Filled vs. Quantity

[Mike Winfrey]

I am using the SampleOnOrderUpdate strategy as the basis for my work and am wondering about something. What is the difference between filled and quantity when used in a stop order. I've read the documentation but that just doesn't have much information. Specifically, I'm looking at something like this.

stopOrder = ExitLongStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - (StopLoss*TickSize), "StopLong", "Long");

So again, what is the difference between filled and quantity.

I hope the answer solves my problem and won't have to ask further questions about this.

Thank you,
Mike

[NinjaTrader_JoshP]

They should be roughly the same. You could use execution.Quantity that way you don't need to access the order object.

[Mike Winfrey]

I was afraid you were going to say that but i was hoping there was a subtle difference that would solve my problem...anyway, here's the situation.

Enter a long position with 3 contracts, placing a stop for all 3 contracts. Also, place a target 1 and target 2 and leaving the 3rd contract as a runner. That all occurs ok. However, when target 1 and target 2 are hit, the stop quantity remains at 3 instead of decrementing from 3 to 2 and then 1. Do I need to change that quantity in code. I figured that it would change automatically.

Thanks,
Mike

[NinjaTrader_JoshP]

If you are using a single order it will part fill 1, 2 and then fill 3. If you are trying to scale out you need to scale in first and use multiple exit orders to match multiple entry orders.

[Mike Winfrey]

Thanks Josh, I'm using a single order to enter the market with 3 contracts. But unfortunately as each target is hit the stop order still has 3 contracts.

[NinjaTrader_JoshP]

Right. This is why we say you need to scale-in to be able to scale-out. You are using 3 target orders correct? If so you need to scale-in respectively.

[Mike Winfrey]

i see said the blind man...thanks josh

[Mike Winfrey]

I assume if I am using the following for 1 contract...

entryOrder = EnterShort(1, "Short");

Then I should use the following for 2 contracts when scaling in...

entryOrder_1 = EnterShort(1, "Short_1");
entryOrder_2 = EnterShort(1, "Short_2");

[NinjaTrader_JoshP]

That is correct.

[Mike Winfrey]

Thank you Josh

[gkinlaw]

multiple orders in wizard

Josh, I'm having a similar problem in the strategy wizard. I have entered multiple orders uneder set 1. ie, 3 long orders names "A" "B" "C" and then I did likewise in the stops and targets section. The strategy only puts one order in and exits one order , the very first one listed.
I'm sure it's something very simple but I can't find anythng in help.

gordon

[NinjaTrader_JoshP]

Gordon,

You need to increase EntriesPerDirection as you start running the strategy.

[gkinlaw]

Multiple entries

Thanks Josh, I knew it was simple.

[Baruch]

Hi NT Support,
All my strategy development I do from your "SampleOnOrderUpdate" template.
I think maybe there is a bug.
The line I'm referring to is:

stopOrder  = ExitLongStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - 4 * TickSize, "MyStop", "MyEntry");

the same for profit.
The parameter I question about is: execution.Order.Filled.
Shouldn't it be Position.Quantity?
The scenario I refer to is: If I want to buy 2 contracts and have been partially filled with one.
The stop order will be executed also with one contract. Now I'm filled with the second contract (so now my position is 2), again the stop order will be executed with one contract, so stopOrder.Quantity == 1, but my entryOrder.Quantity==2.

Am I correct or not?

Regards,
Baruch

[NinjaTrader_JoshP]

Baruch,

execution.Order.Filled is the filled amount of the underlying IOrder object. When you are part filled with 1, the value will be 1. When you get completely filled with 2, it now becomes 2.

Position.Quantity would not necessarily work depending on when you are submitting the stopOrder. The IPosition object is the last thing to update. For example, when you are processing executions, the Position update for that execution is not done yet.