How to get notified when order can't be opened?

[ironhak]

Hi, currently when I set a stop/limit order and the sizing of the order exceed the equity, then the order simply gets deleted when price reaches the stop/limit level, without giving any error.

... I spent like one hour trying to understand why orders gets randomly deleted when price reaches the entry levels... Some kind of alarm would be good to have, specially for those that use dynamic position sizing.

Thank's.

[kernc]

It's not random. It's only when the specified relative size sums to be not even a single unit.

backtesting.py/backtesting/backtesting.py

Lines 945 to 955 in 1dfe96b

	# If order size was specified proportionally,
	# precompute true size in units, accounting for margin and spread/commissions
	size = order.size
	if -1 < size < 1:
	size = copysign(int((self.margin_available * self._leverage * abs(size))
	// adjusted_price_plus_commission), size)
	# Not enough cash/margin even for a single unit
	if not size:
	# XXX: The order is canceled by the broker?
	self.orders.remove(order)
	continue

It's kind of like the broker refusing the order straight. I'm not sure this is in line with orders being GTC as mentioned in the docs. 🤔

What alternative do you suggest?

[ironhak]

It's not random. It's only when the specified relative size sums to be not even a single unit.

backtesting.py/backtesting/backtesting.py

Lines 945 to 955 in 1dfe96b

If order size was specified proportionally,

precompute true size in units, accounting for margin and spread/commissions

size = order.size
if -1 < size < 1:
size = copysign(int((self.margin_available * self._leverage * abs(size))
// adjusted_price_plus_commission), size)
# Not enough cash/margin even for a single unit
if not size:
# XXX: The order is canceled by the broker?
self.orders.remove(order)
continue

It's kind of like the broker refusing the order straight. I'm not sure this is in line with orders being GTC as mentioned in the docs. 🤔

What alternative do you suggest?

The logic is good, I was just saying that it would be nice to have some kind of feedback, like:

 # If order size was specified proportionally, 
 # precompute true size in units, accounting for margin and spread/commissions 
 size = order.size 
 if -1 < size < 1: 
     size = copysign(int((self.margin_available * self._leverage * abs(size)) 
                         // adjusted_price_plus_commission), size) 
     # Not enough cash/margin even for a single unit 
     if not size: 
         # XXX: The order is canceled by the broker? 
         print(f'WARNING: order removed due to not sufficient margin')
         self.orders.remove(order)
         continue 

This is useful when someone is trying to backtest using limit/stop orders with a dynamic position sizing. Maybe the logic is not good and some orders does not get opened, it would be good to inform the user about that.

[ironhak]

Thank you so much! This is amazing.