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Fix stop-limit fills after trigger bar #9778

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Fix stop-limit fills after trigger bar #9778

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8 changes: 8 additions & 0 deletions Common/Messages/Messages.Orders.Fills.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -56,6 +56,14 @@ public static string MarketNeverCloses(Securities.Security security, OrderType o
return Invariant($"Market never closes for this symbol {security.Symbol}, can no submit a {nameof(orderType)} order.");
}

/// <summary>
/// Returns a string message saying that the order was filled using the open price due to a favorable gap
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static string FilledWithOpenDueToFavorableGap(Securities.Security security, Prices prices)
{
return Invariant($@"Due to a favorable gap at {prices.EndTime.ToStringInvariant()} {security.Exchange.TimeZone}, order filled using the open price ({prices.Open})");
}
/// <summary>
/// Returns a string message containing the given subscribedTypes
/// </summary>
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56 changes: 43 additions & 13 deletions Common/Orders/Fills/EquityFillModel.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -304,53 +304,83 @@ public override OrderEvent StopLimitFill(Security asset, StopLimitOrder order)
if (pricesEndTime <= order.Time) return fill;

//Check if the Stop Order was filled: opposite to a limit order
var triggeredOnEarlierBar = order.StopTriggered;
switch (order.Direction)
{
case OrderDirection.Buy:
//-> 1.2 Buy Stop: If Price Above Setpoint, Buy:
if (prices.High > order.StopPrice || order.StopTriggered)
if (prices.High > order.StopPrice || triggeredOnEarlierBar)
{
if (!order.StopTriggered)
if (!triggeredOnEarlierBar)
{
order.StopTriggered = true;
Parameters.OnOrderUpdated(order);
}

// Fill the limit order, using closing price of bar:
// Note > Can't use minimum price, because no way to be sure minimum wasn't before the stop triggered.
if (prices.Current < order.LimitPrice)
if (triggeredOnEarlierBar)
{
// The entire bar is post-trigger, so the limit leg behaves as a resting limit order.
var tradeBar = GetBestEffortTradeBar(asset, order.Time);
if (tradeBar != null && tradeBar.Low < order.LimitPrice)
{
fill.Status = OrderStatus.Filled;
fill.FillPrice = order.LimitPrice;
fill.FillQuantity = order.Quantity;

if (tradeBar.Open < order.LimitPrice)
{
fill.FillPrice = tradeBar.Open;
fill.Message = Messages.EquityFillModel.FilledWithOpenDueToFavorableGap(asset, tradeBar);
}
}
}
else if (prices.Current < order.LimitPrice)
{
// On the trigger bar, preserve the conservative close-based test.
fill.Status = OrderStatus.Filled;
fill.FillPrice = Math.Min(prices.High, order.LimitPrice);
// assume the order completely filled
fill.FillQuantity = order.Quantity;
}
}
break;

case OrderDirection.Sell:
//-> 1.1 Sell Stop: If Price below setpoint, Sell:
if (prices.Low < order.StopPrice || order.StopTriggered)
if (prices.Low < order.StopPrice || triggeredOnEarlierBar)
{
if (!order.StopTriggered)
if (!triggeredOnEarlierBar)
{
order.StopTriggered = true;
Parameters.OnOrderUpdated(order);
}

// Fill the limit order, using minimum price of the bar
// Note > Can't use minimum price, because no way to be sure minimum wasn't before the stop triggered.
if (prices.Current > order.LimitPrice)
if (triggeredOnEarlierBar)
{
// The entire bar is post-trigger, so the limit leg behaves as a resting limit order.
var tradeBar = GetBestEffortTradeBar(asset, order.Time);
if (tradeBar != null && tradeBar.High > order.LimitPrice)
{
fill.Status = OrderStatus.Filled;
fill.FillPrice = order.LimitPrice;
fill.FillQuantity = order.Quantity;

if (tradeBar.Open > order.LimitPrice)
{
fill.FillPrice = tradeBar.Open;
fill.Message = Messages.EquityFillModel.FilledWithOpenDueToFavorableGap(asset, tradeBar);
}
}
}
else if (prices.Current > order.LimitPrice)
{
// On the trigger bar, preserve the conservative close-based test.
fill.Status = OrderStatus.Filled;
fill.FillPrice = Math.Max(prices.Low, order.LimitPrice);
// assume the order completely filled
fill.FillQuantity = order.Quantity;
}
}
break;
}

return fill;
}

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54 changes: 41 additions & 13 deletions Common/Orders/Fills/FillModel.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -506,53 +506,81 @@ public virtual OrderEvent StopLimitFill(Security asset, StopLimitOrder order)
if (pricesEndTime <= order.Time) return fill;

//Check if the Stop Order was filled: opposite to a limit order
var triggeredOnEarlierBar = order.StopTriggered;
switch (order.Direction)
{
case OrderDirection.Buy:
//-> 1.2 Buy Stop: If Price Above Setpoint, Buy:
if (prices.High > order.StopPrice || order.StopTriggered)
if (prices.High > order.StopPrice || triggeredOnEarlierBar)
{
if (!order.StopTriggered)
if (!triggeredOnEarlierBar)
{
order.StopTriggered = true;
Parameters.OnOrderUpdated(order);
}

// Fill the limit order, using closing price of bar:
// Note > Can't use minimum price, because no way to be sure minimum wasn't before the stop triggered.
if (prices.Current < order.LimitPrice)
if (triggeredOnEarlierBar)
{
// The entire bar is post-trigger, so the limit leg behaves as a resting limit order.
if (prices.Low < order.LimitPrice)
{
fill.Status = OrderStatus.Filled;
fill.FillPrice = order.LimitPrice;
fill.FillQuantity = order.Quantity;

if (prices.Open < order.LimitPrice)
{
fill.FillPrice = prices.Open;
fill.Message = Messages.FillModel.FilledWithOpenDueToFavorableGap(asset, prices);
}
}
}
else if (prices.Current < order.LimitPrice)
{
// On the trigger bar, preserve the conservative close-based test.
fill.Status = OrderStatus.Filled;
fill.FillPrice = Math.Min(prices.High, order.LimitPrice);
// assume the order completely filled
fill.FillQuantity = order.Quantity;
}
}
break;

case OrderDirection.Sell:
//-> 1.1 Sell Stop: If Price below setpoint, Sell:
if (prices.Low < order.StopPrice || order.StopTriggered)
if (prices.Low < order.StopPrice || triggeredOnEarlierBar)
{
if (!order.StopTriggered)
if (!triggeredOnEarlierBar)
{
order.StopTriggered = true;
Parameters.OnOrderUpdated(order);
}

// Fill the limit order, using minimum price of the bar
// Note > Can't use minimum price, because no way to be sure minimum wasn't before the stop triggered.
if (prices.Current > order.LimitPrice)
if (triggeredOnEarlierBar)
{
// The entire bar is post-trigger, so the limit leg behaves as a resting limit order.
if (prices.High > order.LimitPrice)
{
fill.Status = OrderStatus.Filled;
fill.FillPrice = order.LimitPrice;
fill.FillQuantity = order.Quantity;

if (prices.Open > order.LimitPrice)
{
fill.FillPrice = prices.Open;
fill.Message = Messages.FillModel.FilledWithOpenDueToFavorableGap(asset, prices);
}
}
}
else if (prices.Current > order.LimitPrice)
{
// On the trigger bar, preserve the conservative close-based test.
fill.Status = OrderStatus.Filled;
fill.FillPrice = Math.Max(prices.Low, order.LimitPrice);
// assume the order completely filled
fill.FillQuantity = order.Quantity;
}
}
break;
}

return fill;
}

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