IExecution.Price or IExecution.Order.AvgFillPrice

[zark.be]

Hello


i need to retrieve the AvgEntryPrice for the order that just got filled.

So i did an override of the OnExecution() method

but now i have a dilemna, what is the difference between

IExecution.Price
and
IExecution.Order.AvgFillPrice

if IExecution.Price is the total price of the operation
then does IExecution.Price / IExecution.Quantity give the same result as the Order.AvgFillPrice ?
(with a round2tick() i suppose)

Thank you


edit:

Also, when OnExecution() is called
do i need to check the Order.OrderState ? Or will they all be OrderState.Filled ?

[NinjaTrader_Ben]

Hello,


AvgFillPrice is the average fill price for the order. Price is the price of that execution, which may or may not be for the entire order quanitity.

OnExecution event does not guarantee you to have an OrderState of Filled. You can easily be in a PartFilled state so you will need to check the OrderState if your logic requires it.

[zark.be]

Basically, if i do an EnterLong(10)

two cases could happen :

1/ onExecution() is called once because i was completely filled.

2/ onExecution() is called n-1 times with PartFilled and 1 with Filled


Correct ?


So in case
1/
IExecute.Order.AvgPrice will therefore show the average price for the 10 contracts.

2/ in the (n-1) calls to onExecution() with a PartFilled order, they will each show a different AvgPrice.
Does the avgprice reflect that of the Partial order ? Or that of the full order updated with current values ? So that the last call to onExecution being the Filled Orderstate will have the correct AvgPrice ?

[NinjaTrader_JoshP]

1) Correct.

2) Remember, NinjaTrader is multi-threaded and as such this matter is not that simple. Order.AvgPrice will give you the average price of the ENTIRE order at any point in time. Due to the multi-threaded nature of NinjaTrader you can still be processing the first partial fill in OnExecution, but your Order.AvgPrice will be returning the average price of your entire order which is already completely filled.

Does this make sense? While you are processing an OnExecution event your order can already be in a Filled state and as such when you access Order.AvgPrice it is not reflective of the average price during the OnExecution event, but it is reflective of the average price of the latest possible moment of the order.

[zark.be]

Thanks josh,

yes i understand that the reference IExecution.Order points to an IOrder object that is background updated by another NT Thread.


so basically all i need to do in my OnExecution() is check for a OrderState = Filled
Because that way i'll know for sure that the IObject referenced has the latest AvgPrice value.
(and for every call to OnExecution i will actually receive the same reference to the same IObject, only that it's a way for me to know that it has been updated)

Okay i understand now, it makes sense
It's all quite logical, but it's just lacking a bit of documentation.

[NinjaTrader_JoshP]

Glad you got it resolved.