One Cancels Other (OCO)

An OCO order consists of multiple orders where the fill of any one order automatically cancels all other orders in the group.

All orders are placed simultaneously when the algo starts.

Cancel Behavior

• When any order is fully filled, the remaining orders are immediately cancelled

• If cancel_in_proportion is true, partial fills trigger proportional cancellations of the remaining orders based on the fill quantity

  • This will be calculated based on "percent_done", which is SUM(filled_for_a_given_order/order_quantity) for all of the orders

  • For example, if you have three orders for quantities 10, 15, 20 and you have gotten filled on 1, 3, 10 respectively, you will have 1/10 + 3/15 + 10/20 = 80% done, so each order will have 20% left. Thus, the remaining order quantities will be 2, 3, 4

  • Any fractional orders are rounded to the nearest quantity increment

• If cancel_in_proportion is false, only a complete fill of one order triggers cancellation of all other orders

The OCO algo completes when:

• all orders are fully outed/cancelled

You cannot modify the algo once it is sent, you must cancel and send a new one if you want different parameters.

You also cannot pause the algo, it will just cancel when you send a pause.

If an order is rejected, the algo will continue operating with the remaining orders.

Use Cases

• Placing orders on multiple exchanges where you only want one to execute

• Implementing profit target and stop loss orders simultaneously

• Managing risk by ensuring only one side of a position is filled

OneCancelsOtherParams

Parameter	Description
orders (vec<OrderInfo>)	The orders in the OCO set
cancel_in_proportion (bool)	If true, orders are replaced proportionally based on the fill quantity of any given order. If false, orders are only cancelled once the an order is completely filled.

OrderInfo

OrderInfo is very similar to a PlaceOrderRequest. This contains the order information for each leg of the OCO algo.

Field	Required	Description
symbol	Y	Tradable product
dir	Y	Order side; BUY or SELL
quantity	Y	Order quantity
order_type	Y	Order type
limit_price	N*	Required for certain order types
post_only	N*	Required for certain order types
trigger_price	N*	Required for certain order types
time_in_force	Y	Order time-in-force instruction
execution_venue	Y	Execution venue for the order. Unlike PlaceOrderRequest, this is required

Example

from architect_py import (
    OneTriggersOtherParams,
    OrderInfo,
    OrderDir,
    TimeInForce,
    OrderType,
)

symbol1 = 'NQ 20251219 CME Future' 
symbol2 = 'MNQ 20251219 CME Future'
tp1 = f"{symbol1}/USD"
tp2 = f"{symbol2}/USD"
account = "PAPER:[email protected]"
venue = "CME"
params = OneCancelsOtherParams.new(
    orders=[OrderInfo.new(
        symbol=tp1,
        execution_venue=venue, 
        dir=OrderDir.BUY, 
        quantity=10, 
        limit_price=24940,
        post_only=False,
        time_in_force=TimeInForce.IOC,
        order_type=OrderType.LIMIT,
        ),
        OrderInfo.new(
            symbol=tp2,
            execution_venue=venue, 
            dir=OrderDir.SELL, 
            quantity=100, 
            limit_price=25000,
            post_only=False,
            time_in_force=TimeInForce.IOC,
            order_type=OrderType.LIMIT,
        )
    ],
    cancel_in_proportion=True,
)

order = await client.place_algo_order(params=params, account=account)