Stop not working

[blar58]

I need a bit of help. Haven't work on strategies for a while and can't make this code work ?

protected override void OnExecution(IExecution execution)
        {
			//We advise monitoring OnExecution to trigger submission of stop/target orders instead of OnOrderUpdate() since OnExecution() is called after OnOrderUpdate()
			//which ensures your strategy has received the execution which is used for internal signal tracking.
			
			// Stop-Loss order 3 ATR below our entry price
			// Resets the entryOrder object to null after the order has been filled or partially filled
			
			if (_entryBOrder != null)
			{
				if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
				{			
					_stopSOrder = ExitLongStop(1, execution.Order.AvgFillPrice - ((3*atr_indicator[0])));
//					_targetBOrder = ExitLongLimit(1, execution.Order.AvgFillPrice + (target * TickSize));
					
					if (execution.Order.OrderState != OrderState.PartFilled)
					{
						_entryBOrder	= null;
					}
				}
			}
			
			
			
			//We advise monitoring OnExecution to trigger submission of stop/target orders instead of OnOrderUpdate() since OnExecution() is called after OnOrderUpdate()
			//which ensures your strategy has received the execution which is used for internal signal tracking.
			
			// Stop-Loss order 3 ATR above our entry price
			// Resets the entryOrder object to null after the order has been filled or partially filled
			
			if (_entrySOrder != null)
			{
				if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
				{
					_stopBOrder = ExitShortStop(1, execution.Order.AvgFillPrice + (3*atr_indicator[0]));
						
//					targetSOrder = ExitShortLimit(1, execution.Order.AvgFillPrice - (target * TickSize));
					
					if (execution.Order.OrderState != OrderState.PartFilled)
					{
						_entrySOrder	= null;
					}
				}
			}
			
		}

This code is executed once I get filled on my initial entries.
My entries are working fine but my stop loss are not....


Thanks

[NinjaTrader_RyanM1]

Hi blar58,

Thanks for the post. Have you checked TraceOrders output for any messages related to submission of these orders? Any other working exit orders set so these would be ignored?

You may also want to review this sample on submitting these types of orders:

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

Main thing is missing the check that verifies your entry order is the order raising the execution event.

if (_entryBOrder != null && _entryBOrder == execution.order)

[blar58]

Ryan

Where do I have to do this check ? In the OnExecution method ?
If so I would have to use execution.Order

Also in my Trace Order I have a few Ignore ( Reason This was an exit order but no position exists to exit ) and Canceled "expired" Order

In the Trace Order it seems that it cancels the order "Cancelled expired order !

[NinjaTrader_RyanM1]

Yes, you're right. In OnExecution, that would be done with execution.Order.

From the trace orders output, it sounds like you're submitting those orders during other fills, so adding that check may help clean it up and only submit once the entry order fills.

[blar58]

Ryan

I did clen up my code but the problem persists. My stop orders are not executed

[blar58]

Ryan

I am using BarsInProgress in my code because I have two data series daily and 5 minutes.

The orders are triggered only on the 5 minutes and the OnExecution method is executed on the 5 minutes timeframe only so I do not need to refer these orders to BarsInProgress.

Am I right ?

I have also noticed that the stop get triggered if it happens ON THE SAME BAR. If not on the same bar they get canceled !

[NinjaTrader_RyanM1]

BarsInProgress shouldn't affect your order submission here, as you're monitoring for executions, not bar updates. The execution event is raised when the entry order is filled and this is what you're using for your protective order submission.

I have also noticed that the stop get triggered if it happens ON THE SAME BAR. If not on the same bar they get canceled !

This may explain what you're seeing. Your orders are submitted, but if they are not filled on the bar they're submitted to, then they're cancelled. In order to submit liveUntilCancelled orders, you must use this advanced overload, available for all non-market orders.

ExitLongStop(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double stopPrice, string signalName, string fromEntrySignal)

If you need to manually cancel this order for any reason, this reference sample can help:

http://www.ninjatrader.com/support/forum/showthread.php?t=18890