ConnectionLost and Order Handling

[MXASJ]

Hi Ninja Team,

I just had a Strategy submit an order while the OrderServer was ConnectionLost. In the Options tab I have Keep Running selected. The Strategy shut itself down. Is that expected bahavior for the Keep Running option? What would the Recalculate Option have done any differently?

Here is the print of the Output Window (I run a Strategy called ConnectionMonitor to monitor connections).

**NT** Strategy 'ConnectionMonitor/1f228ea00fc046a89579cd547db38456' lost order connection but will keep running.
2010-07-02 13:22:32 Connection 'Hosted' Order Server: ConnectionLost. Price Server: Connected.
**NT** Strategy 'Module1c/d3a9ed45629e403a905c622d00539237' lost order connection but will keep running.
**NT** Strategy 'Module1c/9f32f52bb72340b58ce4b7d011b7ee50' lost order connection but will keep running.
**NT** Strategy 'ConnectionMonitor/1f228ea00fc046a89579cd547db38456' lost price connection but will keep running.
2010-07-02 13:23:34 Connection 'Hosted' Order Server: ConnectionLost. Price Server: ConnectionLost.
**NT** Strategy 'Module1c/d3a9ed45629e403a905c622d00539237' lost price connection but will keep running.
**NT** Strategy 'Module1c/9f32f52bb72340b58ce4b7d011b7ee50' lost price connection but will keep running.
2010-07-02 13:23:38 Connection 'Hosted' Order Server: ConnectionLost. Price Server: Connected.
2010-07-02 13:25:14 STRATEGY Module1c: ES 09-10 LONG signal generated with BID/ASK at: 1023.75/1024 AllTrades CumProfit: $0
**NT** Strategy 'Module1c/d3a9ed45629e403a905c622d00539237' submitted an order that generated the following error 'UnableToSubmitOrder'. Strategy has sent cancel requests, attempted to close the position and terminated itself.
**NT** Disabling NinjaScript strategy 'Module1c/d3a9ed45629e403a905c622d00539237'
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
2010-07-02 13:25:14 TERMINATING Strategy Module1c: ES 09-10
2010-07-02 13:25:14 ES 09-10 AllTrades CumProfit: $0
2010-07-02 13:25:14 ES 09-10 Market Position: Flat
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ 

I'm happy it did what it did, but I'm now wondering if I should code a filter where status Connected needs to be true before an order is submitted. Is that something that should be handled by NT internally?

[NinjaTrader_Bertrand]

MXASJ, yes this is expected the KeepRunning left the strategy running even though you did have a Connection Loss event, of course as it tried to submit an order it failed and then shut down as a consequence (default error handling, see RealtimeErrorHandling in the helpguide).

Recalculate would attempt to recalculate your strategy's position once the connectivity is fully back up (and held up for 'RestartDelaySeconds').

You could check for the OrderServer connection being ok before submitting an order if you choose to KeepRunning on disconnects.

[MXASJ]

The Zenfire disconnect thing has been keeping me busy. I've added this before OnBarUpdate():

protected override void OnConnectionStatus(ConnectionStatus orderStatus, ConnectionStatus priceStatus)////////// 
{//Open OnConnectionStatus

badPriceDataFeed = priceStatus;
badOrderDataFeed = orderStatus;

if (badPriceDataFeed == ConnectionStatus.Connected && badOrderDataFeed == ConnectionStatus.Connected)
{
connectionOK = true;
}
else connectionOK = false;

}//CloseOnConnectionStatus 

And this at the start of OnBarUpdate():

if (connectionOK == false)
{
Print(DateTime.Now + " OnBarUpdate paused OnConnection.Disconnected. " + Instrument.FullName);
return; //Return out of OnBarUpdate if disconnected.
} 

My question is... should the Strategy still send orders if I'm disconnected and I'm using managed orders such as EnterLong(), SetTrailStop(), etc etc, and is the BarsInProgress index something I need to watch for multi series strats?

Thanks!

[NinjaTrader_JoshP]

MXASJ,

Yes, orders will still be submitted when you are disconnected. Default behavior is that once you run into such a scenario is when the strategy will be halted though. For instance, NT will let you continue running the strategy if you lost connection to the order feed. This does not matter as long as you get reconnected before your next order submission. If you submit an order action prior to reconnecting to the order feed then problems arise since the order submission never made it to the brokerage and as such the strategy will be stopped at that point in time. The benefits of being able to continue running the strategy through a disconnect is to have an opportunity of not needing to restart the strategy and recalculate everything which can result in different positions.

The BarsInProgress is definitely something you would need to watch in a multi-series strategy. It heavily influences your trade logic.