What is the PriceType of tailing stop trades?

[none2003]

I guess the PriceType is MIDDLE, based on

When liquidated, the shares are sold at market price equal to ExecContext.sell_fill_price, which is configurable and defaults to the midpoint between the bar’s open and close price.

But the definition of MIDDLE is:

Midpoint between low price and high price of the current bar.

There is a discrepancy between these two. So the question is, what is the PriceType of tailing stop trades?

Is it possible to set a particular PriceType for trailing stop? Currently, it gives following error:

ValueError: sell_shares or hold_bars must be set when sell_fill_price is set.

[edtechre]

Hi @none2003,

Thanks for catching this! The notebook is incorrect, the MIDDLE type is the midpoint between the low and high price. I have updated the notebook.

A trailing stop does not use MIDDLE. It is filled at the stop threshold, e.g. if the stop is hit at $99, then the fill price will be $99. The low price is used to test whether the stop is hit for long positions, and high for short:

if low <= self._stop_data[stop.id].value:
        return self._stop_data[stop.id].value  # fill price

This is not configurable via sell_fill_price. If you need greater control over how the stop is filled, I would suggest creating your own stop, similar to what is done in #24. The stop APIs are provided for quick convenience, but you can achieve the same, and even more sophisticated logic, by checking your own conditions during execution.