Right time to increment idTrade?

[Max]

Let’s suppose I want to send every minute buy limit order to exchange. When next candle is formed and order not executed, I will be cancel my previous buy limit order and send new one with new price.

I think it’s good idea to increment idTrade on Cancel event, something like that piece of code :

std::function<void()> quoteLongEnter = [&]() {
buy = new Order( OrderSide::BUY, OrderType::LIMIT, levelLongEnter, "long", idTrade );
buy->onExecuted = [&]() { 
      state = ProcessingState::LONG; 
….
};
buy->onCancelled = [&]() { 
      idTrade++;
      state = ProcessingState::INIT; 
};

    bt.SendOrder( buy );

  };

But if I run this code R crash! :(

If I not increment idTrade on Cancel event, code was run smoothly, but trading log is inconsistent: only first order added to trade (see attachments).

[Stanislav Kovalevsky]

Could you provide me with the strategy cpp code similar to QuantTools examples so I could debug it. I need the simplest version of it. R shouldn't crash anyway. I will add relevant exception to Processor.

[Max]

As I understood the crash happen when processor trying to add record in Trades table with already exist ID due to incorrect strategy code / wrong TradeID increment.

// [[Rcpp::plugins(cpp11)]]
// [[Rcpp::depends(QuantTools)]]
#include <Rcpp.h>
#include "BackTest.h"

// [[Rcpp::export]] 
Rcpp::List breakout_limit_orders(
    Rcpp::DataFrame ticks,
    Rcpp::List parameters,
    Rcpp::List options,
    bool fast = false
) {

  int    smaPeriod = parameters["sma_period" ];
  int    timeFrame  = parameters["timeframe" ];
  enum class ProcessingState{ INIT, LONG, FLAT };
  ProcessingState state = ProcessingState::INIT;
  int idTrade = 0;
  Sma sma( smaPeriod );

  Processor bt( timeFrame );

  bt.SetOptions( options );

  bool isTradingHours = not bt.IsTradingHoursSet();

  Order* buy;

  double levelLongEnter;
  double stopLoss = -0.05;
  double takeProfit = 0.1;

  std::function<void()> quoteLongEnter = [&]() {

    buy = new Order( OrderSide::BUY, OrderType::LIMIT, levelLongEnter, "long", idTrade );

    buy->onExecuted = [&]() { 
      state = ProcessingState::LONG; 

      Order* buy_tp = new Order( OrderSide::SELL, OrderType::LIMIT, levelLongEnter+takeProfit, "long take profit", idTrade );
      buy_tp->onExecuted = [&]() { 
        state = ProcessingState::INIT; 
        idTrade++; 
      };
      bt.SendOrder( buy_tp ); 
    };

    buy->onCancelled = [&]() { 
      idTrade++; // the problem is here !!! comment this line and crash disappear
      quoteLongEnter ();
    }; 

    bt.SendOrder( buy );
  };


  bt.onMarketOpen  = [&]() { isTradingHours = true; };

  bt.onMarketClose = [&]() {
    printf("market close!\n");

    isTradingHours = false;

    if( state == ProcessingState::LONG ) {

      Order* sell = new Order( OrderSide::SELL, OrderType::MARKET, NA_REAL, "EOD", idTrade );

      sell->onExecuted = [&]() {
        state = ProcessingState::INIT; 
        idTrade++; 
      };
      bt.SendOrder( sell ); 
    }

  };


  bt.onCandle = [&]( Candle candle ) {
    sma.Add( candle.close );

    if( not sma.IsFormed() ) return;
    if( not bt.CanTrade()  ) return;
    if( not isTradingHours ) return;

    levelLongEnter  = sma.GetValue();

    switch(state) {

    case ProcessingState::INIT : 
      quoteLongEnter();
      state = ProcessingState::FLAT;
      break;

    case ProcessingState::FLAT : 
      bt.CancelOrders(); // re-quote on cancel event!
      break;

    case ProcessingState::LONG : 
      double pnl = candle.close - buy->GetExecutionPrice();
      if( pnl < stopLoss ) { // create market order to close long position

        bt.CancelOrders(); // cancel take profit
        Order* sell = new Order( OrderSide::SELL, OrderType::MARKET, NA_REAL, "long stop loss", idTrade );

        sell->onExecuted = [&]() {
          state = ProcessingState::INIT; 
          idTrade++; 
        };

        bt.SendOrder( sell ); 
      }

      break;
    }

  };

  bt.Feed( ticks );

  Rcpp::List summary = bt.GetSummary();

  if( fast ) return summary;

  Rcpp::List indicators = ListBuilder().AsDataTable()
                                       .Add( bt.GetCandles()                                )
                                       .Add( "sma"     , sma.GetHistory()                   )
                                       .Add( "pnl"     , bt.GetOnCandleMarketValueHistory() )
                                       .Add( "drawdown", bt.GetOnCandleDrawDownHistory()    );

  return ListBuilder()
    .Add( "summary"          , summary                              )
    .Add( "trades"           , bt.GetTrades()                       )
    .Add( "orders"           , bt.GetOrders()                       )
    .Add( "indicators"       , indicators                           )
    .Add( "daily_performance", bt.GetOnDayClosePerformanceHistory() );
}