OTO — one-triggers-other (`ON_FILL`)¶

An OTO ("one triggers other") is a parent order that carries one or more child orders placed only when the parent fills. If the parent never fills — it is cancelled, or expires — the children are dropped and never reach the venue.

This is different from a BRACKET (entry plus protective stop/take-profit on the same instrument) and from STACK (pyramiding more of the same direction). OTO is the general "on fill, place this specific other order" relationship: the child can be a different symbol, the opposite side, and priced relative to where the parent actually filled.

WHEN gold.close > ema(gold.close, 50)
THEN BUY gold SIZING 1
  ON_FILL { SELL silver SIZING 2 }

On the gold buy filling, a market sell of silver is placed — a legged hedge that exists only once the first leg is real.

Syntax¶

<BUY|SELL> <stream> SIZING <s> [ORDER_TYPE = <type>]
  ON_FILL { <child> [; <child>]* }

Each <child> is itself a BUY/SELL action with its own SIZING and optional ORDER_TYPE. Children are separated by ;. The parent is a normal order — market, or a pending LIMIT/STOP that places its children when it triggers.

Pricing a child off the parent fill¶

Inside ON_FILL, the keyword entry refers to the parent's fill price, so a child can sit a fixed offset away — the algo-only "scale in / re-enter at a level relative to where I got filled" shape.

WHEN breakout
THEN BUY gold SIZING 1 ORDER_TYPE = STOP AT gold.high + 1
  ON_FILL { BUY gold SIZING 0.5 ORDER_TYPE = LIMIT AT entry - 10 }

The parent is a stop entry on a breakout; once it fills, a half-size limit scale-in is planted 10 below the actual fill. entry is exact for a LIMIT/STOP parent (it fills at its price) and the signal-time estimate for a MARKET parent.

entry is only meaningful inside an ON_FILL block; using it anywhere else is a compile error.

Different symbol, opposite side¶

A child names its own stream and side, so OTO expresses legged spreads and offsetting hedges:

-- Enter the cheap leg; on fill, short the rich leg market — a paired spread.
WHEN zscore(eur.close / gbp.close, 96) <= -2.0
THEN BUY eur SIZING 1
  ON_FILL { SELL gbp SIZING 1 }

Lifecycle¶

The engine (OrderManager) places the parent, holds the children until the parent fills, then submits them. If the parent is cancelled or expires unfilled, the children are discarded — there is never an orphan child working at the venue without its parent having filled.

Limitations (v1)¶

The parent carries no BRACKET, OCO, or STACK on the same action — keep the parent a plain entry. (Combine shapes by nesting strategies/rules instead.)
Children are plain BUY/SELL orders: no nested ON_FILL, BRACKET, OCO, STACK, or per-child TIF yet. Children rest as GTC.
Children cannot target a BASKET alias.

What this composes with¶

Actions — BUY/SELL are the parent and children
SIZING — parent and each child are sized independently
BRACKET — the on-fill-children shape OTO generalizes
STACK — pyramiding into a winner, the same-direction special case

OTO — one-triggers-other (ON_FILL)¶