Trailing Stop Loss for Credit Spreads

[brigoraoul]

Hi there,

I am writing a trading script for spx credit spreads (bull put and bear call). I would like to set a trailing stop loss order with a trailing amount ("auxPrice") of 1, meaning the stop loss limit gets updated to be exactly 1 point under the current market price. I define my order objects as follows:

def create_order_objects(self, 
                      limit_price: float,
                      quantity: int):
        spread_order_id = self.ib.client.getReqId()
        stop_order_id = self.ib.client.getReqId()

        # create spread order
        spread_order = LimitOrder(
            action='SELL', 
            totalQuantity=quantity, 
            lmtPrice=limit_price,
            orderId=spread_order_id,
        )

        # create stop loss order
        stop_loss_limit = self.strategy.stop_loss
        trail_stop_price = limit_price - stop_loss_limit
        stop_order = Order(
            action="BUY",
            totalQuantity=quantity,
            orderType="TRAIL LIMIT",
            orderId=stop_order_id,
            trailStopPrice=trail_stop_price, 
            auxPrice=stop_loss_limit,  
            lmtPriceOffset=-0.05  
        )

        return spread_order, stop_order

Does anyone have experience with this and can tell me if I create the order correctly, especially the stop loss order? When I monitor the orders in TWS, the stop loss does not appear to actually trail and eventually gets filled at the initial stop price ("trailStopPrice").