Need help in Order Management

[NinjaTrader_Austin]

Let me clarify. Before calling any exit method, you must currently be in a position. So yes, you "need an open position in market to set stop and profit limits. You need to wait until a position is established or else the stop/target orders will be rejected and you will receive error messages.

This will work (with some additional filler code):

OnBarUpdate()
{
    EnterLong("long entry");
}
OnPositionUpdate()
{
    ExitLongStop("long stop", "long entry");
    ExitLongLimit("long target", "long entry");
}

And this will not work because there is a delay between when you submit an order and when it is actually filled - thus there is no position for the exit methods to reference:

OnBarUpdate()
{
    EnterLong("long entry");
    ExitLongStop("long stop", "long entry");
    ExitLongLimit("long target", "long entry");
}

Lastly, the signal names will be preserved throughout the life of the order/position.

[malmaa]

Thankyou so much Austin.
Appreciate your patience and extremely valuable guidance. I should be comfortable with this feedback.
Thanks once again.
Regards

[malmaa]

I am looking for a feature to identify a closure of an Order/Position. The Order should have opened and closed.
For instance if “Order1” is closed, set a trail stop to “Order2”
Can we use the IOrder.Action Attribute? (Action.BuyToCover &Action.SellShort)

[NinjaTrader_JoshP]

malmaa,

No, you will have to track it yourself. If you open an order and you added some exit orders to it, just check the OrderState of the exit orders to know when your entry was closed.

[malmaa]

My Idea is to open the orders in OnBarUpdate, Set the stop limits in Onexecution, and trail the stop again in OnBarUpdate.
Code:
IOrder Order1, Order2;
OnBarUpdate()
{
Order1=EnterLongLimit(20000,Orefl.op);
Order2=EnterLongLimit(10000,Orefl.op);
OnExecution(IExecution execution)
{
ExitShortStop(Stop1,Order1.FromEntrySignal);
}
Once the above Order1 is filled, should have to check the “Order1. OrderState”== OrderState.Filled?
How can we identify between “Entry Buy order” fill and “Exit sell Order” fill?
I want the Order below to have a trail stop with last bar low.
ExitShortStop(Stop2,Order2.FromEntrySignal);
Can some please guide me how to track this orders

[NinjaTrader_JoshP]

malmaa,

You need to set another IOrder for your exit stop, just like how you have one for your entry.

[malmaa]

What do we do after setting IOrder to exit stop?
Do we compare the “Order1. OrderState”== OrderState.Filled?
If we want to update Profit Limit and Stop Loss simultaneously, do we have to create two IOrder variables?
Do you have any sample strategy that can give me better Idea?

[malmaa]

We need an open market position to set the Stops and Limits. I used a market entry, but still it doesn't execute. Is their a problem in this code?


Code:

protectedoverridevoid OnBarUpdate()
{ IOrder Enter1=null,Stop1=null,Limit1=null;

Enter1= EnterLong(10000, "Long1");Print(Enter1.ToString()); // Prints OK
Limit1=ExitLongLimit(Enter1.LimitPrice+0.0005, Enter1.FromEntrySignal);Print(Limit1.ToString());// No Print
Stop1=ExitLongStop(Enter1.LimitPrice-0.0005,Enter1.FromEntrySignal);Print(Stop1.ToString());// No Print

}




Output Window:

Initialise
Order='NT-00000/Sim101' Name='Long1' State=Working Instrument='$GBPUSD' Action=Buy Limit price=0 Stop price=0 Quantity=0.01M Strategy='ArrayStruct' Type=Market Tif=Gtc Oco='' Filled=0 Fill price=0 Token='0eec9225904c4416b61768f1f778d183' Gtd='12/1/2099 12:00:00 AM'

[malmaa]

Bit of improvement. When I print “Limit1” and “Stop1” I get a IOrder.Name as “Sell” I have never used this name. What is this value?
This Code works.
protectedoverridevoid OnBarUpdate()
{
Enter1= EnterLong(10000, "Long1");Print("Enter1");Print(Enter1.ToString()); // Prints OK
}
protectedoverridevoid OnExecution(IExecution execution)
{
Limit1=ExitLongLimit(Position.AvgPrice + 100 * TickSize, Enter1.FromEntrySignal);Print("Limit1");Print(Limit1.ToString());// Prints OK
Stop1=ExitLongStop(Position.AvgPrice - 100 * TickSize,Enter1.FromEntrySignal);Print("Stop1");Print(Stop1.ToString());// No Print

} // End of OnExecution

Output window:

Enter1
Order='NT-00000/Sim101' Name='Long1' State=Working Instrument='$GBPUSD' Action=Buy Limit price=0 Stop price=0 Quantity=0.01M Strategy='ArrayStruct' Type=Market Tif=Gtc Oco='' Filled=0 Fill price=0 Token='f5fe659b807d4f3d98f9b2811a6061a2' Gtd='12/1/2099 12:00:00 AM'
Limit1
Order='NT-00001/Sim101' Name='Sell' State=Working Instrument='$GBPUSD' Action=Sell Limit price=1.5895 Stop price=0 Quantity=0 Strategy='ArrayStruct' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='2fdb7c37323249f39b6e6443b76aa784' Gtd='12/1/2099 12:00:00 AM'
Stop1
Order='NT-00002/Sim101' Name='Sell' State=Working Instrument='$GBPUSD' Action=Sell Limit price=0 Stop price=1.5875 Quantity=0 Strategy='ArrayStruct' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='7400cf24feab4d999131dc337ff76d63' Gtd='12/1/2099 12:00:00 AM'
Enter1
Order='NT-00003/Sim101' Name='Long1' State=Working Instrument='$GBPUSD' Action=Buy Limit price=0 Stop price=0 Quantity=0.01M Strategy='ArrayStruct' Type=Market Tif=Gtc Oco='' Filled=0 Fill price=0 Token='2a95191f0d4049f0abd1d32ef844d9ae' Gtd='12/1/2099 12:00:00 AM'
Limit1
Order='NT-00004/Sim101' Name='Sell' State=Working Instrument='$GBPUSD' Action=Sell Limit price=1.58985 Stop price=0 Quantity=0 Strategy='ArrayStruct' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='d6117d10f02b4e019eda8572d0a0c213' Gtd='12/1/2099 12:00:00 AM'
Stop1
Order='NT-00005/Sim101' Name='Sell' State=Working Instrument='$GBPUSD' Action=Sell Limit price=0 Stop price=1.58785 Quantity=0 Strategy='ArrayStruct' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='ad13946f5068454e91fd47c70389b80c' Gtd='12/1/2099 12:00:00 AM'
Limit1

[malmaa]

Cont to previous question:
In the above Output of IOrders returned by EnterLong, ExitLongLimit and ExitLongStop,
1. I was told that IOrder.FromEntrySignal remain constant throughout the life of the Order/Position, But it changes. How do we use this Name? There are 3 functions accessing my Orders, OnBarUpdate, OnExecution and one user defined function. I need an attribute to identify the order within these function. Can you please tell me what attribute can I take as reference in all these functions for the purpose of identification?
2. Action.Long/Action.Sell is the action done by this statement (entry and Exit methods) and Action.BuyToCover/Action.ShortCover are the result of marketaction on our order(i.e. whether our open position is filled after setting the exit methods). Am I right?
3. When I set a Exitstop after ExitLimit, IOrder returned by the Exitstop shows the Limit price=0. Can’t we have an IOrder that shows “Limit price” and “Stop price”?
Regards

[NinjaTrader_Bertrand]

malmaa, I would suggest you first check into the sample codes we have on those topics in the 'reference examples' section of this forums -

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

http://www.ninjatrader-support2.com/vb/showthread.php?t=18890

http://www.ninjatrader-support2.com/vb/showthread.php?t=5790

To get the unique identifiers for each order, you would need to work with the Token values - http://www.ninjatrader-support.com/H...V6/IOrder.html

Your printing of the Exit IOrder's return a 'Sell' as this is just the default name for exiting a long position, since you did not set a custom one.

[malmaa]

Bertrand,
Thankyou for referring me to the sample files. I have just studied “Sampleonorderupdate.zip”.
I want to crosscheck my understanding.
1. Ideally a market position is a combination of 3 IOrders, one for entry, one for stop and one for Profit limit. Each having three unique Tokens. These tokens are unique through out their life span. Equally these three IOrders can have three unique user defined “IOrder.Names”.
2. We can identify the orders either through “IOrder.Names” or “IOrderTokens”.
3. When either of the exit methods (Stop/Profitlimit) orders show an OrderState of “OrderState.Filled” we can confirm that the position is closed.
Am I in the right path?
As always any comment is highly appreciated?

[NinjaTrader_JoshP]

1. Correct. Each IOrder is independent of the other and have completely independent and order specific information.

2. Correct.

3. Correct.

When one of the exits has reached a Filled state your position from the related entry order is effectively closed.

[malmaa]

Thankyou Josh for your help.
I am trying to submit 2 short Limit orders and 2 Long Limit orders. I am unable to execute the script.
Can we place both long and short limit orders simultaneously in NT? Can someone Please advice on probable solution.
My setting are:
On starting a real-time strategy = wait until flat before execution.
Order handling = By strategy position
Entries per direction =20
Entryhandling = UniqueEntries.
Mycode:
if(Rsdata.Count>0 && Tmcomp(((Reslh)Rsdata[Rf]).tm,Shortord)==false){
Print("Enter Short order");
Orefs.tm= ((Reslh)Rsdata[Rf]).tm;
Orefs.op= ((Reslh)Rsdata[Rf]).l; // Sell Entry limit
Orefs.st= ((Reslh)Rsdata[Rf]).h; // Stop limit

Ord=EnterShortLimit(0,true,20000,Orefs.op,"Short1" + Scon);Orefs.tk1=Ord.Token;Print(Ord.Token);// Ok
Ord=EnterShortLimit(0,true,10000,Orefs.op,"Short2" + Scon);Orefs.tk2=Ord.Token;Print(Ord.Token);// Ok
Orefs.or1=null;Orefs.or2=null;Orefs.or3=null;
Shortord.Add(Orefs);++Scon;
}

if(Ssdata.Count>0&& Tmcomp(((Reslh)Ssdata[Sf]).tm,Longord)==false){
Print("Enter Long order");
Orefl.tm= ((Reslh)Ssdata[Sf]).tm;
Orefl.op= ((Reslh)Ssdata[Sf]).h; // Sell Entry limit
Orefl.st= ((Reslh)Ssdata[Sf]).l; // Stop limit

Ord=EnterLongLimit(0,true,20000,Orefl.op,"Long1" + Lcon);Orefl.tk1=Ord.Token;Print(Ord.Token);// not getting executed
Ord=EnterLongLimit(0,true,10000,Orefl.op,"Long2" + Lcon);Orefl.tk2=Ord.Token;Print(Ord.Token);
Orefl.or1=null;Orefl.or2=null;Orefl.or3=null;
Longord.Add(Orefl);++Lcon;
}
Output window:
Initialise
Inside Order Management
0
1
Enter Short order
12/31/2009 7:15:00 PM Entered internal PlaceOrder() method at 12/31/2009 7:15:00 PM: Action=SellShort OrderType=Limit Quantity=0.02M LimitPrice=1.6222 StopPrice=0 SignalName='Short10' FromEntrySignal=''
76f6219f66d649c787da2bfb4d2f4405
12/31/2009 7:15:00 PM Entered internal PlaceOrder() method at 12/31/2009 7:15:00 PM: Action=SellShort OrderType=Limit Quantity=0.01M LimitPrice=1.6222 StopPrice=0 SignalName='Short20' FromEntrySignal=''
76b8d897dbab47f4ada555d49e32bcb0
Enter Long order
12/31/2009 7:15:00 PM Entered internal PlaceOrder() method at 12/31/2009 7:15:00 PM: Action=Buy OrderType=Limit Quantity=0.02M LimitPrice=1.6076 StopPrice=0 SignalName='Long10' FromEntrySignal=''
12/31/2009 7:15:00 PM Ignored PlaceOrder() method at 12/31/2009 7:15:00 PM: Action=Buy OrderType=Limit Quantity=0.02M LimitPrice=1.6076 StopPrice=0 SignalName=Long10' 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.'

[NinjaTrader_Bertrand]

malmaa, unfortunately this is not possible, as you can see from the trace output - you're running into NT's 'internal order handling rules' with this -

http://www.ninjatrader-support.com/H...verview36.html (bottom section of this link)

NinjaTrader 7 will offer also an unmanaged approach where you can self manage the order submission process completely in your code -

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.