unmanaged/partial fills anc changeorder

[trtrav]

Hi,
I am having some issues with the unmanaged orders. I am missing something.
Example:
My strategy sumbits a long order for let's say 100 contracts.
20 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 20 on each.
40 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 40 on each.
25 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 25 on each.
10 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 10 on each.
1 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 1 on each.
1 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 1 on each.
1 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 1 on each.
1 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 1 on each.
1 contracts get filled.
In onexecution I get a partfilled status and submit a stop loss and profit target order with 1 on each.

within onbarupdate:
My strategy hits certain measurments and I decide I want to move stop losses to break even so I run:
ChangeOrder(SomeStopLossOrder, Position.Quantity, 0, MyChangeToPrice);

It seems Position.Quantity varies, sometimes being 100 or anywhere in between.
What I think I am missing is that I need to create an array of iOrders, something like SomeStopLossOrder[5] so that when I am doing a ChangeOrder it would look like:
loop through count of SomeStopLossOrder
ChangeOrder(SomeStopLossOrder[i], Position.Quantity, 0, MyChangeToPrice);
If this is the correct method to attack this then I would also have to have something that tracks the quantity partially filled that is associated with each SomeStopLossOrder[i].

Am I understanding this correctly? There certainly aren't much in depth examples using the unmanaged approach.

Thanks

[NinjaTrader_RyanM1]

trtrav,

There is not a complete sample available, as it's designed for programmers already familiar with our advanced framework. The property you may be looking for here is execution.Order.Filled.

This is the total cumulative filled from a specific Order object.

To see the types of values you can expose from an execution event, try Printing these two:

Print(execution.Order.ToString());
Print(execution.ToString());

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

[trtrav]

When I use execution.Order.Filled for submitting stop loss and profit target orders within OnExecution, I get all the trade quantities correct except the last fill which ends up being the total filled. I use execution.Quantity instead and it works fine.

The issue is when I go to change and order to break even. I use ChangeOrder on the stop loss iOrder object. Which quantity should I use for that and if it references the iOrder object which of the partial fills does it end up changing?

[NinjaTrader_RyanM1]

You only have one order object, even if that object is filled partially multiple times.

If you want ChangeOrder() on a stop loss to reflect the total filled from an entry, can use execution.Order.Filled, from the execution event.

Position.Quantity should be what you're looking for as well. Can you show us your usage so we have an idea why it doesn't match the actual position quantity?

Best is to print everything you can, and monitor output for these values during partial fill cases.

This sample does not use unmanaged approach, but can be a good introduction to working with these advanced handlers and IOrders:

http://www.ninjatrader.com/support/forum/showthread.php?t=7499

You should be familiar with all the types of values you can access before trying to do the same type of strategy using unmanaged approach.

[trtrav]

Thanks for the help. What I was doing was overwriting the iOrder object with additional stop loss and profit target orders on every partial fill. I changed it so that if the iOrder object was not null to do a changeorder. Looking back it was pretty stupid what I was doing, but I can see how some strategies would never be affected by the bug I had created.

Now, when I do a changeorder to move to break even there is only 1 order as there should be.

[NinjaTrader_RyanM1]

OK, glad to hear you tracked it down. Thanks for updating us with the solution.

[marekj]

ChangeOrder quantity

if I want to change:

1) target order linked with stop order by OCO and
2) target order is partially filled

what should I use:

1) ChangeOrder(targetOrder, targetOrder.Quantity, Close[0], targetOrder.StopPrice);
or
2) ChangeOrder(targetOrder, targetOrder.Quantity - targetOrder.Filled, Close[0], targetOrder.StopPrice);

I'm not sure what quantity Is should use. Of course I want keep OCO link with right quantities.

[NinjaTrader_Bertrand]

Where do you issue the ChangeOrder command? In OnExecution()? The second variant would be needed to keep the scenario of a partial fill in mind.

[marekj]

I'm amending order using ChangeOrder from OnBarUpdate.

For quantity, should I use

1) targetOrder.Quantity - targetOrder.Filled (as you recommended) or
2) Position.Quantity or
3) doesn't matter, both will work for the case I described?