Stop Loss and Take Profit realization with One Cancels the other Order (OCO)

[Felix99]

I would like to implement a strategy on futures with fixed stop loss and take profit orders.

In a trading software, these functions are usually combined by OCO, such that, SL is reached the TP order is canceled, and vice versa.

I have found OCO in the documentation at
https://docs.nautilustrader.io/concepts/advanced/advanced_orders.html
but from the docs its use remains unclear to me.

In my code, I tried to use the order list:
order_list = OrderList(order_list_id, [sl_order, tp_order]) self.submit_order_list(order_list)

but how can I tell the engine to combine them as OCO?
Any help appreciated!

[cjdsellers]

Hi @Felix99

Thanks for reaching out!

This certainly needs more documentation, which we're working to improve.

I suggest you use the OrderFactory which will construct an entry with bracketing SL and TP orders:
https://github.com/nautechsystems/nautilus_trader/blob/develop/nautilus_trader/common/factories.pyx#L1141

You can access it from a strategy with self.order_factory.bracket(...).

[stefansimik]

Hi @Felix99 ,
sending you example from my straetgy, that uses bracket order recommended by Chris above.

Insert this method in your strategy and just update entry / profit / stop prices - everything else should stay the same.

    def fire_bracket_order(self):
        if self.portfolio.is_flat(self.config.instrument.id):
            entry_price = self.last_price
            profit_price = entry_price + (self.config.instrument.price_increment * 20)
            stop_price = entry_price - (self.config.instrument.price_increment * 20)

            bracket_order = self.order_factory.bracket(
                instrument_id=self.config.instrument.id,
                order_side=OrderSide.BUY,
                quantity=self.config.instrument.make_qty(1),

                entry_price=self.config.instrument.make_price(entry_price),
                entry_order_type=OrderType.LIMIT,

                tp_trigger_price=self.config.instrument.make_price(entry_price),
                tp_price=self.config.instrument.make_price(profit_price),
                tp_order_type=OrderType.LIMIT,

                sl_trigger_price=self.config.instrument.make_price(stop_price),  # There is only a sl_trigger_price because only StopMarket orders are supported as the SL

                time_in_force=TimeInForce.GTC,
                tp_post_only=False,
            )

            self.submit_order_list(bracket_order)
            self.log.info(f"Submitted bracket order: entry @ market, TP @ {profit_price}, SL @ {stop_price}")

This code is tested and working.