Stop market and limit order both filling (How to manage SL and TP?)

Hello Simon,

It is indeed something that most algos should do. You are quite right.

Right now, a few things are missing in your code to handle the orders. I would invite you to read the following:

In a nutshell, you will need to keep your order tickets and then track those orders in OnOrderEvent. Since you trade only SPY here, it makes the situation more simple but you could look for the more general case.

Also I would like to get your attention to that line of code you have:

if order.Type == OrderType.Limit or order.Type == OrderType.Limit:

😊

One of the two must be StopMarket.

Fred

Simon,
Here is my attempt to recreate the algorithm you posted using LastTradeProfit and automatic position sizing (SetHoldings). 

Thank you both very much! I didn‘t even see that typo maybe that will fix it already! 

Is still have some questions:

1. Is there no generally accepted “good practice“ way to take profit and stop loss in quantconnect?
2. What if a limit order gets partially filled but then the stop market order gets executed?
3. And lastly I want to ask about Vladimirs implementation. I thought about something similar but is this really as „safe“ and good practice as using orders? On the minute chart one might get away with this but I would think that it‘s better to place an order that gets filled as soon as the price is available instead of waiting for the price and then making an order?

Thanks again for your fast answers

Hi Simon,

1. I'm in the process of creating such “template” for myself. I will most likely share it when it's done. In the meantime, I am pretty sure others will share what they have.
2. Yes, that's one of the situations I am willing to handle. So TL;DR, yes, you need to handle that. In OnOrderEvent, you can check for partial fills, to take your example. IMHO, using order tickets in appropriate data structures (like dictionaries or even trees of order dependencies to create cascading effects) is the way to go. My eventual template will most likely make use of that, in some “OrderManagement” class…
3. Nil.

Fred

Here is another version of SL and TP using UnrealizedProfit.