One cancels other or all, and order attachment by Dmitri Pavlenkov

Dmitri Pavlenkov

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OCO are convenient for bracket orders and exclusive entry for double setups. OCA is similar and quite useful for entering in different securities. Order attachment is useful for placing stop loss and take profit as soon as the entry order is filled (and those SL/TP orders need to be tied by OCO). I know IB supports this natively, but this could be made transparent to algorithms by having brokerage classes do this client side if server functionality is not available.

This is not a huge priority to me, since I can always create my own order manager, but I wonder if there are plans to support this.

Keep up the awesome work!

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Dmitri Pavlenkov

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Jared Broad

Thank you Dmitri, we're aiming to add new orders as quickly as possible. At the moment we don't support OCA but we've setup the system to handle this type of order (through contingent order id's). I personally used them for my trading so definitely understand how powerful they can be.

We make brokerage classes support it where possible; OCA's are a good candidate for client-side brokerage implementation since they aren't too speed sensitive. Its probably best to submit a git issue for this and it will be added to the stack sooner or later.

Rahul Chowdhury

STAFF ,

Hey Ming,

Lean does not have built-in OCO orders, instead we have to implement that feature ourselves. We can do this by using the OnOrderEvent method, which fires each time there is an order event. By keeping track of the order tickets for each order, we can cancel one order as the another fills.

For example, let's consider a situation where we enter a position with a stop loss and 2 take profit limit orders.

self.entryTicket = self.StopMarketOrder("AAPL", 100, self.stopBuyPrice)



self.stoplossTicket = self.StopMarketOrder("AAPL",-100,self.stopLossPrice)

# Enter limit order 1

self.profit1Ticket = self.LimitOrder("AAPL",-50,self.profitTarget1)

# Enter limit order 2

self.profit2Ticket = self.LimitOrder("AAPL",-50,self.profitTarget2)

If our stop loss fills, we need to cancel both of our take profits. If our first limit order fills, we need to update our stop loss to account for the change in our position. If both our limit order fills, we need to cancel our stop loss.

Check out the back test below as an example.

Jacob Barbee

2.3k ,

Rahul Chowdhury, does this allow for multiple positions to be open at a time?

Jacob Barbee

2.3k ,

class ParticleTachyonCompensator(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2021, 8, 1)  # Set Start Date

        self.SetCash(100000)  # Set Strategy Cash

        self.AddEquity("NZD", Resolution.Minute)

	self.quantity = 100000

        self.pair = "EURNZD"

        

        self.entryTicket = None

        self.SLTicket = None

        self.TPTicket = None

        

        

    def OnData(self, data):

        

        if self.entryTicket == None:

            

            self.BuyPrice = data["EURNZD"].Close 

            self.SLPrice = self.BuyPrice - .0015

            self.TPPrice = self.BuyPrice + .002

            

            self.entryTicket = self.LimitOrder(self.pair, self.quantity, self.BuyPrice)

    

    

    def OnOrderEvent(self, orderevent):

        if orderevent.Status != OrderStatus.Filled:

            return

        

        if self.entryTicket != None and self.entryTicket.OrderId == orderevent.OrderId:

           # Enter stop loss order

           self.SLTicket = self.StopMarketOrder( self.pair, self.quantity, self.SLPrice)

           # Enter limit order 

           self.TPTicket = self.LimitOrder( self.pair, self.quantity, self.TPPrice)

        

        # Cancel Stop Loss Ticket if Take Profit Price is reached

        if self.TPTicket != None and self.TPTicket.OrderId == orderevent.OrderId:

            self.SLTicket.cancel()

            

       	# Cancel Take Profit Ticket if Stop Loss Price is reached

        if self.SLTicket != None and self.SLTicket.OrderId == orderevent.OrderId:

            self.TPTicket.cancel()

            self.entryTicket = None

I did a 1 Bracket OCO Order, but how would I do this if I want there to be up to 5 open positions at one time? Would this allow that to happen or can there only be one order open at a time. I thought it could be possible if each order has a specific Order ID Number.

Varad kabade

21.3k ,

Hi Jacob Barbee,
We can extend the above implementation for multiple open orders by using a dictionary to store the order tickets by the order ID. Note that Lean does not allow multiple open positions. If you need further assistance regarding the same, please open a new thread.
Best,
Varad Kabade

Dmitri Pavlenkov

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