Stop Loss/ Take profit strategy

from datetime import timedelta
from AlgorithmImports import *


STOCK = "SPY"

class DayOpenEma(QCAlgorithm):
    
    def Initialize(self):
        
        self.SetStartDate(2022, 2, 1)  # Set Start Date
        self.SetEndDate(2022, 3, 1)  # Set End Date
        
        self.SetCash(10000)  # Set Strategy Cash
        
        self.AddForex(STOCK, Resolution.Minute)
        
        self.entry_ticket = None

        # these are percentages
        self.tp = 0.5
        self.sl = 0.25
        

    def OnData(self,data):
        if self.entry_ticket is None:
            # your strategy here 
            quantity = something 
            limitPrice = something
            self.entry_ticket = self.LimitOrder(STOCK, quantity, limitPrice)
    
    def OnOrderEvent(self, orderEvent):
        if orderEvent.Status != OrderStatus.Filled:
            return
        
        if self.entry_ticket is not None:
    
            # if main order is filled
            if orderEvent.OrderId == self.entry_ticket.OrderId:
                
                # getting price and quantity of the fill
                price = self.round_price(orderEvent.FillPrice)
                quantity = self.entry_ticket.Quantity

                self.LimitOrder(STOCK, -quantity, self.round_price(price*(1+self.tp/100)))
                self.StopMarketOrder(STOCK, -quantity, self.round_price(price*(1-self.sl/100)))
                
            # if TP or SL order is filled
            else:
                
                self.Transactions.CancelOpenOrders(STOCK)
                self.entry_ticket = None          
    

Hi Gabriel,

To set a take-profit order above the current price with a negative quantity, we need to use LimitOrder instead of StopMarketOrder. See the attached backtest for reference.

Best,
Derek Melchin