NT7 SampleOnOrderUpdate

[Shansen]

NT Team,

Would it be possible to provide the sample strategy "SampleOnOrderUpdate" with all appropriate changes for use in NT7?

 IExecution.IOrder property will now reflect the order state at the time of OnExecution() meaning it could return values ahead of the currently being processed IExecution.

o Ex: There can be discrepancies between IExecution.Order.Filled and IOrder.Filled as accessed during order placement
 IOrder objects are now unique throughout the lifetime of a strategy

o Do NOT hold onto .Token values since they will change as the strategy goes from historical to live

o To check for equality you can directly compare IOrders. Example:
if (entryOrder == order)

o IOrder.Action has been renamed to IOrder.OrderAction

Regards
Shannon

[NinjaTrader_Bertrand]

Hi Shannon, thanks for the suggestion / request - we're currently updating those and will post them when ready.

[tonyh]

SampleOnOrderUpdate: exitOrder?

Hello:

I have reviewed all threads on SampleOnOrderUpdate for NT6.5 and would like to suggest additional code to add to the NT7 version. Please add an example that provides a way to exit an order without a stopOrder or targetOrder combination. Perhaps this can be incorporated within the code already written. To me, this would be a great help in determining the ideal way to incorporate the code into my software. Perhaps there is already an easy example available that I have missed. Thanks.

Tony

[NinjaTrader_JoshP]

Tony,

I guess I am not quite sure I follow. If you do not want to use a stop/target, just submit whatever order you want to use to close your position at the point in time you want to exit.

For instance, if you want to close your position after 10 bars have passed you could do something like

if (Position.MarketPosition == MarketPosition.Long && BarsSinceEntry() > 10)
     ExitLong();

You can use market orders like shown above or any other order type to do your exit like limit orders or stop orders.

[tonyh]

exitOrder combined with stopOrder and targetOrder

Hello Josh:

I guess I wasn't as clear as I should have been. I wanted to include stopOrder and targetOrder, but also include certain situations to exit before price reaches these orders. My questions are:

1. Where can an exitOrder (ExitLong()) be included within SampleOnOrderUpdate code?

2. Will the code automatically cancel the stopOrder and targetOrder trades should this exitOrder occur?

Thanks.

Tony

[NinjaTrader_JoshP]

Tony,

You can call ExitLong() whenever you want wherever you want. When you deem it is time to close the trade, just call your order to close the position. You should exercise caution when you do this if you are trying to close the position close to where the stop/target is as you may run the risk of an overfill where both orders get filled if you do this. If you are far away from stop/targets you would not need to worry about this. Safest way to do this is to just modify your stop order up above the market to get it instantly filled. NT will automatically handle cancelling out the target after your stop gets filled.

[tonyh]

Excellent Exit out of Position!

Thanks Josh. Changing stopOrder to Close[0] + n ticks to automatically exit a long position makes much better sense to me. I assume this exits the long position as a Market order. It also has the added benefit of closing out the targetOrder order. Thanks again.

[Shansen]

Hi Shannon, thanks for the suggestion / request - we're currently updating those and will post them when ready.

Hey Bertrand,

Understanding you guys are under the pump at the moment, any ETA on the sample strategy code (e.g. "SampleOnOrderUpdate") with all appropriate changes for use in NT7?

As always, thanks
Shannon

[NinjaTrader_Bertrand]

Hi Shannon, I would unfortunately not have an ETA on this - the main change going from 6.5 to 7 is that you can compare the IOrder object now directly (6.5 needed the tokens) - http://www.ninjatrader.com/support/h...nt7/iorder.htm

[Shansen]

Bertrand,

In the NT7 online help guide, the OnExecution() method still uses tokens were OnOrderupdate does not. Is this correct?

http://www.ninjatrader.com/support/h...nt7/index.html -> OnExecution()

Examples
private IOrder entryOrder = null;

protected override void OnBarUpdate()
{
if (entryOrder == null && Close[0] > Open[0])
entryOrder = EnterLong();
}

protected override void OnExecution(IExecution execution)
{
if (entryOrder != null && entryOrder.Token == execution.Order.Token)
Print(execution.ToString());
}

Regards
Shannon

[NinjaTrader_JoshP]

Shannon,

Thank you for the spot. .Token should not be used.

[Shansen]

NT Team,

Any hope of an ETA on the NT7 SampleOnOrderUpdate?

Regards
Shannon

Hi Shannon, thanks for the suggestion / request - we're currently updating those and will post them when ready.

[NinjaTrader_JoshP]

Shansen,

Unfortunately we do not have an ETA, but it will be almost 100% identical. The only notable difference to be made is .Token checks would be removed for the new style of equality checks where you just check IOrder objects directly.

For example:

protected override void OnOrderUpdate(IOrder order)
{
     if (entryOrder == order)
          // Do something;
}

[Shansen]

Josh,

Thanks for the reply. You confirmed my understanding of Tokens in NT7.
Though I'm still having difficulty in applying IOrders in NT7 (No problems in NT6.5)

As an experiment I imported into NT7 a clean copy of the "SampleOnOrderUpdate" NinjaScript (aware it is designed for NT6.5). As expected the NinjaScript compiled fine, and executed perfectly, no problems in the Control Center Log. I added TraceOrders = true to the Initialize section, compiled and exectued again, no problems in the Control Center Long or Output window.

Editing the NinjaScript, a simple replace ".Token" with null (i.e. nothing) removed the 8 references to Tokens. The NinjaScript compiled fine. On execution, an error was reported in the Control Center Log "A Sell stop order placed... Please fix your strategy."

Where is it all going wrong?
Regards
Shannon

[NinjaTrader_Bertrand]

Shannon, can you please post the script you used for testing so we may comment and check into?

Thanks