sync account position

[NinjaTrader_JoshP]

zweistein,

We believe we have isolated and addressed a bug which may have caused the behavior you were experiencing. Please let us know should this not have covered your case because internally here we are unable to reproduce the issue any more with the fix. Thank you for your time and efforts and sticking with us on this report.

Please note though, that message will come up whenever your strategy is incapable of cancelling orders within 40 seconds to sync things up. This would be expected if that were the case.

[zweistein]

thank you for taking care of this crucial issue (will allow me to keep strategies overnight).

I will try to report as concise as possible.

regards


andreas

p.s. does this mean that you could in b11 reproduce this error?

[NinjaTrader_JoshP]

zweistein,

Not exactly in the same sense as to how you have described it, but more or less we believe the fix will impact you. Please let us know in the next version how it goes. Thank you.

[zweistein]

Well,

tried on b12,

error still there, no fix:

FixedPosAndStop.cs

Additional info:
Using only the Simulated Data feed for testing as the problem shows up there as well as in IB.


1. Cycling through disconnect/recoonect yields the "UNABLE TO CANCEL OUT UNMAPPED ORDER.

2. As a variation of 1. instead of disconnecting the Simulated data feed I just exit NT directly and relaunch NT again/reconnect to account/enable strategy.
This should give exactly the same behaviour as 1. but I get another error which is a wrongly reported strategy position of 0 and then I get a stray PendingChange State for the stop order.

regards and good luck, I don't envy you for the remotesoft problems.

andreas

[NinjaTrader_Bertrand]

Thanks for your contiuned patience and support on this issue - we'll check into and get back to you.

[zweistein]

Well, for b13 you did a lot of changes and my first test it is all working as expected.

Excellent,

please expect further investigation from my side, but for the time beeing happy easter

andreas

[NinjaTrader_Bertrand]

Sorry for the no update to this thread - thanks for the feedback and persistence Andreas, likewise happy easter days from us.

[zweistein]

I would like to discuss again the behaviour of NT in a Disable/Enable cylce for the strategy
FixedPosAndStop.cs.
This is the same file that we used in earlier messages (before easter) of this post with only 1 simple change:
The fixed position is entered on 14.april 2010. In this way the associated stop is not hit.

The strategy can have 3 different states at the moment it is disabled:
A. Entry order open (no position)
B. Entry order filled, in Position and Stop accepted.
C. Stop Filled.

A first testing shows that as long as the states (A,B,C) are the same the moment the strategy is re-enabled then all works fine.
Hence after re-enable all orders and positions are the same as before as long as the strategy state has not changed.

It gets more difficult , and this is actually the case that NinjaTader internal order handling should really take care off, when something happens after the strategy is disabled.

We can have the most important cases:

StrategyTheMomentItIsDisabled PossibleScenarios StrategyAfterReEnable
A Entry filled Pos=1entry, Stop active ?
B Stop filled Pos=flat ?

For the cases in this table NinjaTrader internal order handling does not yield the correct results, please check.

In order to check you must modify FixedPosAndStop.cs


To test case A: Modify FixedPosAndStop.cs such that the limit is well below market. This is done by this line:
EnterLongLimit(0,true,1,0.99*GetCurrentAsk(),"Buy" ); // case A
After you disable the strategy: Then please modify the buy order limit to above market. This will yield a fill for the order.
Then re-enable the strategy and check the Ninja behaviour.

To test case B:
Modify FixedPosAndStop.cs such that the entry order is executed immediately. You wil then have a position and a stop.
EnterLongLimit(0,true,1,GetCurrentAsk(),"Buy"); /// case B
Then disable the strategy. Then move the stop order high enough so that it is filled. Then re-enable the strategy. Ninja internal sync should reflect this situation.

Please test and I am waiting for your comment. What is expected?

regards
Andreas

[NinjaTrader_Bertrand]

Andreas, sorry for the late follow up from us here, will need to test and get back to you.

[NinjaTrader_Bertrand]

Hi Andreas, here's what I see - if the order is filled as the strategy is disabled then on next restart the hardcoded SyncAccountPosition would do it's job in yourr sample, i.e if strategy position is flat, send a sync order to rectify the execution not seen by the strategy and replace original entry orders.