Order Filled before Execution?

[pcafstockf]

Hi,

I've spent hours studying the docs and searching the forum and still don't understand the timing and relationship between IOrder.Time, IExecution.Time and IOrder.OrderState.

I did read in one forum post that:
Order placement logic essentially happens at the end of each bar
Order submission logic essentially runs at the beginning of each bar
But I don't see how this explains what I'm seeing.

I'm backtesting a single symbol in the Strategy Analyzer using a 5 minute "Last" price strategy with the following code snippet:
protected override void OnExecution(IExecution execution) {
Print(execution.Order.Time +
" -- " + execution.Order.OrderState +
" -- " + execution.Time);
}

This prints the following line to the output window:
8/2/2011 7:45:00 AM -- Filled -- 8/2/2011 7:50:00 AM

The order is marked as "Filled" at 7:45, but the Fill does not actually happen until 7:50.

How can the Order be marked "Filled" an entire bar before the Execution?

PS
CalculateOnBarClose=false is the last line of my Initialize method (although my understanding is this doesn't have any effect during backtesting).

[NinjaTrader_RyanM1]

Hello pcafstockf,

Welcome to the NinjaTrader forums. Is 7:45 the signal bar - the bar the condition evaluates true? And then the order is filled on the 7:50 bar? This would fall in line with expectations: Condition evaluates true > Order submitted to next bar.

The source code for backtesting fills is here, and may help you a bit on what is going on internally:
Documents\NinjaTrader 7\bin\custom\type\@DefaultFillType, @LiberalFillType

[pcafstockf]

Hi Ryan,

Thanks for the speedy response.

I did forget to mention that this is a Market order.

Yes, I invoke ExitShort("Test") from OnBarUpdate when Time[0] was equal to 7:45.
The overall chain of events is logical to me.

* What I'm not understanding, is why the OrderState is set to "Filled" during the 7:45 (signal) bar, even though the Order isn't actually filled until the 7:50 bar?

When OnExecution is invoked:
BOTH Time[0] and IOrder.Time are 7:45. However, IExecution.Time seems to be set to a *future* time that has not yet happened (according to Time[0]).

[NinjaTrader_RyanM1]

This is an historical environment, so everything is simulated.
This time isn't the execution time:
execution.Order.Time

This property is the last time the order changes state. The order changes state on the signal bar. For the time on a fill, execution.Time is the property you need. OnExecution is always called after OnOrderUpdate(). There's internal strategy logic that is run after OnOrderUpdate, but before OnExecution, and why you would see different values between Order.Time and execution.Time.

[koganam]

Hi Ryan,

Thanks for the speedy response.

I did forget to mention that this is a Market order.

Yes, I invoke ExitShort("Test") from OnBarUpdate when Time[0] was equal to 7:45.
The overall chain of events is logical to me.

* What I'm not understanding, is why the OrderState is set to "Filled" during the 7:45 (signal) bar, even though the Order isn't actually filled until the 7:50 bar?

When OnExecution is invoked:
BOTH Time[0] and IOrder.Time are 7:45. However, IExecution.Time seems to be set to a *future* time that has not yet happened (according to Time[0]).

That sounds about right in a backtest.

The order reflects its current state, so what you are seeing is:

At 7:50 when the execution is reported (at the end of the bar), the order that was placed at 7:45 has been filled.

You may need to try this realtime in Sim. That will give you a more accurate picture, especially as, when live, OnExecution() does happen intrabar, and reflects it.

[pcafstockf]

Ryan, koganam,

Thanks guys, I think I get it.

I believe the following is true only when performing historical backtesting:

First OnBarUpdate is invoked, and Time[0] is truly 7:45.
Then OnOrderUpdate is called a few times (to reflect the state transitions), AND even though Time[0] equals 7:45 for each call, the meaning is really "sometime between 7:45 and 7:50".
Then OnExecution is called for any Fills that would occur "between 7:45 and 7:50"
Finally OnBarUpdate is invoked with Time[0] truly equal to 7:50 and the call chain repeats.

Like koganam suggested, I hadn't thought about the call chain in the context of missing intrabar data.

Please let me know if I misunderstood the "between 7:45 and 7:50" thing.

Thanks so much for your help and patience.