Limit Orders still behaving badly...

[BigDog008]

I'm still wrestling with limit orders, and am still having issues in getting the model to send orders when I have my cancellation logic in place... I've tried doing TraceOrders = true; along with Print() statements but am stuck... this is the follwing info I get at the Output screen....

Order='NT-00000/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=944.25 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='14bc74ceed314544bcba8a89a9afba29' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00000/Replay101' Name='Short' State=Filled Instrument='ES 06-09' Action=SellShort Limit price=944.25 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=944.25 Token='14bc74ceed314544bcba8a89a9afba29' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00003/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=941 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='864e51fabf144f35aa368b4d695a5354' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00003/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=941 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='864e51fabf144f35aa368b4d695a5354' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00003/Replay101' Name='Short' State=Filled Instrument='ES 06-09' Action=SellShort Limit price=941 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=941 Token='864e51fabf144f35aa368b4d695a5354' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00006/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=941.75 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='1d848f0a5f394e4a9b955774d2d5e076' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00006/Replay101' Name='Short' State=Filled Instrument='ES 06-09' Action=SellShort Limit price=941.75 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=941.75 Token='1d848f0a5f394e4a9b955774d2d5e076' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00009/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=939 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='17f8b78fc6db4c34a4d90f2ddfc8007a' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00009/Replay101' Name='Short' State=Filled Instrument='ES 06-09' Action=SellShort Limit price=939 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=939 Token='17f8b78fc6db4c34a4d90f2ddfc8007a' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00012/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=938.75 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='51cc9f4bc34b4859ad9ca1796d016764' Gtd='12/1/2099 12:00:00 AM'
Order='NT-00012/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=938.75 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='51cc9f4bc34b4859ad9ca1796d016764' Gtd='12/1/2099 12:00:00 AM' 

Now what's odd about this is that I want to run my model only from 8:30 am to 10:00 am Chicago time.... these orders are going out the moment I push Start on the strategies tab, even when its before 8:30 am on the Market Replay bar...

This is the logic I am using... Orders Per Direction is only 1 for now....

        {
            // Condition set 1
            if (High[0] > EMA(Period)[0]
                && entryOrder == null)
            {
                entryOrder = EnterLongLimit(0, true, DefaultQuantity, GetCurrentBid() + -2 * TickSize, "Long");
            }

            // Condition set 2
            if (Low[0] < EMA(Period)[0]
                && entryOrder == null)
            {
                entryOrder = EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 2 * TickSize, "Short");
            }
            
            if (entryOrder != null)
            {
                Print(entryOrder.ToString());
                
                if (entryOrder.OrderState == OrderState.Working
                    && entryOrder.Action == Action.Buy
                    && GetCurrentBid() >= entryOrder.LimitPrice + 4 * TickSize)
                
                {
                    CancelOrder(entryOrder);
                    entryOrder = null;
                }
                
                if (entryOrder.OrderState == OrderState.Working
                    && entryOrder.Action == Action.SellShort
                    && GetCurrentAsk() <= entryOrder.LimitPrice - 4 * TickSize)
                
                {
                    CancelOrder(entryOrder);
                    entryOrder = null;
                }
                
                if (entryOrder.OrderState == OrderState.Filled
                    && entryOrder.Action == Action.Buy)
                {
                    SetProfitTarget("Long", CalculationMode.Ticks, 8);
                    SetStopLoss("Long", CalculationMode.Ticks, 6, false);
                    entryOrder = null;
                }
                                        
                if (entryOrder.OrderState == OrderState.Filled
                    && entryOrder.Action == Action.SellShort)
                
                {
                    SetProfitTarget("Short", CalculationMode.Ticks, 8);
                    SetStopLoss("Short", CalculationMode.Ticks, 6, false);
                    entryOrder = null;
                }
                
                    
            }
        }

[NinjaTrader_JoshP]

No where in your code do you have a time filter preventing trades to that time range. Please see this reference sample: http://www.ninjatrader-support2.com/...ead.php?t=3226

[BigDog008]

No where in your code do you have a time filter preventing trades to that time range. Please see this reference sample: http://www.ninjatrader-support2.com/...ead.php?t=3226

Would a time filter be needed even when say trading hours are from time XX:XX to YY:YY in the strategy setup?

[NinjaTrader_JoshP]

If you want to limit trading you should use a time filter.

[BigDog008]

Josh,

I put in the time filter as shown below, and am still having the same issue where the model is sending orders even though its before 8:30... the time filter is the first line

        protected override void OnBarUpdate()
        {
            if ((ToTime(Time[0]) >= 83000 && ToTime(Time[0]) < 100000))
            {
                // Condition set 1
                if (High[0] > EMA(Period)[0]
                    && entryOrder == null)
                {
                    entryOrder = EnterLongLimit(0, true, DefaultQuantity, GetCurrentBid() + -2 * TickSize, "Long");
                }

                // Condition set 2
                if (Low[0] < EMA(Period)[0]
                    && entryOrder == null)
                {
                    entryOrder = EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 2 * TickSize, "Short");
                }
            
                if (entryOrder != null)
                {
                    Print(entryOrder.ToString());
                
                    if (entryOrder.OrderState == OrderState.Working
                        && entryOrder.Action == Action.Buy
                        && GetCurrentBid() >= entryOrder.LimitPrice + 4 * TickSize)
                
                    {
                        CancelOrder(entryOrder);
                        entryOrder = null;
                    }
                
                    if (entryOrder.OrderState == OrderState.Working
                        && entryOrder.Action == Action.SellShort
                        && GetCurrentAsk() <= entryOrder.LimitPrice - 4 * TickSize)
                
                    {
                        CancelOrder(entryOrder);
                        entryOrder = null;
                    }
                
                    if (entryOrder.OrderState == OrderState.Filled
                        && entryOrder.Action == Action.Buy)
                    {
                        SetProfitTarget("Long", CalculationMode.Ticks, 8);
                        SetStopLoss("Long", CalculationMode.Ticks, 6, false);
                        entryOrder = null;
                    }
                                        
                    if (entryOrder.OrderState == OrderState.Filled
                        && entryOrder.Action == Action.SellShort)
                
                    {
                        SetProfitTarget("Short", CalculationMode.Ticks, 8);
                        SetStopLoss("Short", CalculationMode.Ticks, 6, false);
                        entryOrder = null;
                    }
                
                }    
            }
        }

[NinjaTrader_JoshP]

Please add Print()s and figure out where it is entering your code segments.

[BigDog008]

Josh that's the thing...
It's putting out orders at say 85216 even though the replay bar says it is only 81023... i've used these replay files for many strategies without any issue at all (about 100 trading days worth) so I know they are good...

see the output below...

85216
Order='NT-00000/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=944.25 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='c46c5bc513734c3ab9a990f58ae10685' Gtd='12/1/2099 12:00:00 AM'
85502
Order='NT-00000/Replay101' Name='Short' State=Filled Instrument='ES 06-09' Action=SellShort Limit price=944.25 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=944.25 Token='c46c5bc513734c3ab9a990f58ae10685' Gtd='12/1/2099 12:00:00 AM'
85752
85805
Order='NT-00003/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=941 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='ce43dfd7dabf4e2e8b11cf842c0f3469' Gtd='12/1/2099 12:00:00 AM'
85925
Order='NT-00003/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=941 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='ce43dfd7dabf4e2e8b11cf842c0f3469' Gtd='12/1/2099 12:00:00 AM'
85940
Order='NT-00003/Replay101' Name='Short' State=Filled Instrument='ES 06-09' Action=SellShort Limit price=941 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=941 Token='ce43dfd7dabf4e2e8b11cf842c0f3469' Gtd='12/1/2099 12:00:00 AM'
90123
Order='NT-00006/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=941.75 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='492a014d6146421a9641125b0ab586ed' Gtd='12/1/2099 12:00:00 AM'
90307
Order='NT-00006/Replay101' Name='Short' State=Filled Instrument='ES 06-09' Action=SellShort Limit price=941.75 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=941.75 Token='492a014d6146421a9641125b0ab586ed' Gtd='12/1/2099 12:00:00 AM'
90515
90604
90623
Order='NT-00009/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=939 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='9e7784aecbc546deb6cbfba6a1702f42' Gtd='12/1/2099 12:00:00 AM'
90724
Order='NT-00009/Replay101' Name='Short' State=Filled Instrument='ES 06-09' Action=SellShort Limit price=939 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=1 Fill price=939 Token='9e7784aecbc546deb6cbfba6a1702f42' Gtd='12/1/2099 12:00:00 AM'
90808
Order='NT-00012/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=938.75 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='b997b440a8d04525b32bf0cf9e242532' Gtd='12/1/2099 12:00:00 AM'
90933
Order='NT-00012/Replay101' Name='Short' State=Working Instrument='ES 06-09' Action=SellShort Limit price=938.75 Stop price=0 Quantity=1 Strategy='LimitOrders' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='b997b440a8d04525b32bf0cf9e242532' Gtd='12/1/2099 12:00:00 AM' 

[NinjaTrader_JoshP]

Not following you. A timestamp of 85216 means 8:52:16 which means you are in the tradeable range.

[BigDog008]

Josh
I've added this screenshot to illustrate what I mean...

As you can see... replay is only at 8:10:23... but ninja is placing orders at future time stamps....

[NinjaTrader_JoshP]

The timestamp being printed from the strategy is the timestamp of the replay. It is not processing bars in the future. If you print out every bar's timestamp you will see it has reached there properly.

[BigDog008]

but the replay has only reached 8:10am... how could it process timestamps for 9:00 am?

[NinjaTrader_JoshP]

Please just print the timestamp of every bar and see what time the replay really is at.

[BigDog008]

Still having the same issues Josh

would you happen to have any code snippet with LimitOrders being cancelled if the price deviates after certain number of ticks rather than bars?

or is there a way to cancel out limit orders using something other than IOrder?

really appreciate your help and patience

[NinjaTrader_JoshP]

if (Close[0] > entryPrice + 10 * TickSize)
     CancelOrder(limitOrder);

[BigDog008]

if (Close[0] > entryPrice + 10 * TickSize)
     CancelOrder(limitOrder);

Just to be sure... where you have CancelOrder(limitOrder) the limitOrder would be the name of the order correct?

ie

CancelOrder("Long")
?