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Contingency graphs (OCO / OUO / OTO)

Status: Phase 2 shipped (Alembic 0041). Manager: alphaswarm/trading/execution/contingency.py.

The three relationships​

TypeBehaviour
OCO (one cancels other)When any constituent fills (partial or full), the others are canceled. Canonical use: bracket a position with a take-profit limit + stop-loss stop.
OUO (one updates other)When any constituent's quantity changes (partial fill or amend), every other constituent's quantity is updated to match the remaining size. Useful when the bracket has more than two legs.
OTO (one triggers other)The parent is the trigger; children are emulated until the parent fills, then they're submitted. Canonical use: place an entry limit + parked TP/SL waiting for the entry to hit.

Class layout​

Manager behaviour​

For each constituent, the manager tracks shadow remaining_quantity and status:

  • On fill (full or partial), OCO emits CANCEL for every peer.
  • On partial fill, OUO emits UPDATE_QUANTITY for every peer with the new remaining_quantity.
  • On full fill, OUO emits CANCEL for every peer (degenerates to OCO).
  • On parent fill, OTO emits SUBMIT for every child. Subsequent child fills don't re-trigger anything.

Venue dispatch​

Two routes:

  1. Native atomic submission -- when the broker sets supports_oco = True, the broker's :meth:IDomainBrokerage.submit_list submits the whole list in a single venue call (Alpaca bracket orders, IBKR OCA groups). The manager STILL registers the list so a partial-cancel still emits cleanup commands when the venue's atomicity is best-effort.

  2. Manager-simulated -- when the broker sets supports_oco = False, the broker submits each constituent independently and the manager owns the cross-order cancels via :meth:ContingencyManager.on_execution_report.

Code example​

from decimal import Decimal
from alphaswarm.core.domain.identifiers import (
    ClientOrderId, InstrumentId, OrderListId, Symbol2, Venue,
)
from alphaswarm.core.domain.enums import ContingencyType, OrderSide, OrderType
from alphaswarm.core.domain.orders import LimitOrder, StopMarketOrder, OrderList

# Take-profit at 200, stop-loss at 180 -- OCO bracket
tp = LimitOrder(
    client_order_id=ClientOrderId("tp-1"),
    instrument_id=InstrumentId(Symbol2("AAPL"), Venue("NASDAQ")),
    order_side=OrderSide.SELL,
    quantity=Decimal("10"),
    order_type=OrderType.LIMIT,
    price=Decimal("200"),
)
sl = StopMarketOrder(
    client_order_id=ClientOrderId("sl-1"),
    instrument_id=InstrumentId(Symbol2("AAPL"), Venue("NASDAQ")),
    order_side=OrderSide.SELL,
    quantity=Decimal("10"),
    order_type=OrderType.STOP_MARKET,
    trigger_price=Decimal("180"),
)
order_list = OrderList(
    order_list_id=OrderListId("oco-1"),
    orders=[tp, sl],
    contingency_type=ContingencyType.OCO,
)
# Submit the entire list atomically (or simulated)
await broker.submit_list(order_list)

Persistence​

The Alembic 0041 migration adds:

  • order_lists -- one row per :class:OrderList
  • domain_orders.order_list_id FK -- ties constituents to parent
  • execution_reports -- audit trail; the manager reads this to recover state after a restart

Limitations​

  • OUO with three or more constituents updates ALL peers to the smallest remaining size. This matches the standard interpretation but may not be what every venue does -- check the venue's docs.
  • OTO with multiple parents (a single child triggered by either of two parents) is NOT supported; that's a contingency-graph generalisation the manager can't currently express.
  • Native broker OCO often comes with constraints (Alpaca brackets require the limit + stop to be on the same instrument; IBKR OCA groups allow cross-instrument). The contingency manager handles cross-instrument simulation.