StopLoss, Take Profit Order for spread

To set up One Cancels the Other (OCO) orders for a multi-leg spread in QuantConnect, you can follow these steps:

1. Define the Multi-Leg Strategy: Use the Leg class to define each leg of your strategy, specifying the symbols and quantities.

2. Place Initial Orders: Use the combo_leg_limit_order or combo_limit_order methods to place initial orders for your multi-leg strategy. These methods allow you to specify limit prices for each leg or a compound limit price for the entire combo.

3. Monitor Order Events: Implement the on_order_event method to monitor order events and track the fill status of each leg in your strategy.

4. Calculate OCO Levels: Once an order is filled, calculate the target price levels for the OCO orders based on the fill price of the entry trade.

5. Place OCO Orders: Submit new limit or market orders for the remaining legs to create OCO orders. Ensure that when one order fills, the other is canceled.

6. Simulate OCO Behavior: If necessary, simulate OCO behavior by tracking asset prices in the on_data method and manually canceling orders when the target price levels are reached.

7. Update Orders: Continuously update the limit prices of the OCO orders if neither order has filled, using the apply_update_order_request method to adjust the order state as needed.

Here's a basic example of how you might implement this:

class MultiLegOCOAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_cash(100000)
        self.symbol1 = self.add_equity("SPY", Resolution.DAILY).symbol
        self.symbol2 = self.add_equity("AAPL", Resolution.DAILY).symbol
        self.legs = [
            Leg.create(self.symbol1, 1),
            Leg.create(self.symbol2, -1)
        ]

    def on_data(self, slice: Slice):
        if not self.portfolio.invested:
            # Place initial combo order
            self.combo_leg_limit_order(self.legs, 1, "Initial Combo Order")

    def on_order_event(self, order_event: OrderEvent):
        if order_event.status == OrderStatus.FILLED:
            # Calculate OCO levels based on fill price
            fill_price = order_event.fill_price
            take_profit_price = fill_price * 1.05
            stop_loss_price = fill_price * 0.95

            # Place OCO orders
            self.take_profit = self.limit_order(self.symbol1, -1, take_profit_price, "Take Profit")
            self.stop_loss = self.stop_order(self.symbol1, -1, stop_loss_price, "Stop Loss")

            # Cancel the other order when one is filled
            if order_event.order_id == self.take_profit.order_id:
                self.stop_loss.cancel()
            elif order_event.order_id == self.stop_loss.order_id:
                self.take_profit.cancel()

This example demonstrates how to set up a basic multi-leg strategy with OCO orders. Adjust the logic and parameters to fit your specific trading strategy and requirements.

Sources: Other Order Types - QuantConnect.com, Combo Leg Limit Orders - QuantConnect.com, Combo Market Orders - QuantConnect.com, Combo Order Ticket Demo Algorithm, Combo Orders Fill Model Algorithm