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Limit/stop orders on futures

1) Is there a way to place limit and stop orders with futures, it seems from the posted futures tutorials that the way to order is through order_optimal_portfolio(). But I want to be able to set a target price to buy/sell at.

2) My strategy requires specific times to trigger and I am currently using data.current(context.future,'high') to track the minute to minute high over a custom time frame, however in the back tester it is giving me the current times high not the high at the time of the back test.

current_time = get_datetime('US/Eastern').time()
if (current_time >= context.startTime and current_time < datetime.time(3,15)):
context.todayHigh = max(context.todayHigh, data.current(context.future,'high'))
context.todayLow = min(context.todayLow, data.current(context.future,'low'))
if(current_time == datetime.time(8,30)):
context.todayHigh = 0
context.todayLow = 9999999999999999

2 responses

Hi Peter,

1) If you want to place limit or stop orders with futures, you can use the ordering methods that don't use Optimize. However, if your strategy was ever selected for an allocation, it would have to be converted back to using order_optimal_portfolio and retested with the Optimize API, as our internal live trading infrastructure requires that all orders go through order_optimal_portfolio.

2) Could you attach a backtest that demonstrates the problem? It's difficult to help debug with partial code that's been copied and pasted. If you attach a backtest, or email in to [email protected], we can take a look.

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Thank for your help, it seems I was able to resolve the time problems but I am getting errors when trying to get the previous minute bars high, even though it was working yester day. I have attached an example algorithm with the approach I am using to get the previous bar high for the ES future.

Clone Algorithm
8
Loading...
Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5966418a5ff50552763ef758
There was a runtime error.