开云体育

Hi Jürgen, sorry for posting about this topic again, but I finally extensively tried what you suggested and I now understand what you meant by making the order self destruct.

I ran into the problem where an order did not fill at all and it did not self destruct after 3:50, so I am trying to take your advice into consideration now using the timecondition. Is this the correct way of doing it? I will try it on paper trade tomorrow once I have figured it out.

To ensure that if

1. an order has not been filled, the order self destructs at 3:50pm

2. an order has filled or partially filled, the trailing stop loss protects it and the closing trade is placed at 3:50 making sure that there are no open positions.

Is my code below correct?

def BracketOrder(self, parentOrderId:int, openinglimitPrice:float, quantity:Decimal, trailingPercent:float, timeswitch:str, adaptive_type:str):

    # 1st part: Buy Adaptive Algo order
    opening = Order()
    opening.orderId = parentOrderId
    opening.action = "BUY"
    opening.orderType = "LMT"
    opening.lmtPrice = openinglimitPrice
    opening.totalQuantity = abs(quantity)
    opening.transmit = False
    opening.tif = 'GTC'
    algo.FillAdaptiveParams(opening, adaptive_type)

    timeCondition = TimeCondition()
    timeCondition.time = timeswitch
    timeCondition.isMore = True
    opening.conditions.append(timeCondition)

    # 2nd part: Trailing Stop Sell order
    trailingStopLoss = Order()
    trailingStopLoss.orderId = opening.orderId + 1
    trailingStopLoss.action = "SELL"
    trailingStopLoss.trailingPercent = trailingPercent
    trailingStopLoss.orderType = "TRAIL"
    trailingStopLoss.totalQuantity = abs(quantity)
    trailingStopLoss.parentId = parentOrderId
    trailingStopLoss.tif = "GTC"
    trailingStopLoss.transmit = False

    # 3rd part: Sell Market order
    closing = Order()
    closing.orderId = opening.orderId + 2
    closing.action = "SELL"
    closing.orderType = "MKT"
    closing.totalQuantity = abs(quantity)
    closing.parentId = parentOrderId
    closing.tif = "GTC"
    closing.goodAfterTime = timeswitch
    closing.transmit = True
    closing.conditionsCancelOrder = False 

    timeCondition = TimeCondition()
    timeCondition.time = timeswitch
    timeCondition.isMore = True
    closing.conditions.append(timeCondition)

    bracketOrder = [opening, trailingStopLoss, closing]
    return bracketOrder