Think I've discovered what is going wrong. qty is set to 0!

However, could someone confirm that this type of order is catered for in the backtest?

Thanks,
Andrew

Hello Andrew,

Seems to work, although it is left as an exercise to show that the limit is triggered at the correct price.

As a note, if you are looking ahead to live trading, I believe that stop orders are not sent to the broker, but are rather handled by Quantopian, based on their price feed. Once the limit price is reached, then a market order is triggered and sent to the broker. However, this behavior may have changed. Quantopian support, if you read this, perhaps you could clarify, or point to the applicable documentation.

Grant

def initialize(context):  
    context.spy = symbol('SPY')  
    context.stopPrice = 203.33  
    context.buy_submitted = False  
    context.sell_submitted = False  
    context.print_orders = False  
    context.orders = []  
def handle_data(context, data):  
    if not context.buy_submitted:  
        order_id = order(context.spy, 100)  
        context.orders.append(order_id)  
        context.buy_submitted = True  
        print 'Buy order submitted'  
    if context.portfolio.positions[context.spy].amount != 0 and not context.sell_submitted:  
        order_id = order(context.spy, -100, style=StopOrder(context.stopPrice))  
        context.orders.append(order_id)  
        context.sell_submitted = True  
        print 'Stop loss order submitted'  
    if context.sell_submitted and context.portfolio.positions[context.spy].amount == 0 and not context.print_orders:  
        for order_id in context.orders:  
            print get_order(order_id)  
        context.print_orders = True  

Hi Grant, Andrew - In live trading, the StopOrder (and all other order types) are sent directly to the broker. We send the order immediately to IB and they fill it based on your specified parameters.

Alisa,

Thanks for clarifying. I went back to https://www.quantopian.com/posts/usage-and-syntax-of-stop-orders and reviewed Rich Frank's guidance, which is consistent with your statement above.

Sorry if I created any confusion.

Grant

Not a problem, happy to clear it up!