Hi guys,

I'm stumped - I execute the code attached, which aims to send out a bracket order, conditional on the original entry ticket being filled, but for some reason, the the child stop market / limit orders do not get filled despite price moving through them within any given day. The end of day scheduler catches the order and liquidates but the log shows no sign on any intermediate orders being filled, once the orignal entry gets laid. I've experiemented with moving the limit order / stop order inside the ‘OnData] thus trying to execute everything at once but I would have thought that the onOrderEvent approach would work. I fear that there is some kind of indentation error that is sneakily passing the compiler which I’m failing to see.  Any tips would be greatly appreciated. FYI: This is my first go at an algorithm so apologies for any sloppy code! Its an attempt at creating an hourly openingrange breakout using the rolling window etc. 

# region imports
from AlgorithmImports import *
# endregion

class HipsterRedBull(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 11 , 22)  # Set Start Date
        self.SetEndDate(2022, 11, 22)
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.Consolidate("SPY", timedelta(minutes=30), self.CustomBarHandler)
        self.window = RollingWindow[TradeBar](2)
        self.entryTicket = None
        self.StopMarketTicket = None
        self.TPTicket = None
        self.entryTime = datetime.min
        self.exitTime = datetime.min
        self.bias = 0

        self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 1) , self.onMarketClose)
        
    def onMarketClose(self):
        self.Liquidate()
        self.window.Reset()
        self.exitTime = self.Time
    
    def CustomBarHandler(self, bar):
        if self.Time.hour == 10:
            self.window.Add(bar)

    def OnData(self, data):
        if self.Time.date() == self.exitTime.date() or not self.window.IsReady or self.Portfolio.Invested:
            return
        # wait at least 1 day before last exit before making another trade
        # if rollingwindow is ready and portfolio is not invested
        # if close price is above or below opening range high or low, send market order
        # record entry time 

        maxprice = max(self.window[0].High, self.window[1].High)
        minprice = min(self.window[0].Low, self.window[1].Low)

        self.Plot("Opening Range","OR Max", maxprice)
        self.Plot("Opening Range","OR Min", minprice)

        if data[self.symbol].Close > maxprice:
            self.entryTicket = self.MarketOrder(self.symbol, 100)
            self.bias = 1
            self.entryTime = self.Time
            
    
        if data[self.symbol].Close < minprice:
            self.entryTicket = self.MarketOrder(self.symbol, -100)
            self.bias = -1
            self.entryTime = self.Time
    
    def OnOrderEvent(self, orderEvent):

        if orderEvent.Status != OrderStatus.Filled:
            return
           
        if self.entryTicket is not None and self.entryTicket.OrderId == orderEvent.OrderId:
            
            self.StopMarketTicket = self.StopMarketOrder(self.symbol, -self.entryTicket.QuantityFilled, self.entryTicket.AverageFillPrice - self.bias * 0.5)
            self.TPTicket = self.LimitOrder(self.symbol, -self.entryTicket.QuantityFilled, self.entryTicket.AverageFillPrice + self.bias * 0.5)

        # if entry ticket exists send out stop market order for stop loss
            

        # if entry ticket exists send out limit order to take profits
        # if either take profits or stop loss is hit, record time of order fill

        if self.StopMarketTicket is not None and self.StopMarketTicket.OrderId == orderEvent.OrderId:
            self.exitTime = self.Time

        if self.TPTicket is not None and self.TPTicket.OrderId == orderEvent.OrderId:
            self.exitTime = self.Time

 

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