Orders not cancelling...

[BigDog008]

Having an issue with a vers of SampleOnOrderUpdate which I've modified to use Limit Orders... but am having issues with the CancelOrder() command... my orders don't seem to be cancelling... I've tried TraceOrders but still am lost... appreciate any help... I'm calling the CancelOrders() from OnOrderUpdate()

        protected override void OnBarUpdate()
        {
            // Submit an entry limit order if we currently don't have an entry order open
            if (entryOrder == null && Close[0] > Open[0])
            {
                entryOrder = EnterLongLimit(0, true, 1, Median[0] + -2 * TickSize, "MyEntry");
            }
  
            if (Position.MarketPosition == MarketPosition.Long && Close[0] >= Position.AvgPrice + (7 * (TickSize / 2)))
            {
                // Checks to see if our Stop Order has been submitted already
                if (stopOrder != null && stopOrder.StopPrice < Position.AvgPrice)
                {
                    // Modifies stop-loss to breakeven
                    stopOrder = ExitLongStop(0, true, stopOrder.Quantity, Position.AvgPrice, "MyStop", "MyEntry");
                }
            }
        }

        /// <summary>
        /// Called on each incoming order event
        /// </summary>
        protected override void OnOrderUpdate(IOrder order)
        {
            // Handle entry orders here. The entryOrder object allows us to identify that the order that is calling the OnOrderUpdate() method is the entry order.
            if (entryOrder != null && entryOrder.Token == order.Token)
            {    

                // Reset the entryOrder object to null if order was cancelled without any fill
                if (order.OrderState == OrderState.Working
                    && order.LimitPrice < GetCurrentBid() - 4 * TickSize)
                {
                    CancelOrder(entryOrder);
                    entryOrder = null;
                }
            }
        }
        
        /// <summary>
        /// Called on each incoming execution
        /// </summary>
        protected override void OnExecution(IExecution execution)
        {
            if (entryOrder != null && entryOrder.Token == execution.Order.Token)
            {
                if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
                {
                    // Stop-Loss order 4 ticks below our entry price
                    stopOrder     = ExitLongStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - 4 * TickSize, "MyStop", "MyEntry");
                    
                    // Target order 8 ticks above our entry price
                    targetOrder = ExitLongLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + 8 * TickSize, "MyTarget", "MyEntry");
                    
                    // Resets the entryOrder object to null after the order has been filled or partially filled
                    if (execution.Order.OrderState != OrderState.PartFilled)
                    {
                        entryOrder     = null;
                    }
                }
            }
            
            // Reset our stop order and target orders' IOrder objects after our position is closed.
            if ((stopOrder != null && stopOrder.Token == execution.Order.Token) || (targetOrder != null && targetOrder.Token == execution.Order.Token))
            {
                if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
                {
                    stopOrder = null;
                    targetOrder = null;
                }
            }
        }

        /// <summary>
        /// Called on each incoming position event
        /// </summary>
        protected override void OnPositionUpdate(IPosition position)
        {
            // Print our current position to the lower right hand corner of the chart
            DrawTextFixed("MyTag", position.ToString(), TextPosition.BottomRight);
        }

[NinjaTrader_Ben]

Hello,

I will have someone take a look at this on Monday.

[NinjaTrader_JoshP]

Please add Print() lines to your strategy and follow it sequentially at each step of the way. Evaluate your conditions and see if they are ever true.

[BigDog008]

Josh,

when I get to the OnOrderUpdate() section, its not reading the order.LimitPrice variable

[NinjaTrader_JoshP]

Please print that value along with GetCurrentBid calculation you had there and evaluate it by hand. Remember, GetCurrentBid() is a real-time method only. When not in real-time it will only return the close of the bar.

[BigDog008]

real-time should include market replay, correct?

[NinjaTrader_JoshP]

Correct. Please print and see what values you get.

[BigDog008]

Josh, so I did the Print() statement like you mentioned...

I do get the the order.LimitPrice, and i get the current bid

but as prices move, the current bid does not change

[NinjaTrader_JoshP]

Then your bid is staying the same. Please use other conditions to check for to cancel your bar with. Please remember, in OnOrderUpdate() you only receive one event for the working state. It is not like OnOrderUpdate() is constantly checking for what your limit order price is vs the bid.

[BigDog008]

Then your bid is staying the same. Please use other conditions to check for to cancel your bar with. Please remember, in OnOrderUpdate() you only receive one event for the working state. It is not like OnOrderUpdate() is constantly checking for what your limit order price is vs the bid.

i guess this is where i'm hitting my wall in terms of getting around it...

any suggestion in terms of something to try?

[NinjaTrader_JoshP]

You will just need to objectify how you want it to behave. Place it where it needs to go. Maybe in OnBarUpdate().

[BigDog008]

ok will give it a whirl and get back to you

[BigDog008]

when I put in the cancel logic in OnBarUpdate()... in the Log tab I get the following error...
"Error on calling 'OnBarUpdate' method for strategy "SampleOnOrderUpdate'. Object reference not set to an instance of an object.

        protected override void OnBarUpdate()
        {
            // Submit an entry limit order if we currently don't have an entry order open
            if (entryOrder == null && Close[0] > Open[0])
            {
                entryOrder = EnterLongLimit(0, true, 1, Median[0] + -2 * TickSize, "MyEntry");
            }
            
            if (entryOrder.OrderState == OrderState.Working
                && entryOrder.LimitPrice < Median[0] - 4 * TickSize)
            {
                CancelOrder(entryOrder);
                entryOrder = null;
            }
           
            if (Position.MarketPosition == MarketPosition.Long && Close[0] >= Position.AvgPrice + (7 * (TickSize / 2)))
            {
                // Checks to see if our Stop Order has been submitted already
                if (stopOrder != null && stopOrder.StopPrice < Position.AvgPrice)
                {
                    // Modifies stop-loss to breakeven
                    stopOrder = ExitLongStop(0, true, stopOrder.Quantity, Position.AvgPrice, "MyStop", "MyEntry");
                }
            }
        }

[NinjaTrader_JoshP]

You still need to check for null first. http://www.ninjatrader-support2.com/...ead.php?t=4226

[BigDog008]

Josh,
it works!


If you were an attractive lady, I'd kiss you!!!!


But in all honesty, thank you... I REALLY REALLY appreciate your help and patience!