Dukascopy Support Board • View topic - Trailing step does not work in setStopLossPrice

[Hyperdimension]

It seems that using setStopLossPrice(double price, OfferSide side, double trailingStep) is no different to using setStopLossPrice without the trailing step parameter.

It simply seems to set a fixed stop loss value equal to the "price" parameter. Is there a bug?

The documentation does not explain the method in much detail. Is it meant to automatically set a new stop loss value if the price moves favorably?

Here is the code I used to test the trailing step:

package trailingsteptest;

import com.dukascopy.api.*;
import com.dukascopy.api.IEngine.OrderCommand;

public class TrailingStepTest implements IStrategy {       
    private boolean trailSet = false;
    private IEngine engine;
    private IOrder order;
    private IConsole console;
       
    @Configurable("Instrument") public Instrument instr = Instrument.EURUSD;   
    @Configurable("Amount") public double amount = 1;
    @Configurable("stopLossDistanceInQC") public double stopLossDistanceInQC = 0.0100;
    @Configurable("trailingStep") public double trailingStep = 10.0;
    
       
    public void onStart(IContext context) throws JFException {
        this.engine = context.getEngine();
        this.console = context.getConsole();
       
        //placing an order as soon as the strategy starts
        if (engine.getOrder("MyOrder") == null) order = engine.submitOrder("MyOrder", instr, OrderCommand.BUY, amount);
    }

    public void onAccount(IAccount account) throws JFException {
    }

    //============================================================================================================================================================
   public void onMessage(IMessage message) throws JFException {
      if (message.getType().equals(IMessage.Type.ORDER_FILL_OK)) {
         IOrder order = message.getOrder();

         console.getOut().println(
                  "Order state = " + order.getState() + 
                  ", Open Price = " + order.getOpenPrice()
                  );
      }
      if (message.getType().equals(IMessage.Type.ORDER_CLOSE_OK)) {
         IOrder order = message.getOrder();

         console.getOut().println(
                  "Order state = " + order.getState() + 
                  ", Close Price = " + order.getClosePrice()
                  );
      }
   }

      
    public void onStop() throws JFException {
    }

    public void onTick(Instrument instrument, ITick tick) throws JFException {
        if (order != null && instrument.equals(instr) && !trailSet) {
            if (order.getTrailingStep() < 1) {
                double newSlPrice = stopLossDistanceInQC == 0 ? 0 : tick.getAsk() - stopLossDistanceInQC;

                order.setStopLossPrice(newSlPrice, OfferSide.BID, trailingStep);
                trailSet = true;
               
                console.getOut().println(
                      "Just after trail set: Bid = " + tick.getBid() + 
                      ", new Sl Price = " + newSlPrice
                      );
            }
        } else {
        }
    }
   
    public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException {                 
        if (period == Period.DAILY)
       console.getOut().println(
              "Ticks after trail set: Bid = " + bidBar.getClose() + 
              ", Sl Price = " + order.getStopLossPrice()                      
              );
    }
}

API Support

Hi,
We have slightly modified the above strategy to make it more self explanatory:

package jforex.misc;

import java.util.concurrent.TimeUnit;

import com.dukascopy.api.*;
import com.dukascopy.api.IEngine.OrderCommand;

public class TrailingStepTest implements IStrategy {       
    private boolean trailSet = false;
    private IEngine engine;
    private IOrder order;
    private IConsole console;
       
    @Configurable("Instrument") public Instrument instr = Instrument.EURUSD;   
    @Configurable("Amount") public double amount = 1;
    @Configurable("stopLossDistanceInQC") public double stopLossDistanceInQC = 0.0100;
    @Configurable("trailingStep") public double trailingStep = 10.0;
    
    private double currentStopLossPrice = 0;
       
    public void onStart(IContext context) throws JFException {
        this.engine = context.getEngine();
        this.console = context.getConsole();
       
        //placing an order as soon as the strategy starts
        if (engine.getOrder("MyOrder") == null) order = engine.submitOrder("MyOrder", instr, OrderCommand.BUY, amount);
    }

    public void onAccount(IAccount account) throws JFException {
    }

    //============================================================================================================================================================
   public void onMessage(IMessage message) throws JFException {
      if (message.getType().equals(IMessage.Type.ORDER_FILL_OK)) {
         IOrder order = message.getOrder();

         console.getOut().println(
                  "Order state = " + order.getState() +
                  ", Open Price = " + order.getOpenPrice()
                  );
      }
      if (message.getType().equals(IMessage.Type.ORDER_CLOSE_OK)) {
         IOrder order = message.getOrder();

         console.getOut().println(
                  "Order state = " + order.getState() +
                  ", Close Price = " + order.getClosePrice()
                  );
      }
   }
      
    public void onStop() throws JFException {
    }

    public void onTick(Instrument instrument, ITick tick) throws JFException {
        if (order != null && instrument.equals(instr) && !trailSet) {
            if (order.getTrailingStep() < 1 && order.getState() == IOrder.State.FILLED) {
                double newSlPrice = stopLossDistanceInQC == 0 ? 0 : tick.getAsk() - stopLossDistanceInQC;

                order.setStopLossPrice(newSlPrice, OfferSide.BID, trailingStep);
                order.waitForUpdate(2, TimeUnit.SECONDS);
                trailSet = true;
               
                console.getOut().println(
                      "Just after trail set: Bid = " + tick.getBid() +
                      ", new Sl Price = " + order.getStopLossPrice()
                      );
                this.currentStopLossPrice = order.getStopLossPrice();
            }
        } else {
        }
    }
   
    public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException {                 
        if (period == Period.ONE_HOUR && this.currentStopLossPrice != order.getStopLossPrice()){
           console.getOut().println(
                 "Ticks after trail set: Bid = " + bidBar.getClose() +
                 ", Sl Price = " + order.getStopLossPrice());
           this.currentStopLossPrice = order.getStopLossPrice();
        }
    }
}

Here's the output:

Order state = CLOSED, Close Price = 1.33937
Ticks after trail set: Bid = 1.34963, Sl Price = 1.33944
Ticks after trail set: Bid = 1.3437, Sl Price = 1.33726
Ticks after trail set: Bid = 1.34542, Sl Price = 1.33619
Ticks after trail set: Bid = 1.34164, Sl Price = 1.33311
Ticks after trail set: Bid = 1.33857, Sl Price = 1.32905
Ticks after trail set: Bid = 1.33184, Sl Price = 1.32199
Ticks after trail set: Bid = 1.3297, Sl Price = 1.31997
Ticks after trail set: Bid = 1.32775, Sl Price = 1.31797
Ticks after trail set: Bid = 1.32232, Sl Price = 1.31287
Ticks after trail set: Bid = 1.31999, Sl Price = 1.31187
Just after trail set: Bid = 1.31966, new Sl Price = 1.30983
Order state = FILLED, Open Price = 1.31979

Also, you may want to enable the visual mode in historical tester - it's easier to make sure the stop loss price of your order is updated accordingly.