Stop entries

[rokups]

How can i simulate entering on stops? For example, going long if a certain price above current market price is reached? from_signals() method has stop_entry_price, but from reading docs i see it is supposed to be a value of enum StopEntryPrice. How can i specify actual stop entry price?

Thanks!

[rokups]

After scouting internet for a day i came to a conclusion that apparently neither entry limit and entry stop orders are supported due to performance reasons. I came up with this solution:

def generate_order_signals(signal: pd.Series, side: TradeDirection, order_type: int, price: pd.Series, lifetime: int, high: pd.Series, low: pd.Series):
    if lifetime > 0:
        signal = signal.ffill(limit=lifetime)
        price = price.ffill(limit=lifetime)
    new_signal = pd.Series(data=[0]*len(signal), index=signal.index)
    if (side == TradeDirection.Long and order_type == 0) or (side == TradeDirection.Short and order_type == 1):
        new_signal.loc[(signal == 1) & (price > low.shift(-1))] = 1     # Limit long or stop short
    elif (side == TradeDirection.Long and order_type == 1) or (side == TradeDirection.Short and order_type == 0):
        new_signal.loc[(signal == 1) & (price < high.shift(-1))] = 1    # Stop long or limit short
    return new_signal

df['enter_long'] = generate_order_signals(df['enter_long'], TradeDirection.Long, 0, limit_long, 0, df['high'], df['low'])

This function foward-fills signals in order to make limit/stop order valid for multiple candles. Then each candle with a signal is evaluated, checking whether next candle goes far enough top fill the order. Candles that would result in a fill keep a signal, other signals are discarded.

If someone looked into it and commented on validity of this approach i would be extremely grateful. Since this turned out to be simpler than i anticipated, im not sure if this is valid or whether i am reinventing a wheel and vectorbt already offers such functionality.

Thanks! 🙏