Stop loss and market order problem

To manage the cancellation of take profit orders when a stop loss is filled (and vice versa), you can manually implement this logic in QuantConnect. Here's a conceptual approach:

1. Place Bracket Orders: When you place a market order, simultaneously place a stop loss and a take profit order.

2. Track Orders: Maintain a dictionary to track the relationship between the stop loss and take profit orders.

3. Order Event Handling: Use the on_order_event method to listen for order events. When either the stop loss or take profit order is filled, cancel the other order.

Here's a code example to illustrate this approach:

from AlgorithmImports import QCAlgorithm, Resolution, OrderStatus

class MyAlgorithm(QCAlgorithm):
    def initialize(self):
        self.spy = self.AddEquity("SPY", Resolution.DAILY)
        self.mysize = 10
        self.sl1 = 0.95  # Example stop loss price
        self.tp1 = 1.05  # Example take profit price
        self.open_orders = {}

    def on_data(self, data):
        if not self.Portfolio.Invested:
            self.place_bracket_order(self.spy.Symbol, self.mysize, self.sl1, self.tp1)

    def place_bracket_order(self, symbol, size, stop_loss_price, take_profit_price):
        # Place market order
        order = self.MarketOrder(symbol, size)
        order_id = order.OrderId

        # Place stop loss order
        stop_loss_order = self.StopMarketOrder(symbol, -size, stop_loss_price)
        self.open_orders[stop_loss_order.OrderId] = order_id

        # Place take profit order
        take_profit_order = self.LimitOrder(symbol, -size, take_profit_price)
        self.open_orders[take_profit_order.OrderId] = order_id

    def on_order_event(self, order_event):
        if order_event.Status == OrderStatus.FILLED:
            # Cancel the opposite order if one is filled
            if order_event.OrderId in self.open_orders:
                related_order_id = self.open_orders[order_event.OrderId]
                self.Transactions.CancelOrder(related_order_id)
                del self.open_orders[order_event.OrderId]
                del self.open_orders[related_order_id]

This code snippet creates a bracket order by placing a market order along with a stop loss and a take profit order. It manually manages the cancellation of the opposite order when one of them is filled.

Sources: Forum Discussion: Take Profit and Stop Loss on Stop Orders, Forum Discussion on Support for One-Cancels-The-Other Order