Stop Loss question for non MarketOrders

Here's a corrected version of the algorithm to manage Stop Loss (SL) and Take Profit (TP) orders effectively:

class MyAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2020, 12, 31)
        self.set_cash(100000)
        self.symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self.stop_market_order_id = None
        self.sl_order_id = None
        self.tp_order_id = None

    def on_data(self, data):
        if not self.portfolio[self.symbol].invested:
            # Submit StopMarketOrder on day X-1
            self.stop_market_order_id = self.stop_market_order(self.symbol, 100, 300.0).order_id

    def on_order_event(self, order_event: OrderEvent):
        if order_event.status == OrderStatus.FILLED and order_event.order_id == self.stop_market_order_id:
            # Get the fill price
            fill_price = order_event.fill_price

            # Submit SL and TP orders
            self.sl_order_id = self.stop_market_order(self.symbol, -100, fill_price * 0.95).order_id
            self.tp_order_id = self.limit_order(self.symbol, -100, fill_price * 1.05).order_id

    def on_data(self, data):
        # Simulate OCO logic
        if self.sl_order_id is not None and self.tp_order_id is not None:
            sl_order = self.transactions.get_order_by_id(self.sl_order_id)
            tp_order = self.transactions.get_order_by_id(self.tp_order_id)

            if sl_order.status == OrderStatus.FILLED:
                self.transactions.cancel_order(self.tp_order_id)
            elif tp_order.status == OrderStatus.FILLED:
                self.transactions.cancel_order(self.sl_order_id)

This code sets up a basic framework for managing SL and TP orders after an initial StopMarketOrder is filled. Adjust the logic as needed to fit your specific trading strategy and conditions.

Sources: Stop Market Orders - QuantConnect.com, Other Order Types - QuantConnect.com, Trading and Orders - QuantConnect.com, Trailing Stop Orders - QuantConnect.com, Stop Limit Order Regression Algorithm

Thank you bot Mia, but this doesn't seem to be able to solve the issue. Also, what about the two on_data statements?! 😅

Hi Michele

I believe you mean market-on-open order. You can set up your take profit and stop loss order after it gets filled using the on_order_event handler.

def on_data(self):
    ...
    self.market_on_open_order(...)
    
def on_order_event(self, order_event):
    if order_event.status == OrderStatus.FILLED and \
    order_event.ticket.order_type == OrderType.MARKET_ON_OPEN:
        # stop loss
        self.stop_market_order(order_event.symbol, -order_event.fill_quantity, order_event.fill_price*0.95)
        # take profit
        self.limit_order(order_event.symbol, -order_event.fill_quantity, order_event.fill_price*1.10)

You can find more details here.

Best
Louis