Cancel Order on ATM Strategy

[MrTicks]

Gavin,

If you want to cancel an ATM strategy you would actually need to use this instead: http://www.ninjatrader-support.com/H...tegyClose.html

Hi Josh - Is that for closing an open position or a pending order? I'm looking for a list of strings that will work with the AtmStrategyCancelEntryOrder call.

I tried to use this at the beginning of the strat before AtmStrategyCreate instead:

 protected override void OnBarUpdate()
        {
            // HELP DOCUMENTATION REFERENCE: Please see the Help Guide section "Using ATM Strategies"

            // Make sure this strategy does not execute against historical data
            if (Historical)
                return;
            
            // First, we need a simple entry. Then entryOrder == null checks to make sure entryOrder does not contain an order yet.

            if (Position.MarketPosition == MarketPosition.Flat)
                
            if  (orderId.Length > 0 && Close[0] == limitPrice - 3 * TickSize)
                {
                AtmStrategyCancelEntryOrder(orderId);
                } 

But I get an error saying "The name 'limitPrice' does not exist in the current context", same thing happens if I try and reference stopPrice instead.

Those two params are the listed on http://www.ninjatrader-support.com/H...mStrategyClose. What could I reference instead of stopPrice or limitPrice?

[NinjaTrader_RyanM1]

Is that for closing an open position or a pending order?

That method is to cancel an existing order, not close a position.

I'm looking for a list of strings that will work with the AtmStrategyCancelEntryOrder call.

There is not a list of strings available that will cancel the id.

The value for orderId is populated using the following statement:
string orderId = GetAtmStrategyUniqueId();

But I get an error saying "The name 'limitPrice' does not exist in the current context", same thing happens if I try and reference stopPrice instead.

These aren't built-in properties. They're user defined variables that could refer to anything. Please refer to Kentoes participation in this thread in posts 5, 6, 7 for a discussion on this. If you want to track this value, it will be with your own variables which should be properly defined in the variables region.

[MrTicks]

That method is to cancel an existing order, not close a position.


There is not a list of strings available that will cancel the id.

The value for orderId is populated using the following statement:
string orderId = GetAtmStrategyUniqueId();



These aren't built-in properties. They're user defined variables that could refer to anything. Please refer to Kentoes participation in this thread in posts 5, 6, 7 for a discussion on this. If you want to track this value, it will be with your own variables which should be properly defined in the variables region.

OK will take a closer look at 5,6 and 7. Thought stopPrice and limitPrice were built in as they were listed as parameters along with OrderID on the page http://www.ninjatrader-support.com/H...ml?CancelOrder .

Trying to get this is proving most difficult but it must be excruciatingly painful for you trying to help people like me help themselves.


Thanks,

Gavin.

[NinjaTrader_RyanM1]

MrTicks,

I'm happy to offer help here. Keep sharing your progress and we'll offer input. Hooking up a NinjaScript strategy to an ATM strategy is one of the more complex issues to deal with so it's expected to work through these types of things. At any point feel free to clarify your goals and we may be able to offer suggestions in a different direction.

[MrTicks]

Thanks, I'll keep at it. If I work it out, I'll post the code.

[MrTicks]

If I use:

AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Stop, 0, High[5] + PrevBarsPlusTicks * TickSize, TimeInForce.Day, orderId, "FDAX_long", atmStrategyId);

How could I pass that stop price the long order is looking for to a private int? What would the code look like?

I think there are two ways to do it.
1. if(Close[0]==private int + 8 && (status[2] == "Accepted" || status[2] == "Working" || status[2] == "Pending"))
{

AtmStrategyCancelEntryOrder(orderId);
atmStrategyId = string.Empty;
orderId = string.Empty;


or

2. Place the following underneath AtmStrategyCreate

if (orderId.Length > 0 && (Close[0] == Private int - 8 * TickSize))
{
AtmStrategyCancelEntryOrder(orderId);
}


Am I close? Calling a private int against current market price on the pending order? I'm not sure about the correct syntax for naming a stop price attached to pending order to reference, which method would be better or where to place it?

[MrTicks]

Am getting there.

If I could amend this:

string[] status = GetAtmStrategyEntryOrderStatus(orderId);
                
                // If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
                if (status.GetLength(0) > 0)
                {
                    // Print out some information about the order to the output window
                    Print("The entry order average fill price is: " + status[0]);
                    Print("The entry order filled amount is: " + status[1]);
                    Print("The entry order order state is: " + status[2]);

                    // If the order state is terminal, reset the order id value
                    if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
                        orderId = string.Empty;
                    
                    
                }
            } // If the strategy has terminated reset the strategy id
            else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
                atmStrategyId = string.Empty; 

to contain an else if with:

if("current price == pending stop order + 8" && (status[2] == "Accepted" ||  status[2] == "Working" || status[2] == "Pending"))
                {
AtmStrategyCancelEntryOrder(orderId);
                    atmStrategyId = string.Empty;
                    orderId = string.Empty;
                } 

Then I could go to bed and get some sleep!

[MrTicks]

Think I found it in the public strategy called Woodies CCI Autrotrader submitted by snaphook. It has the code beginning on line 303,

if(CurrentBar==entrybar-4 && (status[2] == "Accepted" || status[2] == "Working" || status[2] == "Pending"))
                
                {

                    AtmStrategyCancelEntryOrder(orderId);
                    atmStrategyId = string.Empty;
                    orderId = string.Empty;
                } 

I have a corresponding private int with:
private int entrybar;

My ATM strat has compiled OK so will test it on FDAX sim now.

[NinjaTrader_Bertrand]

MrTicks, glad you got your amendments worked in - please let us know how your sim FDAX testing goes today.

[MrTicks]

Will do. Have created a new problem for myself which I need to sort first though.

[MrTicks]

Still needs work. Orders are not canceling. Code compiled OK though.

[NinjaTrader_JoshP]

Please provide complete code instead of snippets as it is becoming extremely difficult to know what state your code is in. Thank you.

[MrTicks]

Am close, here is the relevant code. Will get it soon hopefully.

#region Variables
private int entrybar;

// Check for a pending entry order
            if (orderId.Length > 0)
            {
                string[] status = GetAtmStrategyEntryOrderStatus(orderId);
                
                if(CurrentBar==entrybar + 1 && (status[2] == "Accepted" || status[2] == "Working" || status[2] == "Pending"))
                {
                    Print("91   Cancelled Order");
                    AtmStrategyCancelEntryOrder(orderId);
                    atmStrategyId = string.Empty;
                    orderId = string.Empty;
                }
                
                // If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
                 else if (status.GetLength(0) > 0)
                {
                    // Print out some information about the order to the output window
                    Print("The entry order average fill price is: " + status[0]);
                    Print("The entry order filled amount is: " + status[1]);
                    Print("The entry order order state is: " + status[2]);

                    // If the order state is terminal, reset the order id value
                    if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
                        orderId = string.Empty;
                }
            } // If the strategy has terminated reset the strategy id
            //else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
            //    atmStrategyId = string.Empty;
            
            else 
            if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == MarketPosition.Flat)
                {
Print("302   reset the strategy id");
                atmStrategyId = string.Empty;
                orderId = string.Empty;
                }


            if (atmStrategyId.Length > 0)
            {
                // You can change the stop price
                //if (GetAtmStrategyMarketPosition(atmStrategyId) != MarketPosition.Flat)
                //    AtmStrategyChangeStopTarget(0, Low[0] - 3 * TickSize, "STOP1", atmStrategyId);

                // Print some information about the strategy to the output window
                Print("The current ATM Strategy market position is: " + GetAtmStrategyMarketPosition(atmStrategyId));
                Print("The current ATM Strategy position quantity is: " + GetAtmStrategyPositionQuantity(atmStrategyId));
                Print("The current ATM Strategy average price is: " + GetAtmStrategyPositionAveragePrice(atmStrategyId));
                Print("The current ATM Strategy Unrealized PnL is: " + GetAtmStrategyUnrealizedProfitLoss(atmStrategyId));
                Print("The current ATM Strategy Realized PnL is: " + GetAtmStrategyRealizedProfitLoss(atmStrategyId));
            }
        } 

[MrTicks]

Please provide complete code instead of snippets as it is becoming extremely difficult to know what state your code is in. Thank you.

OK, sorry.

public class FDAXSATM : Strategy
    {
        #region Variables
        
        private string    atmStrategyId        = string.Empty;
        private string    orderId                = string.Empty;
        
        private int prevBarsMinusTicks = 1; // Default setting for PrevBarsPlusTicks
        
        private int entrybar;
        
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = false;
        }
        
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
           

            // Make sure this strategy does not execute against historical data
            if (Historical)
                return;


            // Submits an entry limit order at the current low price to initiate an ATM Strategy if both order id and strategy id are in a reset state
            // **** YOU MUST HAVE AN ATM STRATEGY TEMPLATE NAMED 'AtmStrategyTemplate' CREATED IN NINJATRADER (SUPERDOM FOR EXAMPLE) FOR THIS TO WORK ****
            if (Position.MarketPosition == MarketPosition.Flat && orderId.Length == 0 && atmStrategyId.Length == 0 
                
                && blah >= blah [3]
                && Low   [1] - PrevBarsMinusTicks * TickSize < GetCurrentAsk())
            
            
            {
                
                int entrybar = CurrentBar;
                atmStrategyId = GetAtmStrategyUniqueId();
                orderId = GetAtmStrategyUniqueId();
                               
                AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Stop, 0, Low[1] - prevBarsMinusTicks * TickSize, TimeInForce.Day, orderId, "FDAX_short_500T", atmStrategyId);

            }


            // Check for a pending entry order
            if (orderId.Length > 0)
            {
                string[] status = GetAtmStrategyEntryOrderStatus(orderId);
                
                if(CurrentBar==entrybar + 1 && (status[2] == "Accepted" || status[2] == "Working" || status[2] == "Pending"))
                {
                    Print("91   Cancelled Order");
                    AtmStrategyCancelEntryOrder(orderId);
                    atmStrategyId = string.Empty;
                    orderId = string.Empty;
                }
                
                // If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
                 else if (status.GetLength(0) > 0)
                {
                    // Print out some information about the order to the output window
                    Print("The entry order average fill price is: " + status[0]);
                    Print("The entry order filled amount is: " + status[1]);
                    Print("The entry order order state is: " + status[2]);

                    // If the order state is terminal, reset the order id value
                    if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
                        orderId = string.Empty;
                }
            } // If the strategy has terminated reset the strategy id
            //else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
            //    atmStrategyId = string.Empty;
            
            else 
            if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == MarketPosition.Flat)
                {
Print("302   reset the strategy id");
                atmStrategyId = string.Empty;
                orderId = string.Empty;
                }


            if (atmStrategyId.Length > 0)
            {
                

                // Print some information about the strategy to the output window
                Print("The current ATM Strategy market position is: " + GetAtmStrategyMarketPosition(atmStrategyId));
                Print("The current ATM Strategy position quantity is: " + GetAtmStrategyPositionQuantity(atmStrategyId));
                Print("The current ATM Strategy average price is: " + GetAtmStrategyPositionAveragePrice(atmStrategyId));
                Print("The current ATM Strategy Unrealized PnL is: " + GetAtmStrategyUnrealizedProfitLoss(atmStrategyId));
                Print("The current ATM Strategy Realized PnL is: " + GetAtmStrategyRealizedProfitLoss(atmStrategyId));
            }
        } 

[NinjaTrader_RyanM1]

MrTicks,

Are you getting the Print results in your cancel code block?
Print("91 Cancelled Order");