Stoploss hit on same day as entry

[BravoDeltaBD]

Hey, I have a question on how to solve a problem I am encountering. Let me give some context first:

I am using a custom njit order_function. As order_func_args I pass in arrays of ohlcv-values, exit signals, entry signals, and predetermined stoploss prices. I am able to create orders for stoplosses (and take-profits) that are hit during any bar that comes after the bar where a new position is opened. E.g. for longs, I do this by checking if the low on the current bar is lower than the stoploss price, and if so, I create an order to sell off the current position with the stoploss price as order price.

But sometimes when a new position is created, the low-price gets below the stoploss price during that same first bar. I need to somehow simulate opening a position and then closing it at a loss (or at a profit for TP's). The net size difference is 0, but the amount of cash in the portfolio should be decreased or increased by a certain amount.

Do you have any ideas on how to approach this? In addition, it would be great if the portfolio-statistics, like the drawdown, would still be properly calculated as if the order was actually placed.

[polakowo]

@BravoDeltaBD, unfortunately, vectorbt doesn't allow two orders at the same tick. But I'm already thinking of ways to make it possible, for example, by calling order_func_nb any number of times until the user terminates it. For now, there is not much you can do, apart from delaying the order until the next bar. If you look at the implementation of stop loss in Portfolio.from_signals, the stop is based on the first closing price to avoid this type of issue (but you still have an option to use the entry price). PS. vectorbt has lots of limitations that are resolved step by step.

Please elaborate more on what issues arise with the drawdown.

[BravoDeltaBD]

Thank you for the quick response.

I am not actually encountering issues with drawdown as of now. I am just foreseeing changes in some statistical values when the orders for closing a position are postponed. Especially if there is a second entry signal right after the first one (which would be a signal to take, since the stoploss would have already been hit).

I will just postpone those stoplosses to the next bar. And if there is another entry order for that next bar, I think I will just create an order where the price and size are averaged out between the stoploss and the new position.

Thanks again. VectorBT is a big help for improving my trading strategies :)