Sometimes Exit Orders don't work reatime

[brownfox777]

Code for exit orders:

protectedoverridevoid OnExecution(IExecution execution)
{
if (entryLongOrderN != null && entryLongOrderN.Token == execution.Order.Token)
{
if (execution.Order.OrderState == OrderState.Filled
|| execution.Order.OrderState == OrderState.PartFilled
|| (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
{
stopLongOrderN = ExitLongStop(1, true, execution.Order.Filled, execution.Order.AvgFillPrice - (loss * TickSize), "MyLongStopN", "MyLongN");

targetLongOrderN = ExitLongLimit(1, true, execution.Order.Filled, execution.Order.AvgFillPrice + (profit * TickSize), "MyLongTargetN", "MyLongN");

if (execution.Order.OrderState != OrderState.PartFilled)
{
entryLongOrderN = null;
}
}
}

-------------------------------------------------------------------------------------------------------------

protectedoverridevoid OnOrderUpdate(IOrder order)
if (stopLongOrderN != null && stopLongOrderN.Token == order.Token)
{
// If our exit order is filled we want to reset myEntryOrder so we can submit orders again.
if (order.OrderState == OrderState.Filled)
entryLongOrderN = null;

// If our exit order encounters some problems we will resubmit the order again.
elseif (order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Rejected)
{
if (Positions[1].MarketPosition == MarketPosition.Long)
stopLongOrderN = ExitLongStop(1, true, stopLongOrderN.Quantity, Positions[1].AvgPrice - (loss * TickSize), "MyLongStopN", "MyLongN");
}
}
.... and same for target

On market replay connection all is OK.
But ONLINE my strategy may enter in several trades and exit of them without problems.... and after that strategy enter in position but stop and take orders don't appear.

Where do I look for a solution to the problem?
Thank you.

[NinjaTrader_JoshP]

I suggest you use TraceOrders = true to see if your orders are being ignored/rejected/or even placed. Please use Print() to see if it even enters that segment of your code.

[brownfox777]

I use:
if (stopLongOrderN != null && stopLongOrderN.Token == order.Token)
{
Print("---------------------- " + stopLongOrderN.OrderState);
if (order.OrderState == OrderState.Filled)
entryLongOrderN = null;

........

Cancelled custom managed order at 04.06.2009 19:54:03: Order='15187a62f2324f749f7b985803e599fa/Sim101' Name='MyShortN' State=Working Instrument='YM 06-09' Action=SellShort Limit price=8697 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='15187a62f2324f749f7b985803e599fa' Gtd='01.12.2099 0:00:00'
04.06.2009 19:54:03 Entered internal PlaceOrder() method at 04.06.2009 19:54:03: Action=Buy OrderType=Limit Quantity=1 LimitPrice=8694 StopPrice=0 SignalName='MyLongN' FromEntrySignal=''
Cancelled custom managed order at 04.06.2009 19:54:13: Order='ec39b908273b40e0a2927ecbb5a7b17c/Sim101' Name='MyLongN' State=Working Instrument='YM 06-09' Action=Buy Limit price=8694 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='ec39b908273b40e0a2927ecbb5a7b17c' Gtd='01.12.2099 0:00:00'
04.06.2009 19:54:13 Entered internal PlaceOrder() method at 04.06.2009 19:54:13: Action=SellShort OrderType=Limit Quantity=1 LimitPrice=8697 StopPrice=0 SignalName='MyShortN' FromEntrySignal=''
Cancelled custom managed order at 04.06.2009 19:54:20: Order='2ed674bc544e48d3ae65428b566ef71f/Sim101' Name='MyShortN' State=Working Instrument='YM 06-09' Action=SellShort Limit price=8697 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='2ed674bc544e48d3ae65428b566ef71f' Gtd='01.12.2099 0:00:00'
04.06.2009 19:54:20 Entered internal PlaceOrder() method at 04.06.2009 19:54:20: Action=Buy OrderType=Limit Quantity=1 LimitPrice=8694 StopPrice=0 SignalName='MyLongN' FromEntrySignal=''
Cancelled custom managed order at 04.06.2009 19:54:39: Order='64ef06235d134a4bac2f0495c1663fd2/Sim101' Name='MyLongN' State=Working Instrument='YM 06-09' Action=Buy Limit price=8694 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='64ef06235d134a4bac2f0495c1663fd2' Gtd='01.12.2099 0:00:00'
04.06.2009 19:54:39 Entered internal PlaceOrder() method at 04.06.2009 19:54:39: Action=SellShort OrderType=Limit Quantity=1 LimitPrice=8696 StopPrice=0 SignalName='MyShortN' FromEntrySignal=''
Cancelled custom managed order at 04.06.2009 19:54:49: Order='57c341ecd602494ea62743b56f326fb4/Sim101' Name='MyShortN' State=Working Instrument='YM 06-09' Action=SellShort Limit price=8696 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='57c341ecd602494ea62743b56f326fb4' Gtd='01.12.2099 0:00:00'
04.06.2009 19:54:49 Entered internal PlaceOrder() method at 04.06.2009 19:54:49: Action=Buy OrderType=Limit Quantity=1 LimitPrice=8693 StopPrice=0 SignalName='MyLongN' FromEntrySignal=''
04.06.2009 19:54:53 Entered internal PlaceOrder() method at 04.06.2009 19:54:53: Action=Sell OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=8691 SignalName='MyLongStopN' FromEntrySignal='MyLongN'
04.06.2009 19:54:53 Entered internal PlaceOrder() method at 04.06.2009 19:54:53: Action=Sell OrderType=Limit Quantity=1 LimitPrice=8695 StopPrice=0 SignalName='MyLongTargetN' FromEntrySignal='MyLongN'
---------------------- PendingSubmit WORK
---------------------- Accepted
---------------------- Working
04.06.2009 19:56:12 Cancelled remaining exit order: Order='d79a85d91e7446768beea3d9cdde14a3/Sim101' Name='MyLongTargetN' State=Working Instrument='YM 06-09' Action=Sell Limit price=8695 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='d79a85d91e7446768beea3d9cdde14a3' Gtd='01.12.2099 0:00:00'
---------------------- Filled
04.06.2009 19:56:13 Entered internal PlaceOrder() method at 04.06.2009 19:56:13: Action=Buy OrderType=Limit Quantity=1 LimitPrice=8691 StopPrice=0 SignalName='MyLongN' FromEntrySignal=''
Cancelled custom managed order at 04.06.2009 19:56:14: Order='0d5fa0786c7548d39c22899746dd7fb3/Sim101' Name='MyLongN' State=Working Instrument='YM 06-09' Action=Buy Limit price=8691 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='0d5fa0786c7548d39c22899746dd7fb3' Gtd='01.12.2099 0:00:00'
04.06.2009 19:56:14 Entered internal PlaceOrder() method at 04.06.2009 19:56:14: Action=SellShort OrderType=Limit Quantity=1 LimitPrice=8694 StopPrice=0 SignalName='MyShortN' FromEntrySignal=''
04.06.2009 19:56:18 Entered internal PlaceOrder() method at 04.06.2009 19:56:18: Action=BuyToCover OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=8696 SignalName='MyShortStopN' FromEntrySignal='MyShortN'
04.06.2009 19:56:18 Entered internal PlaceOrder() method at 04.06.2009 19:56:18: Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=8692 StopPrice=0 SignalName='MyShortTargetN' FromEntrySignal='MyShortN'
---------------------- PendingSubmit WORK
---------------------- Accepted
04.06.2009 19:57:40 Cancelled remaining exit order: Order='4e0bdb6c779848b7ace6b796b7c83426/Sim101' Name='MyShortStopN' State=Accepted Instrument='YM 06-09' Action=BuyToCover Limit price=0 Stop price=8696 Quantity=1 Strategy='NEDOBOT_3' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='4e0bdb6c779848b7ace6b796b7c83426' Gtd='01.12.2099 0:00:00'

04.06.2009 19:58:34 Amended matching order: Action=SellShort OrderType=Limit Quantity=1 LimitPrice=8685 StopPrice=0 SignalName=MyShortN' FromEntrySignal=''
Cancelled custom managed order at 04.06.2009 19:58:34: Order='df07cadf1d1646958b67a6fba1795afb/Sim101' Name='MyShortN' State=PendingSubmit Instrument='YM 06-09' Action=SellShort Limit price=8689 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='df07cadf1d1646958b67a6fba1795afb' Gtd='01.12.2099 0:00:00'

…………………………………………….



04.06.2009 20:00:14 Ignored PlaceOrder() method: Action=Buy OrderType=Limit Quantity=1 LimitPrice=8676 StopPrice=0 SignalName=MyLongN' FromEntrySignal='' Reason='There already is a matching order with same prices and quantity'
04.06.2009 20:00:14 Cancelled pending entry order on opposite side of the market: BarsInProgress=1: Order='e877dc22eef64dc9ab360eabc5203ac6/Sim101' Name='MyLongN' State=PendingSubmit Instrument='YM 06-09' Action=Buy Limit price=8676 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='e877dc22eef64dc9ab360eabc5203ac6' Gtd='01.12.2099 0:00:00'

This is end of output window data.
RESULTING POSITION IS SHORT!!!! Without stop and profit orders.

[NinjaTrader_JoshP]

You are cancelling your orders. You need to isolate out the scenario and not cancel your orders if you want them to be in place.

[brownfox777]

You are cancelling your orders. You need to isolate out the scenario and not cancel your orders if you want them to be in place.

You mean I'm cancelling enter orders?
Yes.

if (entryLongOrderN == null
&& .......................)
{
if (entryShortOrderN != null)
{
CancelOrder(entryShortOrderN);
entryShortOrderN = null;
}

entryLongOrderN = EnterLongLimit(1, true, ................, ......................, "MyLongN");
}

Íow else can I kill entryShortOrderN?

[NinjaTrader_JoshP]

04.06.2009 19:56:12 Cancelled remaining exit order: Order='d79a85d91e7446768beea3d9cdde14a3/Sim101' Name='MyLongTargetN' State=Working Instrument='YM 06-09' Action=Sell Limit price=8695 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='d79a85d91e7446768beea3d9cdde14a3' Gtd='01.12.2099 0:00:00'

Your targets are getting cancelled.

Not sure what you mean by killing entryShortOrderN. If you don't want it then by all means cancel it. A null state should not be set until you actually receive confirmed OrderState = Cancelled.

[brownfox777]

Your targets are getting cancelled.

Not sure what you mean by killing entryShortOrderN. If you don't want it then by all means cancel it. A null state should not be set until you actually receive confirmed OrderState = Cancelled.

Target order cancelled automatically. When Stoploss order is filled. They are OCO orders. There are no lines CancelOrder(targetLongOrderN); or CancelOrder(stopLongOrderN); in the code. I'm cancelling ONLY enter orders.

[NinjaTrader_JoshP]

So what exactly is the issue then? Your orders are doing what they are expected to do, no?

[brownfox777]

Thank you for

A null state should not be set until you actually receive confirmed OrderState = Cancelled.

I'll try to erase red line:

if (entryLongOrderN == null
&& .......................)
{
if (entryShortOrderN != null)
{
CancelOrder(entryShortOrderN);
entryShortOrderN = null;
}

[brownfox777]

So what exactly is the issue then? Your orders are doing what they are expected to do, no?

OK problem persists

Code for enter:
protectedoverridevoid OnBarUpdate()
..........................
if (BarsInProgress == 1
......................
if (entryShortOrderN != null
&& .........)
CancelOrder(entryShortOrderN);

if (entryLongOrderN == null
&& Position.MarketPosition == MarketPosition.Flat
&& ..........)
{
entryLongOrderN = EnterLongLimit(........, "MyLongN");
}


Orders supervision:

protectedoverridevoid OnOrderUpdate(IOrder order)
{

if (entryLongOrderN != null && entryLongOrderN.Token == order.Token)
{
Print("ENTER LONG ++++++++++++++ " + entryLongOrderN.OrderState);
if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
{
entryLongOrderN = null;
}

if (order.OrderState == OrderState.Rejected)
{
entryLongOrderN = null;
}
}

if (stopLongOrderN != null && stopLongOrderN.Token == order.Token)
{
Print("STOP --------------- " + stopLongOrderN.OrderState);
// If our exit order is filled we want to reset myEntryOrder so we can submit orders again.
if (order.OrderState == OrderState.Filled)
entryLongOrderN = null;

// If our exit order encounters some problems we will resubmit the order again.
elseif (order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Rejected)
{
stopLongOrderN = null;
if (Positions[1].MarketPosition == MarketPosition.Long)
{
Print("************************************************* ****");
stopLongOrderN = ExitLongStop(1, true, stopLongOrderN.Quantity, Positions[1].AvgPrice - (loss * _TickSizeN), "MyLongStopN", "MyLongN");
}
}
}
...... and same for short

TROUBLE:
Why at 22:07:01 all works

ENTER SHORT ++++++++++++++ Working
ENTER SHORT ++++++++++++++ Working
ENTER LONG ++++++++++++++ Cancelled
ENTER SHORT ++++++++++++++ Filled (enter short)
04.06.2009 22:07:01 Entered internal PlaceOrder() method at 04.06.2009 22:07:01: Action=BuyToCover OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=8734 SignalName='MyShortStopN' FromEntrySignal='MyShortN'
04.06.2009 22:07:01 Entered internal PlaceOrder() method at 04.06.2009 22:07:01: Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=8730 StopPrice=0 SignalName='MyShortTargetN' FromEntrySignal='MyShortN'
STOP --------------- PendingSubmit
TARGET ---------------- PendingSubmit (and there are exit orders)
STOP --------------- Accepted
TARGET ---------------- Working
TARGET ---------------- Working
STOP --------------- Filled
04.06.2009 22:07:02 Cancelled remaining exit order: Order='3f26fe9d303d45f6a7410d894d86a563/Sim101' Name='MyShortTargetN' State=Working Instrument='YM 06-09' Action=BuyToCover Limit price=8730 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='3f26fe9d303d45f6a7410d894d86a563' Gtd='01.12.2099 0:00:00'
STOP --------------- Filled

But at 22:07:11 I have resulting in open short position without stop and profit orders

ENTER LONG ++++++++++++++ Cancelled
ENTER SHORT ++++++++++++++ Working
ENTER SHORT ++++++++++++++ Working
04.06.2009 22:07:11 Entered internal PlaceOrder() method at 04.06.2009 22:07:11: Action=Buy OrderType=Limit Quantity=1 LimitPrice=8734 StopPrice=0 SignalName='MyLongN' FromEntrySignal=''
ENTER SHORT ++++++++++++++ Filled (enter short)
04.06.2009 22:07:11 Entered internal PlaceOrder() method at 04.06.2009 22:07:11: Action=BuyToCover OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=8738 SignalName='MyShortStopN' FromEntrySignal='MyShortN'
04.06.2009 22:07:11 Entered internal PlaceOrder() method at 04.06.2009 22:07:11: Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=8734 StopPrice=0 SignalName='MyShortTargetN' FromEntrySignal='MyShortN'

(where my exit orders?)

04.06.2009 22:07:11 Cancelled pending entry order on opposite side of the market: BarsInProgress=1: Order='c1e7d0e6d5444969962e5725cc4b56bd/Sim101' Name='MyLongN' State=PendingSubmit Instrument='YM 06-09' Action=Buy Limit price=8734 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='c1e7d0e6d5444969962e5725cc4b56bd' Gtd='01.12.2099 0:00:00'
Cancelled custom managed order at 04.06.2009 22:07:11: Order='c1e7d0e6d5444969962e5725cc4b56bd/Sim101' Name='MyLongN' State=PendingSubmit Instrument='YM 06-09' Action=Buy Limit price=8734 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='c1e7d0e6d5444969962e5725cc4b56bd' Gtd='01.12.2099 0:00:00'
ENTER LONG ++++++++++++++ PendingSubmit
Cancelled custom managed order at 04.06.2009 22:07:11: Order='c1e7d0e6d5444969962e5725cc4b56bd/Sim101' Name='MyLongN' State=PendingSubmit Instrument='YM 06-09' Action=Buy Limit price=8734 Stop price=0 Quantity=1 Strategy='NEDOBOT_3' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='c1e7d0e6d5444969962e5725cc4b56bd' Gtd='01.12.2099 0:00:00'
ENTER LONG ++++++++++++++ Working
ENTER LONG ++++++++++++++ PendingCancel
ENTER LONG ++++++++++++++ PendingCancel
ENTER LONG ++++++++++++++ Cancelled

[brownfox777]

This trouble online only. Under Market replay all works perfect. Sorry for my English.

[NinjaTrader_JoshP]

04.06.2009 22:07:11 Entered internal PlaceOrder() method at 04.06.2009 22:07:11: Action=BuyToCover OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=8738 SignalName='MyShortStopN' FromEntrySignal='MyShortN'
04.06.2009 22:07:11 Entered internal PlaceOrder() method at 04.06.2009 22:07:11: Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=8734 StopPrice=0 SignalName='MyShortTargetN' FromEntrySignal='MyShortN'

Clearly they have been submitted. You will need to check OnOrderUpdate() to see what happened to them. Suggest you try to look in the orders tab of your Control Center to see if those orders got rejected/cancelled/ignored.

[brownfox777]

Clearly they have been submitted. You will need to check OnOrderUpdate() to see what happened to them. Suggest you try to look in the orders tab of your Control Center to see if those orders got rejected/cancelled/ignored.

I have this line in OnOrderUpdate():

if (stopLongOrderN != null && stopLongOrderN.Token == order.Token)
{
Print("STOP --------------- " + stopLongOrderN.OrderState);

and at 22:07:01 I see what

STOP --------------- PendingSubmit
TARGET ---------------- PendingSubmit
STOP --------------- Accepted
TARGET ---------------- Working
TARGET ---------------- Working
STOP --------------- Filled

but at 22:07:11 I see nothing

I'll try to look in the orders tab of Control Center

[NinjaTrader_JoshP]

For sure you will see nothing. That prints it for longs not shorts.

[brownfox777]

For sure you will see nothing. That prints it for longs not shorts.

Josh... there is SAME code for longs and shorts.
ÎĘ I'll post code for shorts

if (stopShortOrderN != null && stopShortOrderN.Token == order.Token)
{

Print("STOP --------------- " + stopShortOrderN.OrderState);
// If our exit order is filled we want to reset myEntryOrder so we can submit orders again.
if (order.OrderState == OrderState.Filled)
entryShortOrderN = null;

// If our exit order encounters some problems we will resubmit the order again.
elseif (order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Rejected)
{
stopShortOrderN = null;
if (Positions[1].MarketPosition == MarketPosition.Short)
{
Print("************************************************* ****");
stopShortOrderN = ExitShortStop(1, true, stopShortOrderN.Quantity, Positions[1].AvgPrice + (loss * _TickSizeN), "MyShortStopN", "MyShortN");
}
}
}


if (targetShortOrderN != null && targetShortOrderN.Token == order.Token)
{
Print("TARGET ---------------- " + targetShortOrderN.OrderState);

// If our exit order is filled we want to reset myEntryOrder so we can submit orders again.
if (order.OrderState == OrderState.Filled)
entryLongOrderN = null;

// If our exit order encounters some problems we will resubmit the order again.
elseif (order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Rejected)
{
if (Positions[1].MarketPosition == MarketPosition.Short)
targetShortOrderN = ExitShortLimit(1, true, targetShortOrderN.Quantity, Positions[1].AvgPrice - (profit * _TickSizeN), "MyShortTargetN", "MyShortN");
}
}