PartialFills and LimitOrder

[DarthTraderson]

Hi,

I have a question about PartialFills. I have some strategies which trades 3-5 contracts with market orders. Partial-Fill occurs, but everything seems to be fine.

How often is the OnExecution-Method called? For every partial-fill?
How often is the OnOrderUpdate-Method called? For every partial-fill?

Does NTt cumulate the contracts and change the stop/target orders automatically?

Now I have a range-system with Unmanaged-Approach. I want to trade form, outside to inside the range. For example for Short-Trades I use a LimitOrder with Submit-Order method. With 1 contract it works fine, but how could it work with 2 or more contracts?

My OnExecution-Methods looks like this:

if    (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || 
                 (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
            { ....

if (entryOrderShort != null && entryOrderShort == execution.Order)
{
                    ....
                    
                    double entryPrice = entryOrderShort.AvgFillPrice;
                    
                    if (Position.MarketPosition == MarketPosition.Short)
                    {                            

                        stopLevel = entryPrice + stopLossTicks*TickSize;    
                        targetLevel = entryPrice - profitTargetTicks * TickSize;
                                
                        stopOrder = SubmitOrder(0, OrderAction.BuyToCover, OrderType.Stop, entryOrderShort.Filled, 0, stopLevel, "OCO " +this.Name, "Initial-Stop");
                        targetOrder = SubmitOrder(0, OrderAction.BuyToCover, OrderType.Limit, entryOrderShort.Filled, targetLevel, 0, "OCO " +this.Name, "Profit-Target");
                    }
}

I set stop and profitTarget in OnExecution but yesterday with 2 contracts only target for 1 contract was set to the market. Is it possible that this relies on the Limit-Order?
With Market in other strategies it seems to work well.

How do I have to handle Partial-Fills in this case correctly? Do I need to use Market-Orders?

Thx
DT

[NinjaTrader_Bertrand]

DT, yes OnExecution and OnOrderUpdate are called multiple times if you receive partial fills - the orderstate would first be Partial filled state and then go finally to filled - you would see the IOrder .Filled amount be amended as executions are received.

For the managed mode it would depend if you run by ByStrategyPosition or PerEntryExecution - http://www.ninjatrader.com/support/h...d_approach.htm

In the unmanaged mode it would be whatever you coded it to be - you start sending out the exit bracket on a Partial Filled but would need to ensure the qty's resting are matching the needed ones the fully .Filled state is given.

[DarthTraderson]

Ok, thank you for clarification. But in which method should I correct the Order-Fill-Quantities? In OnOrderUpdate or OnExecution?

Is it correct that in first Fill I have to submit a new Order and in further fills I have to only change this order?

I read the Online-Help and my conclusion is, that the properties ByStragyPosition / ByEntry... only are relevant, when using SetStopLoss / SetProfitTarget. Is this correct?

Do I care about my Limit-Order-Scenario with more than 4,5, .... contracts. That means, will the limit-sell Order in the example above be migrated to a market order, when price is touched and all contracts are going to be filled?

Thx
DT

[NinjaTrader_Bertrand]

You would monitor for incoming fills in your OnExecution() - you can either call SubmitOrder() again using the same signal name so it would then update the resting order or you explicitly ChangeOrder() it for the new quantity.

Correct, PerEntryExecution / ByStrategyPosition is used in the managed order submission approach which would include the Set() methods.

I'm not following your last question - why should the limit order turn into a marketable one? Have you implemented logic to change it's price at a point to achieve this outcome?

Thanks,

[DarthTraderson]

Ok, thank you. The limit issue is very special and is not regarding to this thread. Could we discuss it per email? Please send me a mail, where I can describe the issue in more detail.

[NinjaTrader_Bertrand]

Sure DT, you can reach me directly at support at ninjatrader dot com and then simply put to my Attn.