[OCA Group] Handling Multiple Entries with Separate Take-Profits in QuantConnect

To handle multiple long positions with different entry prices and ensure that take-profit orders close the correct position in QuantConnect, you can follow these steps:

1. Initialize Data Structures: Use a dictionary to store each position's entry price and associated take-profit level. This will help you track which position corresponds to which take-profit order.

2. Place Orders and Track Them: When you open a new position, store its entry price and calculate the take-profit level. Use unique tags or IDs to associate each take-profit order with its corresponding position.

3. Monitor Order Events: Implement the on_order_event method to track when orders are filled. Use the OrderEvent properties to identify which order was filled and update your data structures accordingly.

4. Close the Correct Position: When a take-profit order is filled, use the stored information to determine which position it corresponds to and update your records to reflect the closed position.

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

class USDCADStrategy(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2020, 12, 31)
        self.set_cash(100000)
        self.add_forex("USDCAD", Resolution.MINUTE)
        self.positions = {}
        self.next_order_id = 1

    def on_data(self, data: Slice):
        if not data.contains_key("USDCAD"):
            return

        price = data["USDCAD"].price

        # Example logic to open a new position
        if self.should_open_new_position(price):
            entry_price = price
            take_profit_price = entry_price + 0.0020  # 20 pips
            order_id = self.next_order_id
            self.next_order_id += 1

            # Place a market order and store the position
            self.market_order("USDCAD", 1000, tag=str(order_id))
            self.positions[order_id] = {
                "entry_price": entry_price,
                "take_profit_price": take_profit_price
            }

    def on_order_event(self, order_event: OrderEvent):
        if order_event.status == OrderStatus.FILLED:
            order_id = int(order_event.order_id)
            fill_price = order_event.fill_price

            # Check if the filled order is a take-profit order
            if order_id in self.positions:
                position = self.positions[order_id]
                if fill_price >= position["take_profit_price"]:
                    # Take-profit order filled, remove the position
                    self.debug(f"Take-profit hit for order {order_id} at price {fill_price}")
                    del self.positions[order_id]

    def should_open_new_position(self, price: float) -> bool:
        # Implement your logic to decide when to open a new position
        return len(self.positions) < 2  # Example condition

Key Points:

• Unique Order Tags: Use unique tags or IDs for each order to track them easily.
• Order Event Handling: Use the on_order_event method to handle order fills and update your position tracking.
• Data Structures: Maintain a dictionary to map order IDs to their respective entry and take-profit prices.

This approach allows you to manage multiple positions with different entry prices and ensure that each take-profit order closes the correct position.

Sources: Other Order Types - QuantConnect.com, Handling Data - QuantConnect.com, Stop Market Orders - QuantConnect.com, Head & Shoulders TA Pattern Detection, Limit If Touched Regression Algorithm