Reverse a bracket order

[cicondo]

Hi Team...,

I have developed a strategy wich places an entry order and after it is filled I place the embracing Stop and Target orders via OnExecution.

By the strategy it is possible that the entry is filled or not while a reverse trigger is rising. How should I develop the reverse algo that the order cancelation and new order placement will be working perfectly?

My current solution is that:
1. Place an entry order as liveUntilCancel....
2. Wait for excecution
3. OnExecution place stop/target order....
4. Wait for stop or target

5 The reverse trigger raises (old entry is filled)
--> cancel stop/traget order
--> Exit...() closing the current entryOrder
--> Place a new entry order
--> Wait for a fill...

Or is there a better way? Sometimes I get a wrong quantity, espacially if
the close an the reverse trigger will be raising at the same time.

NOTE: It is not a common revers system because I'M not always in the market, only if the limit orders were touched, the I'm reacting.

Thanks for your help.
cicondo

PS: After reading forum comments I'm really surprised, that there is no template that shows how the ordering works for reversals. Some guy here are certainly very expirienced programmers, which doens't help in understanding the order flow in NT. And obviously there is a lack of documentation.

[NinjaTrader_Bertrand]

cicondo, thanks for the post - this is unfortunately expected as you run into the 'Internal Order Handling Rules' when not working with market orders for your reversals - http://www.ninjatrader-support.com/H...verview36.html (*bottom section of this link*)

So your approach is the correct one - for the false quantities at times, are you waiting for the 'Cancelled' orderstate confirmation before placing your new order set?

For NinjaTrader 7 we'll introduce a feature called 'Unmanaged Order Submission', this will allow you to implenment your strategy in a more direct way - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

New Unmanaged Order Submission
In 6.5 some users were burdened with our "Internal Order Handling" rules. We have introduced unmanaged order submission which bypasses the convenience of our order handling layer. This lower level of programming allows you to do what you want relative to order submission/management without any limitations other than any imposed by your broker. There are only three methods, SubmitOrder(), ChangeOrder() and CancelOrder(). You then get the flexibility of managing your orders how you see fit and optionally handling rejections.

[cicondo]

Hi Betrand,

thank's for your answer. This is helpfull.
I think that I have to check all the states of my 3 order objects.
At the moment I check only the stop order that this will be canceled. I think this is not enough.

cicondo

cicondo, thanks for the post - this is unfortunately expected as you run into the 'Internal Order Handling Rules' when not working with market orders for your reversals - http://www.ninjatrader-support.com/H...verview36.html (*bottom section of this link*)

So your approach is the correct one - for the false quantities at times, are you waiting for the 'Cancelled' orderstate confirmation before placing your new order set?

For NinjaTrader 7 we'll introduce a feature called 'Unmanaged Order Submission', this will allow you to implenment your strategy in a more direct way - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

New Unmanaged Order Submission
In 6.5 some users were burdened with our "Internal Order Handling" rules. We have introduced unmanaged order submission which bypasses the convenience of our order handling layer. This lower level of programming allows you to do what you want relative to order submission/management without any limitations other than any imposed by your broker. There are only three methods, SubmitOrder(), ChangeOrder() and CancelOrder(). You then get the flexibility of managing your orders how you see fit and optionally handling rejections.