Stop Order and TA-LIB Questions

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Stop Order and TA-LIB Questions

edited Nov 21, 2013

Hello Quantopian,

Question 1:
I would like to know if there is currently, or on the to-do list, a way to place moving stop-loss orders. Say I place an order with a stop at 10% below the order price, if the price goes up I would want that 10% to follow the price rise and lock in some gains. Maybe something to the effect of

order(Sid, n, stop_price=lambda price: .9*price if price > current_price else .9*current_price)

I don't know how feasible something like this would be, but it sure would be nice.

Question 2:
When using TA-Lib functions with minute data is the function basing the output on the last n minutes of data? For example is ta.EMA(time_period=30) returning the EMA of the last half hour? If so, is there another keyword arg for days, mins, etc. or do we need to always use mins and make conversions as necessary?
Thanks,
David

2 responses

Hello David,

Quantopian have never mentioned built-in support for trailing stops as far as a I know. If someone were to add it to zipline (https://github.com/quantopian/zipline) there is chance it would be migrated to Quantopian as IB do support trailing stop orders.

The TA-Lib timeperiod is in the same timeframe as the backtest. Things change with the proposed 'history' feature (https://www.quantopian.com/posts/draft-proposal-of-new-data-history-api). In a minutely backtest you would be able to use TA-Lib functions on daily data:

def handle_data(context, data):  
    price_history = data.history(bar_count=30, frequency='1d', field='price')  
    macd_result = talib.MACD(price_history)

P.

Peter,
Thanks for getting back to me, good to know IB supports trailing stops. I have been familiarizing myself with zipline and will check out how trailing stops might fit in. If the aim is to make everything available in live trading available in back tests it would be a useful addition. I look forwards to the history functionality, I like the direction it's heading.
David

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.