OnExecution vs OnOrderUpdate?

[ErikHR]

I have a strategy that trades multiple instruments. I only want one active order at a time. So I am using this to make sure I do not have more than one active order:

 
protected override void OnBarUpdate()
{
    if (entryOrder == null && Close[0] > Open[0])
[SIZE=2]     entryOrder = EnterLongLimit(GetNumSharesToBuyViaAccountSize(Close[0]), Instrument.FullName);[/SIZE]
}

Will either of these work to clear out the object after the trade is placed?

 
protected override void OnExecution(IExecution execution) {
if (entryOrder != null && entryOrder == execution.Order) {
Print(execution.ToString());
entryOrder = null;
}
}
 
protected override void OnOrderUpdate(IOrder order) {
if (entryOrder != null && entryOrder == order) {
Print(order.ToString());
if (order.OrderState == OrderState.Filled)
entryOrder = null;
}
}

I also need to keep track of how much money is in my account so I assume I will need to use IOrder.AvgFillPrice and IOrder.Quantiy
Does it make a difference weather I use OnExecution or OnOrderUpdate for gathering this information?
For the partial fill case will OnOrderUpdate and/or OnExecution get called mutiple times with
OrderState.PartFilled and then one final time with
OrderState.Filled or do I just agregate the values when I get OrderState.PartFilled?

I will be using MB Trading so how does this effect the code:

When using MBT and NinjaScript strategies in combo, please be aware of the disclaimer we added to the MBT account creation process -

MB Trading position events are generated before orders are executed. Since NinjaTrader relies on execution events to come prior to position events, you will experience limitations with tracking positions from the Strategies tab of the Control Center and trying to rely on the standard sequence of events (order execution before position) in NinjaScript.

Thanks,
Erik

[NinjaTrader_Brett]

Hello,

It does not matter which method you use and the OnOrderUpdate() will be called multiple times for each order state. Please see order state definition here:

http://www.ninjatrader.com/support/helpGuides/nt7/order_state_definitions.htm

Let me know if I can be of further assistance.

[ErikHR]

Is there a way to force partial fills in backtesting?

In 6.5 there was an option for ByStrategyPosition vs PerEntryExecution in the script order handling section of options dialog. Is this still configurable if so where and what is the default?

Thanks,
Erik

[NinjaTrader_JoshP]

Erik,

Those options were only applicable in real-time in 6.5 likewise in 7. When you add a strategy, there is an option under the Order Handling section of the strategy parameters that lets you select ByStrategyPosition or PerEntryExecution. Default is PerEntryExecution.

There is no way to force partial fills in a backtest. If the price is penetrated, it will fill you on the order completely. Partial fill testing needs to be done in real-time.

[ErikHR]

Josh,

I did not notice when I was looking at ByStrategyPosition or PerEntryExecution before that it is only for Stop Losses and Profit targets. Does this mean for EnterLong and ExitLong calls I do not need to worry about incurring extra commisions?

Thanks,
Erik

[NinjaTrader_Brett]

Hello,

Yes if there submitted as seperate orders, i.e. scaling in to a position.

However if you get a partial fill your broker will not charge you double commission.

Let me know if I can be of further assistance.