One cancels other or all, and order attachment

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.

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.

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

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.

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