feature: add one-cancels-the-other (OCO) order group

Algorithm.CSharp/OneCancelsTheOtherOrderCancelRegressionAlgorithm.cs

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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm for the cancel path of a one-cancels-the-other (OCO) order group: the group is
+    /// placed with both legs far from the market, so neither can fill inside the test window, then one of the
+    /// two tickets is explicitly canceled. Asserts that canceling one leg cancels the whole group, not just
+    /// the leg that was canceled
+    /// </summary>
+    public class OneCancelsTheOtherOrderCancelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private List<OrderTicket> _tickets;
+        private bool _canceled;
+
+        public override void Initialize()
+        {
+            SetStartDate(2019, 1, 1);
+            SetEndDate(2019, 1, 31);
+
+            _spy = AddEquity("SPY", Resolution.Hour).Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                MarketOrder(_spy, 100);
+
+                // both legs sit far from the market: limit sell +30% and stop sell -30% should never be
+                // reachable in this test window, so only the explicit cancel below can close the group
+                _tickets = OneCancelsTheOtherOrder(_spy, -100,
+                    limitPrice: Securities[_spy].Price * 1.30m,
+                    stopPrice: Securities[_spy].Price * 0.70m);
+            }
+            else if (!_canceled && Time.Day > 5)
+            {
+                // cancel only one leg: the whole OCO group must cancel with it
+                _tickets[0].Cancel();
+                _canceled = true;
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (_tickets == null || orderEvent.Status != OrderStatus.Filled)
+            {
+                return;
+            }
+
+            // neither OCO leg's price should ever be reachable in this test window; a fill here means the
+            // regression scenario itself is broken, not just the cancellation behavior being tested
+            if (_tickets.Any(ticket => ticket.OrderId == orderEvent.OrderId))
+            {
+                throw new RegressionTestException(
+                    $"Unexpected fill for OCO leg {orderEvent.OrderId}: prices were set far from the market so the group should only close through the explicit cancel");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_canceled)
+            {
+                throw new RegressionTestException("Expected to have canceled one of the OCO legs before the end of the algorithm");
+            }
+
+            if (_tickets == null || _tickets.Count != 2)
+            {
+                throw new RegressionTestException("Expected the OCO group to have exactly 2 legs");
+            }
+
+            foreach (var ticket in _tickets)
+            {
+                if (ticket.Status != OrderStatus.Canceled)
+                {
+                    throw new RegressionTestException(
+                        $"Expected every OCO leg to be Canceled, including the leg that was not explicitly canceled. Leg {ticket.OrderId} has status {ticket.Status}");
+                }
+            }
+
+            // canceling the OCO exit group must not touch the original market order fill
+            if (!Portfolio.Invested)
+            {
+                throw new RegressionTestException("Expected the algorithm to still be invested: the market order fill is independent from the canceled OCO group");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 302;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "29.303%"},
+            {"Drawdown", "0.700%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "102182.68"},
+            {"Net Profit", "2.183%"},
+            {"Sharpe Ratio", "4.501"},
+            {"Sortino Ratio", "5.158"},
+            {"Probabilistic Sharpe Ratio", "85.073%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.047"},
+            {"Beta", "0.24"},
+            {"Annual Standard Deviation", "0.038"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-6.241"},
+            {"Tracking Error", "0.117"},
+            {"Treynor Ratio", "0.708"},
+            {"Total Fees", "$1.00"},
+            {"Estimated Strategy Capacity", "$470000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.76%"},
+            {"Drawdown Recovery", "12"},
+            {"OrderListHash", "1f0c221acd9f91c1a73a4ea0096eef2f"}
+        };
+    }
+}

Algorithm.CSharp/OneCancelsTheOtherOrderDemoAlgorithm.cs

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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Demo algorithm for manually testing one-cancels-the-other (OCO) order groups end to end against a live
+    /// or paper brokerage. Alpaca is the first brokerage to support them.
+    /// Buys a small position at market, then places a 2-leg OCO exit (take-profit limit above the entry price,
+    /// stop-loss below it) and logs every order event so the outcome is visible in the live log/console.
+    /// </summary>
+    /// <remarks>
+    /// This is a manual/live testing aid, not part of the automated backtest regression suite - it deliberately
+    /// does not implement IRegressionAlgorithmDefinition. For the automated backtest version of this scenario,
+    /// see OneCancelsTheOtherOrderRegressionAlgorithm.
+    /// </remarks>
+    public class OneCancelsTheOtherOrderDemoAlgorithm : QCAlgorithm
+    {
+        private Symbol _symbol;
+        private List<OrderTicket> _tickets;
+
+        public override void Initialize()
+        {
+            // ignored when deployed live; only used if this is run as a quick local backtest sanity check first
+            SetStartDate(2019, 1, 1);
+            SetEndDate(2019, 1, 31);
+            SetCash(100000);
+
+            _symbol = AddEquity("AAPL", Resolution.Hour).Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (_tickets != null)
+            {
+                // the OCO exit group has already been placed, nothing left to do
+                return;
+            }
+
+            if (!Portfolio.Invested)
+            {
+                Debug("Buying 10 AAPL at market to open the position the OCO exit group will close.");
+                MarketOrder(_symbol, 10);
+                return;
+            }
+
+            // just went long: place the exit as one OCO group (take profit +1%, stop loss -2% from here).
+            // Tighten these offsets if you want one leg to trigger quickly for a faster manual test.
+            var price = Securities[_symbol].Price;
+            var takeProfitLimitPrice = price * 1.01m;
+            var stopLossStopPrice = price * 0.98m;
+
+            Debug($"Placing OCO exit group on {_symbol}: sell limit {takeProfitLimitPrice} (take profit) / sell stop {stopLossStopPrice} (stop loss)");
+
+            _tickets = OneCancelsTheOtherOrder(_symbol, -10, limitPrice: takeProfitLimitPrice, stopPrice: stopLossStopPrice);
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug($"{Time}: {orderEvent}");
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_tickets == null)
+            {
+                Debug("OCO exit group was never placed.");
+                return;
+            }
+
+            foreach (var ticket in _tickets)
+            {
+                Debug($"Final status - Order {ticket.OrderId} ({ticket.OrderType}): {ticket.Status}");
+            }
+        }
+    }
+}