orders.php b/...odeling/02 Trade Fills/02 Supported Models/04 Immediate Model/07 Trailing Stop Orders.php
@@ -0,0 +1,4 @@
+<? 
+$includeIntro = true;
+include(DOCS_RESOURCES."/reality-modeling/trade-fills/trailing-stop-orders.php");
+?>
diff --git a/...ediate Model/07 Market on Open Orders.php → ...ediate Model/09 Market on Open Orders.php b/...ediate Model/07 Market on Open Orders.php → ...ediate Model/09 Market on Open Orders.php
diff --git a/...diate Model/08 Market on Close Orders.php → ...diate Model/10 Market on Close Orders.php b/...diate Model/08 Market on Close Orders.php → ...diate Model/10 Market on Close Orders.php
diff --git a/...mmediate Model/09 Combo Market Orders.php → ...mmediate Model/11 Combo Market Orders.php b/...mmediate Model/09 Combo Market Orders.php → ...mmediate Model/11 Combo Market Orders.php
diff --git a/...Immediate Model/10 Combo Limit Orders.php → ...Immediate Model/12 Combo Limit Orders.php b/...Immediate Model/10 Combo Limit Orders.php → ...Immediate Model/12 Combo Limit Orders.php
diff --git a/...diate Model/11 Combo Leg Limit Orders.php → ...diate Model/13 Combo Leg Limit Orders.php b/...diate Model/11 Combo Leg Limit Orders.php → ...diate Model/13 Combo Leg Limit Orders.php
diff --git a/...ling/02 Trade Fills/02 Supported Models/05 Latest Price Model/07 Trailing Stop Orders.php b/...ling/02 Trade Fills/02 Supported Models/05 Latest Price Model/07 Trailing Stop Orders.php
@@ -0,0 +1,4 @@
+<? 
+$includeIntro = true;
+include(DOCS_RESOURCES."/reality-modeling/trade-fills/trailing-stop-orders.php");
+?>
diff --git a/... Price Model/07 Market on Open Orders.php → ... Price Model/09 Market on Open Orders.php b/... Price Model/07 Market on Open Orders.php → ... Price Model/09 Market on Open Orders.php
diff --git a/...Price Model/08 Market on Close Orders.php → ...Price Model/10 Market on Close Orders.php b/...Price Model/08 Market on Close Orders.php → ...Price Model/10 Market on Close Orders.php
diff --git a/...st Price Model/09 Combo Market Orders.php → ...st Price Model/11 Combo Market Orders.php b/...st Price Model/09 Combo Market Orders.php → ...st Price Model/11 Combo Market Orders.php
diff --git a/...est Price Model/10 Combo Limit Orders.php → ...est Price Model/12 Combo Limit Orders.php b/...est Price Model/10 Combo Limit Orders.php → ...est Price Model/12 Combo Limit Orders.php
diff --git a/...Price Model/11 Combo Leg Limit Orders.php → ...Price Model/13 Combo Leg Limit Orders.php b/...Price Model/11 Combo Leg Limit Orders.php → ...Price Model/13 Combo Leg Limit Orders.php
diff --git a/Resources/reality-modeling/trade-fills/trailing-stop-orders.php b/Resources/reality-modeling/trade-fills/trailing-stop-orders.php
@@ -0,0 +1,221 @@
+<? if ($includeIntro) { ?><p>The following table describes the fill logic of trailing stop orders for each data format and order direction. Once the stop condition is met, the model fills the orders and sets the fill price.</p><? } ?>
+
+<table class="qc-table table">
+    <thead>
+        <tr>
+            <th>Data Format</th>
+            <th><code>TickType</code></th>
+            <th>Order Direction
+            </th><th>Stop Condition</th>
+            <th>Fill Price</th>
+        </tr>
+    </thead>
+    <tbody>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Quote</code></td>
+            <td>Buy</td>
+            <td>quote price &gt; stop price</td>
+            <td>max(stop price, quote price + slippage)</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Quote</code></td>
+            <td>Sell</td>
+            <td>quote price &lt; stop price</td>
+            <td>min(stop price, quote price - slippage)</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Trade</code></td>
+            <td>Buy</td>
+            <td>trade price &gt; stop price</td>
+            <td>max(stop price, last trade price + slippage)</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Trade</code></td>
+            <td>Sell</td>
+            <td>trade price &lt; stop price</td>
+            <td>min(stop price, last trade price - slippage)</td>
+        </tr>
+        <tr>
+            <td><code>QuoteBar</code></td>
+            <td><br></td>
+            <td>Buy</td>
+            <td>ask high price &gt; stop price</td>
+            <td>max(stop price, ask close price + slippage)</td>
+        </tr>
+        <tr>
+            <td><code>QuoteBar</code></td>
+            <td><br></td>
+            <td>Sell</td>
+            <td>bid low price &lt; stop price</td>
+            <td>min(stop price, bid close price - slippage)</td>
+        </tr>
+        <tr>
+            <td><code>TradeBar</code></td>
+            <td><br></td>
+            <td>Buy</td>
+            <td>high price &gt; stop price</td>
+            <td>max(stop price, close price + slippage)</td>
+        </tr>
+        <tr>
+            <td><code>TradeBar</code></td>
+            <td><br></td>
+            <td>Sell</td>
+            <td>low price &lt; stop price</td>
+            <td>min(stop price, close price - slippage)</td>
+        </tr>
+    </tbody>
+</table>
+
+<? if ($includeIntro) { ?><p>While the stop condition is not met, the model updates the stop price under certain conditions. The following table shows the update condition and stop price value for the nominal trailing amount.</p><? } ?>
+
+<table class="qc-table table">
+    <thead>
+        <tr>
+            <th>Data Format</th>
+            <th><code>TickType</code></th>
+            <th>Order Direction</th>
+            <th>Update Condition</th>
+            <th>Stop Price</th>
+        </tr>
+    </thead>
+    <tbody>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Quote</code></td>
+            <td>Buy</td>
+            <td>stop price - quote price &lt;= trailing amount</td>
+            <td>quote price + trailing amount</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Quote</code></td>
+            <td>Sell</td>
+            <td>quote price - stop price &lt;= trailing amount</td>
+            <td>quote price - trailing amount</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Trade</code></td>
+            <td>Buy</td>
+            <td>stop price - trade price &lt;= trailing amount</td>
+            <td>trade price + trailing amount</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Trade</code></td>
+            <td>Sell</td>
+            <td>trade price - stop price &lt;= trailing amount</td>
+            <td>trade price - trailing amount</td>
+        </tr>
+        <tr>
+            <td><code>QuoteBar</code></td>
+            <td><br></td>
+            <td>Buy</td>
+            <td>stop price - ask low price &lt;= trailing amount</td>
+            <td>ask low price + trailing amount</td>
+        </tr>
+        <tr>
+            <td><code>QuoteBar</code></td>
+            <td><br></td>
+            <td>Sell</td>
+            <td>bid high price - stop price &lt;= trailing amount</td>
+            <td>bid high price - trailing amount</td>
+        </tr>
+        <tr>
+            <td><code>TradeBar</code></td>
+            <td><br></td>
+            <td>Buy</td>
+            <td>stop price - low price &lt;= trailing amount</td>
+            <td>low price + trailing amount</td>
+        </tr>
+        <tr>
+            <td><code>TradeBar</code></td>
+            <td><br></td>
+            <td>Sell</td>
+            <td>high price - stop price &lt;= trailing amount</td>
+            <td>high price - trailing amount</td>
+        </tr>
+    </tbody>
+</table>
+
+<? if ($includeIntro) { ?><p>The following table shows the update condition and stop price value for the percentage trailing amount.</p><? } ?>
+
+<table class="qc-table table">
+    <thead>
+        <tr>
+            <th>Data Format</th>
+            <th><code>TickType</code></th>
+            <th>Order Direction</th>
+            <th>Update Condition</th>
+            <th>Stop Price</th>
+        </tr>
+    </thead>
+    <tbody>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Quote</code></td>
+            <td>Buy</td>
+            <td>stop price - quote price &lt;= quote price * trailing amount</td>
+            <td>quote price * (1 + trailing amount)</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Quote</code></td>
+            <td>Sell</td>
+            <td>quote price - stop price &lt;= quote price * trailing amount</td>
+            <td>quote price * (1 - trailing amount)</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Trade</code></td>
+            <td>Buy</td>
+            <td>stop price - trade price &lt;= trade price * trailing amount</td>
+            <td>trade price * (1 + trailing amount)</td>
+        </tr>
+        <tr>
+            <td><code>Tick</code></td>
+            <td><code>Trade</code></td>
+            <td>Sell</td>
+            <td>trade price - stop price &lt;= trade price * trailing amount</td>
+            <td>trade price * (1 - trailing amount)</td>
+        </tr>
+        <tr>
+            <td><code>QuoteBar</code></td>
+            <td><br></td>
+            <td>Buy</td>
+            <td>stop price - ask low price &lt;= ask low price * trailing amount</td>
+            <td>ask low price * (1 + trailing amount)</td>
+        </tr>
+        <tr>
+            <td><code>QuoteBar</code></td>
+            <td><br></td>
+            <td>Sell</td>
+            <td>bid high price - stop price &lt;= bid high price * trailing amount</td>
+            <td>bid high price * (1 - trailing amount)</td>
+        </tr>
+        <tr>
+            <td><code>TradeBar</code></td>
+            <td><br></td>
+            <td>Buy</td>
+            <td>stop price - low price &lt;= stop price * trailing amount</td>
+            <td>low price * (1 + trailing amount)</td>
+        </tr>
+        <tr>
+            <td><code>TradeBar</code></td>
+            <td><br></td>
+            <td>Sell</td>
+            <td>high price - stop price &lt;= high price * trailing amount</td>
+            <td>high price * (1 - trailing amount)</td>
+        </tr>
+    </tbody>
+</table>
+
+<p>The model only fills trailing stop orders when the exchange is open.</p>
+<?
+$orderType = "trailing stop";
+include(DOCS_RESOURCES."/reality-modeling/trade-fills/fill-with-stale-data.php");
+?>