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RomazesRomazes
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feat: oco implementation
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‎Algorithm.CSharp/OneCancelsTheOtherOrderCancelRegressionAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm for the cancel path of a one-cancels-the-other (OCO) order group: the group is
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/// placed with both legs far from the market, so neither can fill inside the test window, then one of the
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/// two tickets is explicitly canceled. Asserts that canceling one leg cancels the whole group, not just
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/// the leg that was canceled
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/// </summary>
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public class OneCancelsTheOtherOrderCancelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _spy;
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private List<OrderTicket> _tickets;
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private bool _canceled;
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public override void Initialize()
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{
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SetStartDate(2019, 1, 1);
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SetEndDate(2019, 1, 31);
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_spy = AddEquity("SPY", Resolution.Hour).Symbol;
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}
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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MarketOrder(_spy, 100);
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// both legs sit far from the market: limit sell +30% and stop sell -30% should never be
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// reachable in this test window, so only the explicit cancel below can close the group
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_tickets = OneCancelsTheOtherOrder(new List<Order>
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{
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new LimitOrder(_spy, -100, Math.Round(Securities[_spy].Price * 1.30m, 2), UtcTime),
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new StopMarketOrder(_spy, -100, Math.Round(Securities[_spy].Price * 0.70m, 2), UtcTime)
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});
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}
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else if (!_canceled && Time.Day > 5)
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{
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// cancel only one leg: the whole OCO group must cancel with it
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_tickets[0].Cancel();
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_canceled = true;
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (_tickets == null || orderEvent.Status != OrderStatus.Filled)
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{
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return;
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}
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// neither OCO leg's price should ever be reachable in this test window; a fill here means the
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// regression scenario itself is broken, not just the cancellation behavior being tested
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if (_tickets.Any(ticket => ticket.OrderId == orderEvent.OrderId))
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{
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throw new RegressionTestException(
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$"Unexpected fill for OCO leg {orderEvent.OrderId}: prices were set far from the market so the group should only close through the explicit cancel");
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_canceled)
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{
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throw new RegressionTestException("Expected to have canceled one of the OCO legs before the end of the algorithm");
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}
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if (_tickets == null || _tickets.Count != 2)
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{
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throw new RegressionTestException("Expected the OCO group to have exactly 2 legs");
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}
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foreach (var ticket in _tickets)
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{
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if (ticket.Status != OrderStatus.Canceled)
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{
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throw new RegressionTestException(
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$"Expected every OCO leg to be Canceled, including the leg that was not explicitly canceled. Leg {ticket.OrderId} has status {ticket.Status}");
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}
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}
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// canceling the OCO exit group must not touch the original market order fill
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if (!Portfolio.Invested)
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{
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throw new RegressionTestException("Expected the algorithm to still be invested: the market order fill is independent from the canceled OCO group");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 302;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "3"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "29.303%"},
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{"Drawdown", "0.700%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "102182.68"},
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{"Net Profit", "2.183%"},
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{"Sharpe Ratio", "4.501"},
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{"Sortino Ratio", "5.158"},
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{"Probabilistic Sharpe Ratio", "85.073%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.047"},
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{"Beta", "0.24"},
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{"Annual Standard Deviation", "0.038"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-6.241"},
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{"Tracking Error", "0.117"},
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{"Treynor Ratio", "0.708"},
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{"Total Fees", "$1.00"},
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{"Estimated Strategy Capacity", "$470000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.76%"},
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{"Drawdown Recovery", "12"},
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{"OrderListHash", "eed60d3f37058f4f436ee819cb6228d7"}
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};
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}
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}

‎Algorithm.CSharp/OneCancelsTheOtherOrderDemoAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demo algorithm for manually testing one-cancels-the-other (OCO) order groups end to end against a live
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/// or paper brokerage. Alpaca is the first brokerage to support them - see
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/// Lean.Brokerages.Alpaca/Documentation/ADR/0001-one-cancels-the-other-orders.md for the brokerage-side design.
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/// Buys a small position at market, then places a 2-leg OCO exit (take-profit limit above the entry price,
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/// stop-loss below it) and logs every order event so the outcome is visible in the live log/console.
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/// </summary>
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/// <remarks>
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/// This is a manual/live testing aid, not part of the automated backtest regression suite - it deliberately
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/// does not implement IRegressionAlgorithmDefinition. For the automated backtest version of this scenario,
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/// see OneCancelsTheOtherOrderRegressionAlgorithm.
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/// </remarks>
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public class OneCancelsTheOtherOrderDemoAlgorithm : QCAlgorithm
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{
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private Symbol _symbol;
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private List<OrderTicket> _tickets;
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public override void Initialize()
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{
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// ignored when deployed live; only used if this is run as a quick local backtest sanity check first
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SetStartDate(2019, 1, 1);
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SetEndDate(2019, 1, 31);
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SetCash(100000);
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_symbol = AddEquity("AAPL", Resolution.Minute).Symbol;
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}
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public override void OnData(Slice slice)
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{
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if (_tickets != null)
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{
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// the OCO exit group has already been placed, nothing left to do
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return;
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}
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if (!Portfolio.Invested)
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{
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Debug("Buying 10 AAPL at market to open the position the OCO exit group will close.");
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MarketOrder(_symbol, 10);
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return;
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}
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// just went long: place the exit as one OCO group (take profit +1%, stop loss -2% from here).
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// Tighten these offsets if you want one leg to trigger quickly for a faster manual test.
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var price = Securities[_symbol].Price;
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var takeProfitLimitPrice = Math.Round(price * 1.01m, 2);
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var stopLossStopPrice = Math.Round(price * 0.98m, 2);
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Debug($"Placing OCO exit group on {_symbol}: sell limit {takeProfitLimitPrice} (take profit) / sell stop {stopLossStopPrice} (stop loss)");
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_tickets = OneCancelsTheOtherOrder(
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[
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new LimitOrder(_symbol, -10, takeProfitLimitPrice, UtcTime),
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new StopMarketOrder(_symbol, -10, stopLossStopPrice, UtcTime)
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]);
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug($"{Time}: {orderEvent}");
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}
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public override void OnEndOfAlgorithm()
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{
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if (_tickets == null)
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{
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Debug("OCO exit group was never placed.");
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return;
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}
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foreach (var ticket in _tickets)
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{
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Debug($"Final status - Order {ticket.OrderId} ({ticket.OrderType}): {ticket.Status}");
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}
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}
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}
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}

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