Combo Orders¶

Objective¶

Create multi-leg orders that execute atomically and understand OCO (One-Cancels- Other) linked orders.

Prerequisites¶

Chapters 01–09 completed.
Two trader gateways connected so you can stage opposing liquidity.

Background¶

A combo order bundles two or more legs (different symbols or sides) into a single atomic unit. Either all legs fill or none do. This eliminates "leg risk" — the danger of only one side of a spread filling.

Exercise 1: Simple Two-Leg Combo¶

To see the combo fill atomically, first guarantee liquidity on both legs with explicit counter-orders (don't rely on ambient MM quotes, which may not be at the exact combo prices):

TRADER02> NEW|SYM=AAPL|SIDE=SELL|TYPE=LIMIT|QTY=100|PRICE=150.10|TIF=DAY
TRADER02> NEW|SYM=MSFT|SIDE=BUY|TYPE=LIMIT|QTY=50|PRICE=420.50|TIF=DAY

Now submit the combo — buy AAPL and sell MSFT atomically:

TRADER01> NEW|TYPE=COMBO|COMBO_ID=PAIR-001|COMBO_TYPE=AON|TIF=DAY|LEG_COUNT=2|LEG0.SYM=AAPL|LEG0.SIDE=BUY|LEG0.QTY=100|LEG0.PRICE=150.10|LEG1.SYM=MSFT|LEG1.SIDE=SELL|LEG1.QTY=50|LEG1.PRICE=420.50

Because both counter-orders above match the combo's leg prices exactly, the engine can fill both legs simultaneously.

Checkpoint: combo acknowledged; both legs fill in the same event (check BOOK|SYM=AAPL and BOOK|SYM=MSFT for matching fill reports).

Observation: atomic behavior is what removes leg risk. You should never see one leg fill without the other in a valid combo execution.

Exercise 2: Verify Atomic Behaviour (Resting Case)¶

Now check that you cannot get a partial combo (one leg filled, other not) when liquidity is missing on one leg:

Confirm AAPL has a resting sell at 150.10 (from Exercise 1, or place a new one: TRADER02> NEW|SYM=AAPL|SIDE=SELL|TYPE=LIMIT|QTY=100|PRICE=150.10|TIF=DAY).
Do not place any MSFT buy at 420.50 — cancel or avoid resting MSFT liquidity at that price so the second leg has nothing to match against.
Submit a new combo with a fresh ID:

TRADER01> NEW|TYPE=COMBO|COMBO_ID=PAIR-002|COMBO_TYPE=AON|TIF=DAY|LEG_COUNT=2|LEG0.SYM=AAPL|LEG0.SIDE=BUY|LEG0.QTY=100|LEG0.PRICE=150.10|LEG1.SYM=MSFT|LEG1.SIDE=SELL|LEG1.QTY=50|LEG1.PRICE=420.50

It should rest in full — check BOOK|SYM=AAPL and confirm the AAPL sell at 150.10 is still resting, unfilled, proving the combo did not execute the AAPL leg alone even though a matching counter-order existed for it.

Checkpoint: combo does not partially fill; AAPL counter-order remains untouched.

Operational rationale: without atomicity, you could end up with accidental directional inventory from only one leg filling.

Exercise 3: Cancel a Resting Combo¶

TRADER01> CANCEL|COMBO_ID=PAIR-002

All legs are cancelled together.

Checkpoint: full combo cancellation confirmed.

Exercise 4: OCO — One-Cancels-Other¶

Link two independent orders so that when one fills or is cancelled, the other is automatically cancelled:

TRADER01> NEW|TYPE=OCO|OCO_ID=OCO-AAPL-ENTRY|SYM=AAPL|QTY=100|TIF=DAY|LEG1_SIDE=BUY|LEG1_TYPE=LIMIT|LEG1_PRICE=149.50|LEG2_SIDE=BUY|LEG2_TYPE=LIMIT|LEG2_PRICE=148.00

When the first order fills (price drops to 149.50), the second order at 148.00 is automatically cancelled.

Checkpoint: filling one OCO leg cancels the other.

Exercise 5: OCO with Different Sides¶

A common pattern — bracket order (take-profit + stop-loss):

TRADER01> NEW|TYPE=OCO|OCO_ID=BRACKET-AAPL-001|SYM=AAPL|QTY=100|TIF=DAY|LEG1_SIDE=SELL|LEG1_TYPE=LIMIT|LEG1_PRICE=151.00|LEG2_SIDE=SELL|LEG2_TYPE=STOP|LEG2_STOP=149.00

If price rises to 151.00 (take-profit fills), the stop is cancelled. If price drops to 149.00 (stop triggers and fills), the limit sell is cancelled.

Checkpoint: bracket order behaves as expected.

When to Use Combos vs OCO¶

Use Case	Mechanism
Spread / pairs trade (buy A + sell B)	Combo
Hedging (must have both sides or neither)	Combo
Take-profit + stop-loss (only want one to execute)	OCO
Multiple entries at different prices (only want one)	OCO

Reflection¶

Why is a Combo's atomicity a guarantee while an OCO's "one cancels other" is a reaction to the first fill? Could an OCO ever leave you exposed for a brief moment that a Combo would not — and why does that difference matter for a pairs trade versus a take-profit/stop-loss pair?