Pairs trading issue

[SystemTrading]

I have a strategy that is doing pairs trading. When running in NinjaTrader's sim, everything works properly. However when I run in IB simulation, I get an error message "cannot modify filled order". Anyone know why this might be happening?

[NinjaTrader_Bertrand]

Hi SystemTrading,
Please check your order state before attempting to modify any orders.

If the order reports as filled, then there's nothing NinjaTrader can do to modify it.

Please review this link here - http://www.ninjatrader-support.com/H...derUpdate.html

[SystemTrading]

I do. Below is my code. I added this check because I was having the problem in NinjaTrader before I started testing in IB. Now I am only having the problem on IB's sim. My only thought is I am sending 6 orders pretty rapidly, 3 orders on each instrument. Do you think this could cause my problem?

if (SE==null || SE.OrderState!=OrderState.Filled)
 SE=EnterShortLimit(....);

[NinjaTrader_JoshP]

So you are saying these 3 orders are essentially 1 order placement and 2 rapid order modifications? Where are you submitting the order modifications from? If you are outside of the OnOrderUpdate() method you can run into race conditions where the order has already been filled even though you just checked for it to be != filled. This can easily happen if your modification order is happening in OnBarUpdate() since things are multi-threaded.

[SystemTrading]

No basically I send 1 order for each side of the pair, ie. buy instrument #1 and sell instrument #2. In the OnExecution() method, I verify that both #1 and #2 have been filled, then trigger another entry to be allowed. This happens for a total of 3 entries.

[NinjaTrader_JoshP]

SystemTrading,

You are still hitting race conditions. While in OnExecution you can easily get a filled state on your IOrder before you receive all execution events. You will need to post more code for us to evaluate the situation.

[SystemTrading]

Here is what I do OnExecution(). Basically I have LE1 and LE2, which is long entry on instrument 1 and instrument 2, along with SE1 and SE2. Therefore LE1 corresponds with SE2 and vice versa. dp is a variable I use for "destination position". So what I am trying to accomplish here is when both sides are filled, I increment the destination position so I know to place another trade when OnBarUpdate is processed. Hopefully this helps. Let me know if you need more.

protected override void OnExecution(IExecution execution)
        {
   if (LE1!=null && execution.Order.Token == LE1.Token)
    if (SE2!=null && SE2.OrderState==OrderState.Filled)
    {
     if (dp==0)
      dp=1;
     
     LE1=null;
     SE2=null;
     dp++;
    }
    
   if (LE2!=null && execution.Order.Token == LE2.Token) 
    if (SE1!=null && SE1.OrderState==OrderState.Filled)
    {
     if (dp==0)
      dp=-1;
     
     LE2=null;
     SE1=null;
     dp--;
    }   
    
   if (SE1!=null && execution.Order.Token == SE1.Token)
    if (LE2!=null && LE2.OrderState==OrderState.Filled)
    {
     if (dp==0)
      dp=-1;
     
     SE1=null;
     LE2=null;
     dp--;
    }   
    
   if (SE2!=null && execution.Order.Token == SE2.Token)
    if (LE1!=null && LE1.OrderState==OrderState.Filled)
    {
     if (dp==0)
      dp=1;
     
     LE1=null;
     SE2=null;
     dp++; 
    }
    
   if (LX1!=null && execution.Order.Token == LX1.Token)
    if (SX2!=null && SX2.OrderState==OrderState.Filled)
    {
     LX1=null;
     SX2=null;
     dp--;
    }
    
   if (LX2!=null && execution.Order.Token == LX2.Token)
    if (SX1!=null && SX1.OrderState==OrderState.Filled)
    {
     LX2=null;
     SX1=null;
     dp++;
    }
    
   if (SX1!=null && execution.Order.Token == SX1.Token)
    if (LX2!=null && LX2.OrderState==OrderState.Filled)
    {
     SX1=null;
     LX2=null;
     dp++;
    }
    
   if (SX2!=null && execution.Order.Token == SX2.Token)
    if (LX1!=null && LX1.OrderState==OrderState.Filled)
    {
     LX1=null;
     SX2=null;
     dp--;
    }    
  }

[NinjaTrader_JoshP]

SystemTrading,

I need to see everything from start to finish in terms of order placement logic. Please strip out all trade condition logic that is not essential to the orders. Just show me the core where all orders are being placed from. I need to see all the EnterLong()s and all the EnterShort()s. Thank you.