Limit orders on both bid and ask side

[cziber]

Hi,

I haven't used Ninja Trader since almost a year, back then there was a limitation for issuing limit orders. I can't find this in the forum anymore, but I remember one can not place 2 limit orders for one symbol at the same time, one being sell, the other buy.

Did this limitation change maybe? Would help a lot for my strategy. Also, is there a workaround?

Thanks,
Mark

[NinjaTrader_Brett]

Hello,

Thanks for your note.

There is no such limitation in NinjaTrader and has not been since I started here a year ago. perhaps if you could link the thread where you brought this up with NT Support?

This is possible to do, It is key however that if you plan to do this in an automated strategy you be ready for this: OverFills. There is a chance both limit orders gets filled leaving your strategy position and actualy accout position out of sync. You need to specifically code to work around this or make sure your aware of the chance for this occur. The closer together two limit orders are the higher the chance they could both fill in an explosive market move.

Over-Fills is a serious issue that can occur when using complex entry conditions that bracket the market in both directions end up with both entries being filled instead of one being cancelled. Over-Fills can also occur when you place a trade quickly hoping to close a position while a prior order to close the same position already had an in-flight execution. The exact scenarios in which an over-fill can occur is highly dependent on the specific strategy programming. By default, NinjaTrader will protect against over-fills even though you are using the Unmanaged approach by halting the strategy, but should you decide to custom program your own over-fill handling it is up to you to either prevent over-fills from being a possibility in your code or by introducing logic to address over-fills should one occur.

Let me know if I can be of further assistance.



Let me know if I can be of further assistance.

[cziber]

Hi Brett,

This is great news, unfortunatelly i couldnt find the same thread.

Im actually not worried about both orders getting filled. Does overfill mean that internal position counters fail in ninjatrader? If position counters get mistaken, could you point me to the workaround?

Thanks much,
Mark

[Baruch]

Hi,
I think that Brett didn't understand your request. Of course there was this restriction. In 6.5 you could not fire limit long and limit short at the same time!!!
In 7 with introduction of unmanaged orders you can

Baruch

[NinjaTrader_Bertrand]

Thanks Baruch - to clarify - NT 6.5 only offered the managed order submission approach, hence you could run into the internal order handling rules (for example bracketing a range where the one order could get ignored if diagnosed via TraceOrders) - those rules are still in place in NT7 when using the managed mode - http://www.ninjatrader.com/support/h...d_approach.htm

However to offer more flexibility for customer strategies we added the unmanaged mode with NT7 as well, it would only offer 3 basic methods (SubmitOrder, ChangeOrder, CancelOrder) and no signal tracking, thus removing the order handling rules limitations - http://www.ninjatrader.com/support/h...d_approach.htm

[cziber]

Fantastic, this is just what I need. Thanks much guys!
Mark