Advanced Order Management

Beyond simple market orders, a robust trading strategy needs to manage its risk and adapt to changing conditions. Stochastix provides built-in mechanisms for both protective stops and dynamic order cancellation, allowing for more sophisticated trade management.

Stop-Loss and Take-Profit Orders

A critical component of risk management is defining an exit point before you enter a trade. The $this->entry() method includes optional stopLossPrice and takeProfitPrice parameters to automate this process.

$currentPrice = '3000.0';
$slPrice = '2940.0'; // Stop-loss at -2%
$tpPrice = '3150.0'; // Take-profit at +5%

$this->entry(
    direction: DirectionEnum::Long,
    orderType: OrderTypeEnum::Market,
    quantity: '0.5',
    stopLossPrice: $slPrice,
    takeProfitPrice: $tpPrice
);

When you provide these parameters, you are not creating pending STOP or LIMIT orders in the traditional sense. Instead, you are attaching metadata to the position.

Realistic Intra-Bar Execution

The backtesting engine uses this metadata to simulate a more realistic execution model. On every bar after the entry, the engine will check if the bar's high or low price crossed your specified levels.

• If you are long:
  • The engine checks if the bar's low was less than or equal to the stopLossPrice.
  • It checks if the bar's high was greater than or equal to the takeProfitPrice.
• If you are short:
  • The engine checks if the bar's high was greater than or equal to the stopLossPrice.
  • It checks if the bar's low was less than or equal to the takeProfitPrice.

If either condition is met, a market order is immediately created and executed at the stop/take-profit price, and the position is closed within that same bar. This is a more accurate simulation than waiting for the close of the bar, as it reflects how SL/TP orders work in live markets.

Programmatic Order Cancellation

Strategies that use Limit or Stop orders to enter positions may need to cancel those orders if market conditions change. For example, if a limit order to buy a dip has not been filled and the market starts to trend down strongly, you may want to retract the order to avoid a bad entry.

This is possible with the $this->cancelOrder() method.

Step 1: Place a Named Order

To cancel a pending order, you must first give it a unique identifier when you create it. This is done using the clientOrderId parameter.

// In onBar(), we decide to place a limit order to buy a dip.
$limitPrice = '2800.0';

$this->entry(
    direction: DirectionEnum::Long,
    orderType: OrderTypeEnum::Limit,
    quantity: '0.5',
    price: $limitPrice,
    clientOrderId: 'my-long-dip-buy' // Give the order a unique name
);

This order is now sitting in the OrderManager's pending order book, waiting for its price to be met.

Step 2: Cancel the Order on a New Condition

On a subsequent bar, your strategy might detect a new condition (e.g., a trend indicator has turned bearish) and decide that the previous dip-buying idea is no longer valid. You can then use cancelOrder() with the same clientOrderId.

// On a later bar...
$trendIndicator = $this->getIndicatorSeries('my_trend_indicator');

// If the trend has turned bearish, we must cancel our pending buy order.
if ($trendIndicator[0] < $trendIndicator[1]) {
    $this->cancelOrder('my-long-dip-buy');
}

This removes the order from the pending book, ensuring it will not be executed even if the price later drops to $2800.