Change the quantity of an ATM strategy

[NinjaTrader_Bertrand]

No worries and sorry for the late reply - you can access the commissions for your strategies through the TradesCollection - http://www.ninjatrader.com/support/h...commission.htm

In my testing I did not see this happen for the AutoChase, it would be just one PartFilled order changing it's price as the chase steps work out.

So in your's script are you resubmitting the order only, or canceling and submitting fresh at the new price?

[AntiMatter]

I Initially enter my order thus:

private IOrder entryOrder = null;

entryOrder = EnterLongLimit(Quantity, GetCurrentBid() + Offset, "LongEntry");

Then If the bid price changes, I chase it by altering my order:

entryOrder = EnterLongLimit(Quantity, BidPrice + Offset, "LongEntry");

This is using the managed approach, which I thought this would just alter my order, not enter a new order.

[NinjaTrader_Bertrand]

Correct, this would just resubmit your order - which you would see if you check the Control Center order tab while the strategy works, it would just show one order in PartFilled state until Filled.

Perhaps it would be best if you check with IB how they would categorize this in their commission scheme when not being working with a REL order for example.

[AntiMatter]

OK thanks, yes that is what appears to be happening. At least its not my code ;-) it must be something with the IB API, I guess??? I will have a play around with the Auto Chase etc.

[AntiMatter]

Hi,

I have been using the OnMarketData() to get the current Ask/Bid in an attempt to mimic the AutoChase feature. Unfortunately , I have noticed significant slippage when using my script when compared to using the REL order type directly on Interactive Brokers.

I am trading some volatile markets. I think the problem seems to be all the lag with Data --> NinjaTrader --> MyScript --> ChangeMyOrder --> NinjaScript --> IB

By the time the order has changed, the market has often moved already! I'm thinking that whilst your AutoChase feature may be faster than my script, it may suffer from the same issue. I need an REL order with the broker/exchange to keep lag to the minimum.

So a couple of questions:

1) Any chance of REL/Pegged-to-primary orders being added to the features of NinjaTrader?

2) For the time being, I do really need to be sumbitting my orders as REL, it appears. The slippage with my current method really is too costly. Is it possible for NinjaScript to call an external program? Potentially, I could code something in VB which takes the order information from NinjaScript, and then fires off a REL order to IB. Any advice or thoughts on doing this?

Thanks again for the help!

[NinjaTrader_Bertrand]

AntiMatter, thanks for the suggestion and feedback - we'll add this to our list of suggestions to consider it in the future. You could look into the AT Interface to access NT from an external app - http://www.ninjatrader.com/support/h...ed_trading.htm