liveUntilCancelled to which barsInProgressIndex

[zacharydw00]

if (BarsInProgress == 0)
EnterLongLimit(1, false, 5, Close[0] - 3 * TickSize, "BuyLmt1");

Assumption: false for liveUntilCancelled will cancel the order (if not filled) when the bar it was submitted to closes.?

With the above order being called from the primary BarsInProgress, but sent to the seconday BarsInProgress, will the order cancel at the close of the primary or secondary BarsInProgress timeframe?

[NinjaTrader_JoshP]

To keep the order alive you need to resubmit on each OnBarUpdate() event.

[zacharydw00]

The real question was... will the order cancel at the close of the primary or secondary BarsInProgress timeframe?

[NinjaTrader_JoshP]

To keep the order alive you need to resubmit on every OnBarUpdate() event. That means all BarsInProgress contexts.

[zacharydw00]

I don't want to keep the order alive. What I'm after is when exactly will the order cancel? I'll rephrase the question with more detail.

The help guide states for the liveUntilCancelled parameter "The order will NOT expire at the end of a bar ..." (if set to true). Sense I am setting to false, I am trying to determine which Bars object the order will cancel on, because my strategy has two Bars objects for granular back testing. Is the order canceled on the primary Bars object from which the order is called, or the secondary Bars object where the order is sent to?

(The script will be run on 6 minute Bars)
Initialize()
Add(PeriodType.Minute, 1) <- Create secondary bars object

OnBarUpdate()
if (BarsInProgress == 0) <- Process primary Bars object
EnterLongLimit(1, false, 5, Close[0] - 3 * TickSize, "BuyLmt1");
....................^-- Send order to secondary Bars

With the above long limit order being called from the 6 minute Bars object, but sent to the 1 minute Bars object, will the order cancel on the close of the 6 minute bar or the 1 minute bar?

[NinjaTrader_Ben]

Hello,

I want to be sure you get a quality answer. I will have someone respond to your post on Monday.

[NinjaTrader_Bertrand]

Hi zacharydw00, it is advised to only to execute orders against the first series when running a multi series strategy on one instrument. So this will then be the deciding series when your limit orders will expire, you can also run this with TraceOrders = true, it will then indicate on which BarsObject orders were placed.

http://www.ninjatrader-support.com/HelpGuideV6/TraceOrders.html

[zacharydw00]

Thanks for the advice Bertrand. I agree. I would never do that in live trading. I am asking, because I am modifying my strategy specifically for Strategy Analyzer so I can analyze intrabar action if I apply a stoploss to the strategy. Therefore, I need to know the behavior of sending an order to a secondary Bars object.
So, could someone please answer the question in post #5.
Thanks.

[NinjaTrader_JoshP]

zacharydw00,

It cancels at the NEXT OnBarUpdate() if you do not resubmit. If the next one is a primary then it cancels on the primary. If the next one is a secondary then it cancels on a secondary.

[zacharydw00]

Thanks Josh!

[MrTicks]

zacharydw00,

It cancels at the NEXT OnBarUpdate() if you do not resubmit. If the next one is a primary then it cancels on the primary. If the next one is a secondary then it cancels on a secondary.

What would the code look like to do that? I.e., keep it alive for a certain number of bars?

[NinjaTrader_JoshP]

Just keep calling your limit order for every bar you want to keep alive. You can use a counter to count how many bars it has been and when you want to stop, don't resubmit and it will expire.

[MrTicks]

Just keep calling your limit order for every bar you want to keep alive. You can use a counter to count how many bars it has been and when you want to stop, don't resubmit and it will expire.

Thank you Josh, appreciate it! Hadn't thought of that.