quantopian/zipline

Advanced order types: BracketOrders/OCO/OTO/TrailingStops

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#1,357 opened on Jul 31, 2016

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Description

See also #366 and #189.

Bracket Orders:

Simultaneous orders that aim to limit profits and losses http://www.investopedia.com/terms/b/bracketedbuyorder.asp http://www.investopedia.com/terms/b/bracketedsellorder.asp

One-Cancels-the-Other(OCO):

An order that cancels a different open order upon success (necessary for brackets) http://www.investopedia.com/terms/o/oco.asp

One-Triggers-Other(OTO):

An order that triggers another order to be placed upon success http://www.investopedia.com/university/intro-to-order-types/conditional-orders.asp

Trailing Stops:

A fixed nominal or percentage amount from the peak price after purchase that triggers an order http://www.investopedia.com/terms/t/trailingstop.asp

Most of these could be implemented by adding an optional trigger callback to order objects, which can then be used with the already implemented order types.

Contributor guide

Research direction
Investigate the existing order object structure and implement a trigger callback mechanism.
Tech stack
python
Domain
backend
Issue type
Feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
1-2 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
Stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
Clear
Prerequisites
Python
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
60