Cancel and submit order at the same bar

[kucharek]

Hello,

This is my code where I am testing canceling order and submitting the new one at the same bar.

When such situation occurs the order is cancelled but the strategy is not placing new order. It works in backtest but does not work in real time.

Please support.


My code:

protected override void OnBarUpdate()
        {
			Print("----------");
			Print(Time[0]+ " START OrderLong1 = " +OrderLong1);
			
			if (Position.MarketPosition == MarketPosition.Long && CurrentBar == bar1 + 5)
			{
				ExitLong();
				OrderLong1 = null;
				
				Print(Time[0]+ " | Zamkniecie otwartej pozycji LONG");
				Print(Time[0]+ " OrderLong1 = " +OrderLong1);
			}
			
			if (OrderLong1 != null && Position.MarketPosition == MarketPosition.Flat && CurrentBar == bar1 + 1)
			{
				CancelOrder(OrderLong1);
				Print(Time[0]+ " | Anulowanie zlecenia LONG");
				Print(Time[0]+ " OrderLong1 = " +OrderLong1);
				
				OrderLong1 = null;
				Print(Time[0]+ " | OrderLong1 null");
				Print(Time[0]+ " OrderLong1 = " +OrderLong1);
			}
			
			if (OrderLong1 == null && Position.MarketPosition == MarketPosition.Flat && Close[0] > Close[1])
			{
				double 	entry = High[0] + ((3 * 10) + 10) * TickSize;
						sl = DonchianChannel(5).Lower[0] - 10 * TickSize;
				
				OrderLong1 = EnterLongStop(0, true, 1000, entry, "Long 1");
				SetStopLoss("Long 1", CalculationMode.Price, sl, false);
					
				bar1 = CurrentBar;
												
				DrawLine("Long" +CurrentBar, false, 0, entry, -1, entry, Color.Green, DashStyle.Solid, 2);
				DrawLine("SL "+CurrentBar, false, 0, sl, -1, sl, Color.Red, DashStyle.Solid, 2);
				
				Print(Time[0]+ " | Ustawienie zlecenia LONG");
				Print(Time[0]+ " OrderLong1 = " +OrderLong1);
			}
						
			Print(Time[0]+ " KONIEC OrderLong1 = " +OrderLong1);
        }

[NinjaTrader_Bertrand]

kucharek, as you have already debug prints added to your code - would the conditions for placement in real-time happen, so you would see the print getting hit in your output window?

For working with the IOrder objects, I would suggest doing the check for fillstates and your resets of the object in OnOrderUpdate() and OnExecution(), as those would not be tied to any bar update timing, but the OrderUpdate or Execution event seen.

http://www.ninjatrader.com/support/forum/showthread.php?t=7499

[kucharek]

Yes, I see print getting hit. That is why it is very strange for me.

[NinjaTrader_Bertrand]

Thanks kucharek, can you please run this with TraceOrders = enabled as well?

http://www.ninjatrader.com/support/forum/showthread.php?t=3627

What output would you get then shown? Any order ignored?

[kucharek]

Hello Bertrand,

I have modified my code based on your suggestions and add OnOrderUpdate().

First test trade went well. As you can see I have add placing an order in OnOrderUpdate(). Is this acceptable solution? Are there any disadvantages of such solution?

protected override void OnBarUpdate()
        {
			Print("----------");
			Print(Time[0]+ " START OrderLong1 = " +OrderLong1);
			
			if (Position.MarketPosition == MarketPosition.Long && CurrentBar == bar1 + 5)
			{
				ExitLong();
								
				Print(Time[0]+ " | Zamkniecie otwartej pozycji LONG");
				Print(Time[0]+ " OrderLong1 = " +OrderLong1);
			}
			
			if (OrderLong1 != null && Position.MarketPosition == MarketPosition.Flat && CurrentBar == bar1 + 1)
			{
				CancelOrder(OrderLong1);
				Print(Time[0]+ " | Anulowanie zlecenia LONG");
				Print(Time[0]+ " OrderLong1 = " +OrderLong1);
			}
			
			if (OrderLong1 == null && Position.MarketPosition == MarketPosition.Flat && Close[0] > EMA(5)[0])
			{
				double 	entry = High[0] + 10 * TickSize;
						sl = DonchianChannel(5).Lower[0] - 10 * TickSize;
				
				OrderLong1 = EnterLongStop(0, true, 1000, entry, "Long 1");
				SetStopLoss("Long 1", CalculationMode.Price, sl, false);
					
				bar1 = CurrentBar;
												
				DrawLine("Long" +CurrentBar, false, 0, entry, -1, entry, Color.Green, DashStyle.Solid, 2);
				DrawLine("SL "+CurrentBar, false, 0, sl, -1, sl, Color.Red, DashStyle.Solid, 2);
				
				Print(Time[0]+ " | Ustawienie zlecenia LONG");
				Print(Time[0]+ " OrderLong1 = " +OrderLong1);
			}
						
			Print(Time[0]+ " KONIEC OrderLong1 = " +OrderLong1);
        }
		
		protected override void OnOrderUpdate(IOrder order)
        {
			if (OrderLong1 != null && OrderLong1 == order)
			{	
				if (order.OrderState == OrderState.Filled || order.OrderState == OrderState.PartFilled)
				{
					OrderLong1 = null;
				}
				
				if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
				{
					OrderLong1 = null;
				}
				
				if (OrderLong1 == null && Position.MarketPosition == MarketPosition.Flat && Close[0] > EMA(5)[0])
				{
					double 	entry = High[0] + 10 * TickSize;
						sl = DonchianChannel(5).Lower[0] - 10 * TickSize;
				
					OrderLong1 = EnterLongStop(0, true, 1000, entry, "Long 1");
					SetStopLoss("Long 1", CalculationMode.Price, sl, false);
					
					bar1 = CurrentBar;
												
					DrawLine("Long" +CurrentBar, false, 0, entry, -1, entry, Color.Green, DashStyle.Solid, 2);
					DrawLine("SL "+CurrentBar, false, 0, sl, -1, sl, Color.Red, DashStyle.Solid, 2);
				
					Print(Time[0]+ " | Ustawienie zlecenia LONG");
					Print(Time[0]+ " OrderLong1 = " +OrderLong1);
				}
			}
        }

[NinjaTrader_Bertrand]

kucharek, great - I see rather an advantage than disadvantage with this amendment done.