OnOrderUpdate Questions

[GrumpyTrader]

I read through the help and I'm not sure if what I am seeing is expected behavior. When running a backtest on daily bars, I am "sometimes" seeing an OrderUpdate with an OrderStatus of "Filled" on the same day as the order is submitted. I'm not quite sure how that can be when it obviously can't be filled until the next day. The OnExecutionUpdate reports it on the proper day. Am I missing something?

[NinjaTrader_DaveI]

That is interesting -- thank you for reporting this to us. Can you share a simplified version of the script that you are using, so that I can test with the same entry/exit logic that you are using?

[GrumpyTrader]

Hi Dave,
When I get a chance I will try to create a skinny version of my code.

[GrumpyTrader]

He Dave,
Please see the attached example.

It is a multi-symbol strategy. It will print to the output window the details of each event. See picture of what I am referring to.

The example is using the ^SP500 index as the base security with daily bars from 1/1/2013 to today. I am using IQfeed as my datasource. The strategy loads the DOW 30 and runs a simple SMA crossover strategy on the underlying instruments.

I've attached a picture of my strategy settings.

[NinjaTrader_DaveI]

Thank you -- that was exactly what I needed to see the issue clear as day. I can confirm this behavior, and it does appear to be unintended. The DateTime provided on OnOrderUpdate, in addition to the Time property of the Order object provided, both show the date/time of the order submission, rather than order fill.

I've reported this to our development team to investigate a potential solution, with Tracking ID # NTEIGHT-9240.