Orders don't get filled #2

[MasterSepp]

I've just got a new problem:
There is an order, which hasn't got filled, although it should have! I activated TraceOrders and looked after in the Output Window and this is what stands there (for YM):

10.11.2009 18:00:00 Entered internal PlaceOrder() method at 10.11.2009 18:00:00: Action=Buy OrderType=Limit Quantity=1 LimitPrice=10188 StopPrice=0 SignalName='' FromEntrySignal=''

The price got reached a few minutes later, and still the order didn't get filled. When you backtest the strategy in the Strategy Analyzer and then look under "Orders", there also was no order during this time. So the order existed only in the output window... mysterious...
Do you have any clue how this can be? Other times it worked without problems, but then there are always times like this, when the orders don't get filled without any reasons. Can you help me on this?

Regards,

Sepp

[NinjaTrader_Bertrand]

Sepp, what do you mean by price reaching this limit order level? That it touched the level? This doesn't mean it fills, same in real life if a limit is touched and you were late to place it at that level.

[MasterSepp]

It doesn't only get touched, it gets penetrated, and this by several ticks! That's why I was wondering.

[NinjaTrader_Bertrand]

Sepp, I would need to see the logs from this day to give you more insight, also unfortunately you can't compare backtesting fills and those you get on live data / trading, as mentioned in previous threads - it's an approximation and gives you an idea, but it does not replace live forward testing and finally trading with small size.

http://www.ninjatrader-support.com/HelpGuideV6/DiscrepanciesReal-TimeVsBacktest.html

[MasterSepp]

What do you mean with logs? Just copy the Output window after a backtest?
I don't compare the backtest results with the realtime ones, I'm only referring to the backtest results. Besides that, the realtime results are the same, but that doesn't matter for now.
I know, that the backtesting is only a simulation, but I hope it works good enough for that it knows, that the order has to be filled, when the price is penetrated for several ticks.

Regards,

Sepp

[MasterSepp]

The most mysterious thing I observed is that some orders don't get showed. For example, there is a order remarked in the Output window (through TraceOrder == true), but it isn't shown in the workspace (during realtime simulation) or the Orders panel in the Strategy Analyzer (during backtesting). How is this possible? When an order is written in the output window through TraceOrders, why isn't it shown anywhere else?

Regards,

Sepp

[NinjaTrader_Ray]

Bert will follow up on your post by tomorrow morning.

[MasterSepp]

Sure.
As you perhaps already realised, I think I know what the problem is: Since I use liveuntilcancelled = true, the order stays. If this is for example a EnterLongLimit order, and then comes a enterShortLimit order, both get eliminated, right? This would explain the whole thing.
EDIT: This still doesn't explain everything, so I'm again at zero.

Regards,

Sepp

[NinjaTrader_Bertrand]

Hi Sepp, for the last scenario you mentioned, working with liveUntilCancelled and placing a short entry limit order while have a long entry limit working -> this would create an issue with the 'Internal Order Handling Rules' we have in place to protect you of unwanted positions - http://www.ninjatrader-support.com/H...verview36.html (bottom section of this link here).

You should see then mention of running into this in your TraceOrders output - http://www.ninjatrader-support2.com/...ead.php?t=3627

Do you get the fills you expect when working only one side with the strategy, for example only longs and long exits?

[MasterSepp]

Ok, first, I honestly didn't understand your first link - sorry for my bad english. Could you explain to me the entry part in short words? This isn't too important, as long as you can answer the next question(s).
Second: It doesn't work for LongLimit as well as ShortLimit Orders. But about more than 50% it works like I want.
My main problem is, that when I go in the output window, there is in fact the entry order listed without any error message. Nevertheless, when I look under the "orders" panel in the Strategy Analyzer resp. the Control Panel during realtime simulation, there is no order listed there during this time. How can this be? How can a order be listed through TraceOrders but doesn't get submitted? Do you know why this could be?

Regards,

Sepp

[NinjaTrader_Bertrand]

The first part for you is important - orders to enter would be ignored if you already have an open position and have a Set or Exit method working to get you flat, or if you are for example in no position, but submit a bracket for entry (like adding a Short Limit order to a already working Long Limit order). As both could fill quickly and you could be left with an unwanted positon, NinjaTrader will ignose those orders to protect you.

NinjaTrader 7 will offer also a more flexible approach here, called 'Unmanaged Order Submission' - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

For the orders not being shown, please check off the exact timestamp in the output you get, so you can be sure you should see an order placed. Also right click in the Orders tab and ensure the filters are set so you would see all orders for all accounts and also the history of placed orders (not set for example to show your live account only and active orders only, thus you would not see sim history order placement here).

[MasterSepp]

Humm... there is always a SetStopTarget() method, although I don't use anything like this in my strategy.
Everything is enabled in the display mode, so this shouldn't be the problem. If you want, I could PM you the whole code, so you could test it on yourself to see if you get the same problems as me.

Regards,

Sepp

[NinjaTrader_JoshP]

I am not sure what you mean by the Set() method.

What you can try though is add some prints into OnOrderUpdate() and OnExecution() to further track your order based on the IOrder.

[MasterSepp]

I don't know by myself, what is meant with the Set() method, it just is written like this in the output window.
I'll play around with the OnExecution() command, but there is still the main question: how can it be, that an order is mentioned in the output window, but not submitted? All orders shall be shown and it should have been executed, because the price was several points below/above the target price.

Regards,

Sepp

[NinjaTrader_Bertrand]

Sepp, perhaps it's really the best idea I reproduce this on my end here, please contact me directly at support at ninjatrader dot com Attn Bertrand with the strategy and instructions on how to set this up exactly like you have, thanks