Advanced Execution Patterns

Maker Grid Orders

Tags: execution, maker, limit_order, grid, market_making Functions: entry with limit_price Description: Places limit orders above and below the current price to profit from range-bound markets using a grid strategy. Code:

ticker = context["ticker"]

# Grid Levels relative to current price
current_price = close[-1]
grid_step = 0.01  # 1% step

# Buy grid levels below current price
buy_1 = close < current_price * (1 - grid_step * 1)
buy_2 = close < current_price * (1 - grid_step * 2)
buy_3 = close < current_price * (1 - grid_step * 3)

emit(buy_1, entry(ticker, "LONG", Weight(0.1),
                  execution='LIMIT', limit_price=current_price * 0.99,
                  label="GRID_BUY_1"))
emit(buy_2, entry(ticker, "LONG", Weight(0.1),
                  execution='LIMIT', limit_price=current_price * 0.98,
                  label="GRID_BUY_2"))
emit(buy_3, entry(ticker, "LONG", Weight(0.1),
                  execution='LIMIT', limit_price=current_price * 0.97,
                  label="GRID_BUY_3"))

# Sell grid levels above current price
sell_1 = close > current_price * (1 + grid_step * 1)
sell_2 = close > current_price * (1 + grid_step * 2)
sell_3 = close > current_price * (1 + grid_step * 3)

emit(sell_1, entry(ticker, "SHORT", Weight(0.1),
                   execution='LIMIT', limit_price=current_price * 1.01,
                   label="GRID_SELL_1"))
emit(sell_2, entry(ticker, "SHORT", Weight(0.1),
                   execution='LIMIT', limit_price=current_price * 1.02,
                   label="GRID_SELL_2"))
emit(sell_3, entry(ticker, "SHORT", Weight(0.1),
                   execution='LIMIT', limit_price=current_price * 1.03,
                   label="GRID_SELL_3"))

OCO Bracket Order (TP/SL)

Tags: execution, oco, risk_management, bracket, stop_limit Functions: emit_oco, entry Description: Submits take-profit (TP) and stop-loss (SL) orders as an OCO (One Cancels Other) pair at entry. When one fills, the other is automatically cancelled. Code:

ticker = context["ticker"]

# Entry Signal
long_cond = rsi(close, 14) < 30

# Enter Market with built-in TP/SL (recommended over manual OCO)
emit(long_cond, entry(ticker, "LONG", Weight(1.0),
                      stop_loss=PercentFromEntry(-0.02),   # 2% SL
                      take_profit=PercentFromEntry(0.05),  # 5% TP
                      label="MAIN_POS"))