Unmanaged SubmitOrder is filling once in historical and twice in live

[RunnrX]

Hi,

I have a strategy that worked out nicely in historical / strategy analyzer tests, but when using it in 'live' trading using Sim101 it is suddenly showing every order entry as occuring twice at the exact same instance.

Here are the background details:

Using MB data feed, calculate on bar close = true

OnBarUpdate() it calls a method called CheckForPullBack()

CheckForPullBack() looks for entry conditions, then does this:

if(EntryOrder == null)
EntryOrder = SubmitOrder(0, OrderAction.Buy, OrderType.Stop, TradeSizeInt, 0, EntryLevel, "","LongPullBack1");

if(EntryOrder != null)
{
CancelOrder(EntryOrder);
EntryOrder = SubmitOrder(0, OrderAction.Buy, OrderType.Stop, TradeSizeInt, 0, EntryLevel, "","LongPullBack1");
}

The reason why it checks for != null and cancels is because I'm working with buy stops that may result in old ones needing to be removed before the revised order is issued.

My best guess for now is that somehow OnBarUpdate is being called twice and triggering two SubmitOrders even though I have CalculateOnBarClose = true, but that doesn't seem quite it either. Anyone have any thoughts?

Thanks!

[NinjaTrader_Bertrand]

Hi RunnrX, I would suggest to add debug prints into the code to be able to correlate those then with the TraceOrders output to see exactly which event sequence leads to the undesired outcome for you, OnBarUpdate() should not get called twice, is this a Single or MultiSeries script you're working with?

[RunnrX]

(It's a single series in this case)

Thank you for this suggestion. After sitting and looking at the output box for a few minutes and wondering why I was seeing it submit an entry order, then cancel the entry order, then submit it again, I finally had my epiphany: It was because of the way I had my code laid out:

if EntryOrder == null
EntryOrder = SubmitOrder

if EntryOrder != null
Cancel EntryOrder
EntryOrder = SubmitOrder

It was filling EntryOrder with a value then immediately cancelling it and refilling it.

Now I have it as

If EntryOrder != null
CancelOrder(EntryOrder)

EntryOrder = SubmitOrder...

This way safely clears out any old pending buy stop orders first before submitting new order, just once like it is supposed to. Thanks for saving the day again NinjaTrader_Bertrand!

[NinjaTrader_Bertrand]

You're welcome and thanks for posting your resolution, it makes perfect sense.