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(...).