Unmanaged: Cancel request speed

[pstrusi]

Hi,

Imagine that I have a Buy limit order in "working state", then strategy conditions ask to change that buy limit order into a buy market order, so here a little snippet to show:

if (  pv0>0 )
						{
							CancelOrder(lEntryOrder); 
							while (lEntryOrder != null)
							{
								
							}
							lEntryOrder = SubmitOrder(0, OrderAction.Buy, OrderType.Market, (qty+Position.Quantity), 0, 0, "", "LONG");			
						}

As you may notice I set a While loop previous to send the new order in order to prevent any issue.
So my doubt:
I imagine that market, brokers, network or hardware conditions might delay or interrup a fast cancellation, so I thought that doing a previous Null check is necessary. Your Thoughts by experience ?

Thanks in advance

[NinjaTrader_ChelseaB]

Hi pstrusi,

When an order is cancelled, this will trigger OnOrderUpdate() with the OrderState.Cancelled.
I would recommend triggering the new order in OnOrderUpdate right after the state of the order changes.

http://ninjatrader.com/support/helpGuides/nt7/onorderupdate.htm

http://ninjatrader.com/support/helpGuides/nt7/iorder.htm

Also, when an order is cancelled, this does not cause the variable to be null. It still holds the order just with the state as cancelled.

I would not suggest using a while loop.

[pstrusi]

When an order is cancelled, this will trigger OnOrderUpdate() with the OrderState.Cancelled.

1. Chelsea, is it not the "Cancelled" order state signal from the broker what really cancels the order, then it triggers the OnOrderUpdate() confirming it ?

2. What happens if after I request cancelling the old limit order, without the while-loop, I submit the new market order when actually has not been received from broker the cancellation of the old limit order? would it not cause an error ?

[NinjaTrader_ChelseaB]

Hi pstrusi,

When the message is received from the broker NT has to do some internal processing. When its done it updates the order object at the same time it triggers OnOrderUpdate().

Using a while will eat up the CPU and I advise against using this unless you are making new threads and sleeping them, which I also recommend you do not do.

Also, if you try and reuse a signal name and the order type is different, it will try and submit a new order and won't try and change the order.

[pstrusi]

Thank you very much for your answer Chelsea, you've cleared critical details.

[pstrusi]

Also, if you try and reuse a signal name and the order type is different, it will try and submit a new order and won't try and change the order.

Hi Chelsea,

I have a doubt in regards to what you said ( above ):

If I've requested a cancel for an limit entryorder , then, without to check if cancellation is done, I submit a new market entryorder ( using this very same signal name "entryorder" ) the previous limit entryorder will continue its cancellation process or will this process stop ?

Thanks in advance

[NinjaTrader_ChelseaB]

Hello pstrusi,

The cancellation will likely continue, but the new order will likely be ignored due to the entries per direction and entry handling settings. The behavior will depend on these settings, but by default with a setting of 1, the old order will be cancelled, the new order using the same entry signal will be ignored if its sent before the cancellation is completed and OnOrderUpdate is triggered.

[pstrusi]

Hello pstrusi,

The cancellation will likely continue, but the new order will likely be ignored due to the entries per direction and entry handling settings. The behavior will depend on these settings, but by default with a setting of 1, the old order will be cancelled, the new order using the same entry signal will be ignored if its sent before the cancellation is completed and OnOrderUpdate is triggered.

Remember Chelsea we're talking about unmanaged approach, which I understand doesn't use either entries per direction and entry handling settings. However I got what you say and I'll have it in mind. Thanks a lot for the clarification.

Best regards

[NinjaTrader_ChelseaB]

Hi pstrusi,

Oh right. Yeah with unmanaged then new order should go through and old order should continue to cancel if CancelOrder() is called on it.

[pstrusi]

Hi pstrusi,

Oh right. Yeah with unmanaged then new order should go through and old order should continue to cancel if CancelOrder() is called on it.

Ahhh ok, great !!

Thanks