Synthetic Bracket Orders, OCO Logic & Ratcheting Trailing Stops

Building a server-side OCO (One-Cancels-the-Other) stop-loss and take-profit manager with intrabar ratchet rules. Within the Quant & Broker APIs curriculum (Strategy DSL & Scripting → State Machines & Stops), this topic establishes the concrete quantitative rules and execution mechanics required for live market deployment.

Professional desks never rely on ambiguous visual guesses for bracket order. Instead, every entry, invalidation level, and risk parameter is defined mathematically before a single order reaches the exchange gateway.

Hover over key terms below for instant definitions: Bracket Order, Oco, and One Cancels The Other. For the complete mathematical derivation and edge-case analysis, open worked example & quantitative lookup matrix for bracket oco stop engines.

• Bracket Order — Core structural driver governing synthetic bracket orders, oco logic & ratcheting trailing stops.
• Oco — Prevents premature entries and enforces mechanical discipline across State Machines & Stops.
• One Cancels The Other — Ensures worst-case scenario losses stay strictly within predetermined R-multiple budgets.

1. 1
   1. Pre-Session Calibration & Regime Check

   Measure baseline volatility and liquidity parameters for bracket order prior to market open.
2. 2
   2. Mechanical Signal Confirmation

   Wait for a completed bar close confirming the oco threshold—never pre-empt mid-candle.
3. 3
   3. Risk-Normalized Sizing & Order Placement

   Compute exact lot quantity from the invalidation distance and dispatch via a Marketable Limit order.
4. 4
   4. Post-Trade Telemetry & Audit

   Log arrival price, fill slippage, and MAE/MFE metrics against the State Machines & Stops benchmark.

Implementation & Quantitative Model

1export function evaluateOcoBracket(barHigh: number, barLow: number, stopPrice: number, targetPrice: number) {2  // Pessimistic rule: if both stop and target are touched in same bar, assume Stop hit first3  if (barLow <= stopPrice) return { exit: "STOP_LOSS", fillPrice: stopPrice };4  if (barHigh >= targetPrice) return { exit: "TAKE_PROFIT", fillPrice: targetPrice };5  return null;6}

Cross-reference standard risk definitions such as drawdown, slippage, and Sharpe ratio when auditing your logs.