I'm on the overfilling issue. I want to enter with a limit order. Simple limit oders are allways overfilled. I read about the unmanaged option but I don't want to consider it because it could extremely complicate my strategy creating many issues.
Instead of this I use this entrylimit:
MyOrder = EnterLongLimit(0,true,NumShares,GetCurrentAsk(),"" );
In order handling I cancel the order when the order is Filled. If not, the enterlonglimit remains active.
I'm doing something wrong because after the order is filled it is automatically closed.
From traceorders I get this:
**NT** Enabling NinjaScript strategy 'HFTSimple/409a1d1d96a442ed94df4f10f68fe17e' : On starting a real-time strategy - StrategySync=SubmitImmediately SyncAccountPosition=False EntryHandling=AllEntries EntriesPerDirection=1 StopTargetHandling=PerEntryExecution ErrorHandling=TakeNoAction ExitOnClose=False Set order quantity by=Strategy ConnectionLossHandling=KeepRunning DisconnectDelaySeconds=10 CancelEntryOrdersOnDisable=False CancelExitOrdersOnDisable=True MaxRestarts=4 in 5 minutes
8/25/2011 10:35:36 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:36 AM: BarsInProgress=0 Action=SellShort OrderType=Limit Quantity=43,145 LimitPrice=5.70 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:36 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:36 AM: BarsInProgress=0 Action=SellShort OrderType=Limit Quantity=42,520 LimitPrice=5.70 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:36 AM Amended matching order: Action=SellShort OrderType=Limit Quantity=42520 LimitPrice=5.70 StopPrice=0 SignalName=Sell short' FromEntrySignal=''
8/25/2011 10:35:36 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:36 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=21,652 LimitPrice=5.71 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:36 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:36 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=21,298 LimitPrice=5.71 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:36 AM Amended matching order: Action=Buy OrderType=Limit Quantity=21298 LimitPrice=5.71 StopPrice=0 SignalName=Buy' FromEntrySignal=''
8/25/2011 10:35:36 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:36 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=21,732 LimitPrice=5.71 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:36 AM Amended matching order: Action=Buy OrderType=Limit Quantity=21732 LimitPrice=5.71 StopPrice=0 SignalName=Buy' FromEntrySignal=''
8/25/2011 10:35:58 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:58 AM: BarsInProgress=1 Action=BuyToCover OrderType=Limit Quantity=0 LimitPrice=5.57 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:58 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:58 AM: BarsInProgress=1 Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:58 AM Amended pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=Working Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=42,520 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
8/25/2011 10:35:59 AM Amended pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=Working Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=32,874 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
8/25/2011 10:35:59 AM Amended pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=PendingChange Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=27,335 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
8/25/2011 10:35:59 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:59 AM: BarsInProgress=1 Action=BuyToCover OrderType=Limit Quantity=0 LimitPrice=5.57 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:59 AM Ignored PlaceOrder() method: Action=BuyToCover OrderType=Limit Quantity=0 LimitPrice=5.57 StopPrice=0 SignalName=Buy to cover' FromEntrySignal='' Reason='There already is a matching order with same prices and quantity'
8/25/2011 10:35:59 AM Entered internal PlaceOrder() method at 8/25/2011 10:35:59 AM: BarsInProgress=1 Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:35:59 AM Ignored PlaceOrder() method: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName=Buy to cover' FromEntrySignal='' Reason='There already is a matching order with same prices and quantity'
8/25/2011 10:35:59 AM Amended pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=PendingChange Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=25,335 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
8/25/2011 10:36:03 AM Amended pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=Working Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=24,424 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
8/25/2011 10:36:06 AM Amended pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=Working Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=21,175 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
8/25/2011 10:36:06 AM Amended pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=PendingChange Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=19,365 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
8/25/2011 10:36:06 AM Entered internal PlaceOrder() method at 8/25/2011 10:36:06 AM: BarsInProgress=1 Action=BuyToCover OrderType=Limit Quantity=0 LimitPrice=5.57 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:36:06 AM Ignored PlaceOrder() method: Action=BuyToCover OrderType=Limit Quantity=0 LimitPrice=5.57 StopPrice=0 SignalName=Buy to cover' FromEntrySignal='' Reason='There already is a matching order with same prices and quantity'
8/25/2011 10:36:06 AM Entered internal PlaceOrder() method at 8/25/2011 10:36:06 AM: BarsInProgress=1 Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
8/25/2011 10:36:06 AM Ignored PlaceOrder() method: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName=Buy to cover' FromEntrySignal='' Reason='There already is a matching order with same prices and quantity'
8/25/2011 10:36:07 AM Amended pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=PendingChange Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=8,232 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
8/25/2011 10:36:07 AM Cancelled pending exit order, since associated position is closed: Order='46799323/DU115266' Name='Buy to cover' State=PendingChange Instrument='ING' Action=BuyToCover Limit price=5.57 Stop price=0 Quantity=3,339 Strategy='HFTSimple' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='08a273ea6c344b5b814bb6c17c2a663e' Gtd='12/1/2099 12:00:00 AM'
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