OCO Order Handling issue

[sammano]

Hi,

· I’ve implemented OnOrderUpdate() and OnExecution() for handling the my Stop/Limit.
· I only use “ExitLongStop” & “ExitLongLimit” in this strategy.




o My Logic in OnExecution:

1. If a new/cumulate Order filled or partially filled then I place a Limit and Stop order for the total Position Quantity.

2. If the Limit or the Stop order filled or partially filled then I need t o make sure I cancel the other order (Limit or Stop).

3. Using “ExitLongStop” & “ExitLongLimit” with parameter “LiveUntilCancel” set to true.

o My Logic in OnOrderUpdate:

1. If my order name “MyStopOrder” or “MyLimitOrder” with OrderState = “PendingSubmit” then add then to my token collection.

2. If the Order state is “Cancelled , Filled or Rejected” remove it from my token collection and Reset Flat.

o My Logic in OnBarUpdate:

1. Entry orders…

2. Exit orders…

3. Modify the target price via “ExitLongLimit” if some of the indicators values changed and no new entry or exit at this bar.

4. I modify the Limit /Stop order for almost on each bar.

o My problems are:

1. These “ExitLongStop” & “ExitLongLimit” do not automatically set “OCO” types orders. So I’ve implemented calling CancelOrder(oStop/oLimit) to cancel the opposite side of the order manually. But this is not working!!

2. May be I need to implement “ExitLongStopLimit” instead of the above? Please advice.

3. In real-time: Once the Limit / Stop hit there is always one limit/stop not cancelled. (Please note: in Historical mode all looks ok, I checked the order/execution history)

4. Is there a way to set OCO for “ExitLongStop” & “ExitLongLimit”?

5. What is the best way to implement “Stop & Limit” with OCO?

o Thank you.

Samuel M.
(Lifetime licence user)

[NinjaTrader_Bertrand]

Hi sammano,

One way to automatically get OCO stops and targets is to use the Set() methods for your order generation - http://www.ninjatrader-support.com/H...verview36.html

If this is not an option for you, I would recommend following your strategy in realtime with TraceOrders = True in the Initialize() (http://www.ninjatrader-support.com/H...aceOrders.html) and see where the 'false' order placement occurs and for what reason.

[sammano]

Thank you for the prompt reply.

I cannot use Set() methods for many reasons!
So I have to debug & trace order state. I will try.

Alternatively, if I replace these “ExitLongStop” & “ExitLongLimit” with "ExitLongStopLimit" will it automatically create OCO order?

Will the orders handled in the same way with simulation data feed as the real-time data?

[NinjaTrader_Bertrand]

Hi sammano,

No, only the Set() orders will do this. Please also make sure you review this link here, since OCO behavior depends also on your realtime broker connection - http://www.ninjatrader-support2.com/...ead.php?t=5349

Yes, the handling is the same, since you will be using the internal simulation engine for fills...realtime fills can and will vary because it is not possible to predict the real market behavior at different price levels and their queues.