quantopian/zipline

Advanced order types: BracketOrders/OCO/OTO/TrailingStops

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#1357 opened on Jul 31, 2016

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 (2 comments) (1 reaction) (0 assignees)Python (17,019 stars) (4,633 forks)batch import
Feature RequestHelp Wanted

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

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.
4
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
over 1 week
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.
mostly clear
Prerequisites
PythonBasic trading concepts
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
25
Research direction
Investigate existing order types in the zipline codebase, particularly the order classes and their handling. Review referenced issues #366 and #189 for prior discussion. Consider implementing an optional trigger callback for order objects to support bracket orders, OCO, OTO, and trailing stops. Examine the comments on the issue for any additional guidance from maintainers.