NT's Internal Order Handling Issue?

[crmcwi]

Guys,

I have a strategy that onBarUpdate() determines the market position before trading so as to exit any opposite position first. However, during a backtest a long trade was ignored because a short was open, or so I believe. Here's the trace order output:

3/17/2009 1:23:00 AM Entered internal PlaceOrder() method at 3/17/2009 1:23:00 AM: Action=Buy OrderType=Limit Quantity=0.02M LimitPrice=1.3014 StopPrice=0 SignalName='LongX' FromEntrySignal=''
3/17/2009 1:23:00 AM Ignored PlaceOrder() method at 3/17/2009 1:23:00 AM: Action=Buy OrderType=Limit Quantity=0.02M LimitPrice=1.3014 StopPrice=0 SignalName=LongX' FromEntrySignal='' Reason='An Enter() method to submit an entry order has been ignore. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.'

My OnBarUpdate() code is this:
if (Position.MarketPosition == MarketPosition.Short) {
if (someCondition) // long entry signal
{
exitOrder = ExitShort(Position.Quantity, "XShrtOnLongX", "ShortX");
if (stopOrder != null)
CancelOrder(stopOrder);
entryOrder = EnterLongLimit(simLotsTraded, GetCurrentBid(), "LongX");

As you can see, it should exit before entering and ususally does. However this time it did not. How can I deal with this?

[NinjaTrader_Bertrand]

crmcwi, please try entering code to confirm the order reached indeed 'cancelled' state (confirmed) before you place the opposing order.

[crmcwi]

while loop?

Good idea Bertrand, but let me ask you something that only an experienced NT coder would know.

Can I or should I use a while() loop to wait for the cancelling?

In pseudo code, it might be something like:

While (stopOrder.OrderState != OrderState.Cancelled) {
do something like increment a counter;
}

the reason I ask is becuase I thought NT should do this in the background and if this should typically be done, it should be documented, yes?

[NinjaTrader_Bertrand]

I don't think you would need a loop for this, as it's all event based - just make sure you received the confirmed cancelled orderstate - this is also a good preparation to take the strategy live as order confirmations would take a bit longer in real life than possibly on the internal Sim101.

[crmcwi]

Ok, thanks Bertrand,

But I'm still confused. My code goes like this:

ExitOrder = .....
if stopOrder !=null, cancelOrder (stopOrder)

EntryOrder = ....


the problem is that the EntryOrder is ignored because the stop order exitorder isn't filled.

If I just put a condition to the EntryOrder = , won't the code just process the condition, calculate that the stopOrder is not null, and then proceed past the EntryOrder? In other words, don't I have to make the code wait for the stopOrder to be filled?

[NinjaTrader_Bertrand]

You want to wait for the fill confirmation in the OnOrderUpdate(), this way you know it's updated / received before you issue your following entry.

http://www.ninjatrader-support2.com/vb/showthread.php?t=7499

[crmcwi]

aha.

Ok, so the EntryOrder = ... for this situation has to go in OnOrderUpdate()? Yikes.

this has some far reaching ramifications for anytime one wishes to enter two orders successively as in OCO situations.

[crmcwi]

aha.

Ok, so the EntryOrder = ... for this situation has to go in OnOrderUpdate()? Yikes.

this has some far reaching ramifications for anytime one wishes to enter two orders successively as in OCO situations.

[NinjaTrader_JoshP]

crmcwi,

Not sure what ramifications you are referring to. All you need to do in OnOrderUpdate() is check for a partial filled or filled state for your entry order. Then you can place your exit orders at the correct time. Placing an exit order before you even have an entry position will result in ignored exit orders.