ContextQMD
Back to Nautilus Trader

Stop-Limit

docs/concepts/orders/stop_limit.md

1.228.03.4 KB
Original Source

Stop-Limit

FIX OrdType <40>=4 (Stop Limit)

A Stop-Limit order is a conditional order which once triggered will immediately place a Limit order at the specified price.

Use cases

Use a Stop-Limit order when you want a stop trigger but also a cap on the worst acceptable fill, such as a protective exit or breakout entry where you refuse to trade beyond a price. The advantage is price protection on the released Limit order. The tradeoff is the central risk versus a Stop-Market: if the market gaps through both the trigger and the limit, the order may not fill at all, leaving a position unprotected.

Example

In the following example we create a Stop-Limit order on the Currenex FX ECN to BUY 50,000 GBP at a limit price of 1.3000 USD once the market hits the trigger price of 1.30010 USD, active until midday 6th June, 2022 (UTC):

rust
use nautilus_core::UnixNanos;
use nautilus_model::{
    enums::{OrderSide, TimeInForce, TriggerType},
    identifiers::InstrumentId,
    types::{Price, Quantity},
};

let order = self.core.order_factory().stop_limit(
    InstrumentId::from("GBP/USD.CURRENEX"),
    OrderSide::Buy,
    Quantity::from(50_000),
    Price::from("1.30000"),
    Price::from("1.30010"),
    Some(TriggerType::BidAsk), // optional (default DEFAULT)
    Some(TimeInForce::Gtd),    // optional (default GTC)
    Some(UnixNanos::from(1_654_516_800_000_000_000_u64)), // 2022-06-06T12:00:00 UTC
    Some(true),                // post_only (default false)
    Some(false),               // reduce_only (default false)
    None,                      // quote_quantity (default false)
    None,                      // display_qty
    None,                      // emulation_trigger
    None,                      // trigger_instrument_id
    None,                      // exec_algorithm_id
    None,                      // exec_algorithm_params
    None,                      // tags
    None,                      // client_order_id
);
python
import pandas as pd
from nautilus_trader.model.enums import OrderSide
from nautilus_trader.model.enums import TimeInForce
from nautilus_trader.model.enums import TriggerType
from nautilus_trader.model import InstrumentId
from nautilus_trader.model import Price
from nautilus_trader.model import Quantity
from nautilus_trader.model.orders import StopLimitOrder

order: StopLimitOrder = self.order_factory.stop_limit(
    instrument_id=InstrumentId.from_str("GBP/USD.CURRENEX"),
    order_side=OrderSide.BUY,
    quantity=Quantity.from_int(50_000),
    price=Price.from_str("1.30000"),
    trigger_price=Price.from_str("1.30010"),
    trigger_type=TriggerType.BID_ASK,  # <-- optional (default DEFAULT)
    time_in_force=TimeInForce.GTD,  # <-- optional (default GTC)
    expire_time=pd.Timestamp("2022-06-06T12:00"),
    post_only=True,  # <-- optional (default False)
    reduce_only=False,  # <-- optional (default False)
    tags=None,  # <-- optional (default None)
)

See the StopLimitOrder API Reference for further details.

  • Orders - Trigger types and other execution instructions.
  • Emulated orders - Emulating conditional orders on venues without native support.
  • Execution - How orders reach the venue and fills are handled.