CancelOrder() problem

[John833]

Hi Josh
I’m struggling to understand how to use the CancelOrder() command, I’ve looked at your other threads but I’m no further on…
I want to write a very simple breakout strategy which places a buy or sell limit order at the breakout point, but I want the limit orders to be cancelled if it is not filled within 3 bars. This is what I have so far which unfortunately doesn’t work… could you shed some light on this? Thanks
Regards
John

#region Variables
private IOrder myEntryOrder = null;
private int barNumberOfOrder = 0;

#endregion

CalculateOnBarClose = false;
}

protected override void OnBarUpdate()
{

if Rising(DonchianChannel(14).Upper) == true
&& (myEntryOrder == null)

{
myEntryOrder = EnterLongLimit(1, DonchianChannel(14).Upper[0], "");
barNumberOfOrder = CurrentBar;
}


if (CurrentBar > barNumberOfOrder + 3)
CancelOrder(myEntryOrder);

{

[NinjaTrader_JoshP]

Hi John833,

Instead of using barNumberOfOrder you can try using the BarsSinceEntry() method.

if (BarsSinceEntry() > 3)
     CancelOrder(myEntryOrder);

Other than that please try using TraceOrders = true to see what your orders are doing. It will provide you with information if some action is ignored or rejected. Please see this tip about TraceOrders: http://www.ninjatrader-support.com/v...ead.php?t=3627

[John833]

thanks Josh,
So I still need to have in the Variables section

private IOrder myEntryOrder = null;


and should I be able to backtest this strategy?

[NinjaTrader_JoshP]

Yeah, you should be able to.

You do still need that in Variables.

[John833]

Josh

With the code....

if (BarsSinceEntry() > 3)
CancelOrder(myEntryOrder);

do I only need to have this in the script once, or under each condition set which uses it?

(sorry for the basic question)

Thanks

JOhn

[NinjaTrader_JoshP]

If you have multiple entry orders it is best to give them all unique signal names. Then when you use BarsSinceEntry() you want to pass in that signal name to tie them together. That way you can submit your CancelOrder() to the correct entry order.

You will need to do this for every condition if you want to cancel every entry order.

[John833]

thanks Josh, that's a great help

Regards

John

[John833]

Josh
Thanks for the code yesterday, the script almost works. The problem is that when a limit order is placed but not executed, it doesn’t cancel on the 3rd bar, it cancels it on the next bar.

Also with Iorder variable, does it also need to be defined in #region Properties at the bottom?

I am still a newbie with NT so I am wondering if I may have put the code in the wrong structure, you could point me in the right direction… Thanks !


#region Variables
private IOrder myEntryOrder = null;
#endregion

protectedoverridevoid OnBarUpdate()
{
if (Historical)
return;

if (myEntryOrder == null)


// Condition set 1
if Rising(DonchianChannel(14).Upper) == true

{
myEntryOrder = EnterLongLimit(1, DonchianChannel(14).Upper[1], "");
}

if (BarsSinceEntry() >= 3)
CancelOrder(myEntryOrder);
}

[NinjaTrader_JoshP]

John833,

The Properties region is only needed when you are making plots on indicators or user defined parameters so you do not need to mess around in there for this situation.

What do you mean by is "placed but not executed"? The limit order is generally not executed until you get filled. Are you saying it is just sitting around in a "Working" state and it gets cancelled on the second bar?

You may also need to remove that first line you have checking if (myEntryOrder == null). It may be causing problems later on in your code because you are not using any { } or placing any logic to go with that if-statement.

[John833]

Hi Josh
Sorry if I wasn’t clear, what I meant to say and what I’m trying to do is…
if a limit order is submitted but not executed within 3 bars, then it is cancelled
I’ve taken out (myEntryOrder==null) and the strategy still cancels the limit order (if it is not executed) on the second bar instead of the third.
Do I need to use {} around CancelOrder, what are your thoughts?

[NinjaTrader_JoshP]

You do not need to use { } around it because it is just a single line. I suggest you print out the values of BarsSinceEntry() to determine why it is evaluating to true.

Print(BarsSinceEntry().ToString());

[John833]

Thanks Josh
I’ve used TraceOrders and this is the output that I have when a Limit Order is cancelled on the second bar instead of the third….
10:22AM Entered internal PlaceOrder() method at 10:22:00AM: Action=SellShort OrderType=Limit Quantity =1…..etc
10:23AM Cancelled expired order. BarsInProgress=0: Order=…..etc

I’m not really sure what this means…. But do I need to code something with ‘BarsInProgress’ ?

[NinjaTrader_JoshP]

You do not need to use BarsInProgress unless you are using a multi-time/instrument strategy which I do not believe you are.

The error explains exactly what is happening here. Your order is not being kept alive with a resubmission on the next bar. There are two ways to keep your order alive. One, resubmit the order every bar to prevent it from expiring. Two, use the liveUntilCancelled = true parameter. The second option is what I would suggest you to use.

EnterLongLimit(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double limitPrice, string signalName)

EnterLongLimit(0, true, 100, High[0], "Long");

[John833]

Thanks Josh, I’ve changed the order initiation line, and this is the structure that I have…. Unfortunately I am getting the same results as before and the exact same TraceOrder output. I’m not using a multi-time/instrument strategy.
Is the structure correct or have I written something wrong?

#region Variables
private IOrder myEntryOrder = null;
#endregion

protectedoverridevoid OnBarUpdate()
{

if (Historical)
return;


// Condition set 1
if Rising(DonchianChannel(14).Upper) == true

{
myEntryOrder = EnterLongLimit(0, true, 1, DonchianChannel(14).Upper[1], "");
}

if (BarsSinceEntry() >= 3)
CancelOrder(myEntryOrder);
}

[NinjaTrader_JoshP]

Did that code compile for you? You are missing ( ) on your if-statement.

[COLOR=blue][FONT=Courier New]private[/FONT][/COLOR][COLOR=black][FONT=Courier New] IOrder myEntryOrder = [/FONT][/COLOR][COLOR=blue][FONT=Courier New]null[/FONT][/COLOR][COLOR=black][FONT=Courier New];[/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]#endregion[/FONT][/COLOR]
 
[COLOR=blue][FONT=Courier New]protected[/FONT][/COLOR][COLOR=blue][FONT=Courier New]override[/FONT][/COLOR][COLOR=blue][FONT=Courier New]void[/FONT][/COLOR][COLOR=black][FONT=Courier New] OnBarUpdate()[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]{[/FONT][/COLOR]
 
[COLOR=blue][FONT=Courier New]if[/FONT][/COLOR][COLOR=black][FONT=Courier New] (Historical)[/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]return[/FONT][/COLOR][COLOR=black][FONT=Courier New];[/FONT][/COLOR]
 
 
[COLOR=green][FONT=Courier New]// Condition set 1[/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]if[/FONT][/COLOR][COLOR=black][FONT=Courier New] [SIZE=6][COLOR=Red]([/COLOR][/SIZE]Rising(DonchianChannel(14).Upper) == [/FONT][/COLOR][COLOR=blue][FONT=Courier New]true[/FONT][/COLOR][SIZE=5][COLOR=Red])[/COLOR][/SIZE]
 
[COLOR=black][FONT=Courier New]{[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]myEntryOrder = EnterLongLimit([/FONT][/COLOR][COLOR=purple][FONT=Courier New]0[/FONT][/COLOR][COLOR=black][FONT=Courier New], true, 1, DonchianChannel(14).Upper[[/FONT][/COLOR][COLOR=purple][FONT=Courier New]1[/FONT][/COLOR][COLOR=black][FONT=Courier New]], [/FONT][/COLOR][COLOR=maroon][FONT=Courier New]""[/FONT][/COLOR][COLOR=black][FONT=Courier New]);[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]}[/FONT][/COLOR]
 
[COLOR=blue][FONT=Courier New]if[/FONT][/COLOR][COLOR=black][FONT=Courier New] (BarsSinceEntry() >= [/FONT][/COLOR][COLOR=purple][FONT=Courier New]3[/FONT][/COLOR][COLOR=black][FONT=Courier New])[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]CancelOrder(myEntryOrder);[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]}[/FONT][/COLOR]