Stop fill quantity problem with partial fills

[HelenL]

Hi all, I have a strategy which places the stop "on execution". The problem is that when the order has partial fills, stops are placed for each fill, but each stop order replaces the earlier one so that I end up with a final stop order that is only as much as the last partial fill. This leaves a part of the position unprotected.
I would love some help with this :-)
Helen

[NinjaTrader_Bertrand]

Hi Helen, can you please post your OnExecution() used in your script so we could take a look?

[HelenL]

Hi Bertrand,
Thanks for taking a look and sorry there are quite a few lines here. The problem is likely to be with the use of execution.Quantity which will only hold the current fill quantity and each successive stop order replaces the last rather than adds to it. My preference is to wait until OrderState.Filled (true) and then place a stop for the whole position. (Note that this is not my code and I am in catch-up mode learning Ninjascript.)
Helen

#region Region_OnExecution
protected override void OnExecution(IExecution execution)
{
try
{
for(int i = 0 ; i < this.tradeList.Count ; i++)
{
// ENTRY / EXIT ORDER
if(this.tradeList[i].entryOrder != null)
{
if(this.tradeList[i].entryOrder == execution.Order)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
// Entry Order
if(execution.Name.Contains(sENTRY))
{
// Long Entry
if(execution.MarketPosition == MarketPosition.Long)
{
double sPrice = execution.Price - indAtr[0] * this.iAtrMult;

sTradeObject to;
to.bOfOrder = this.tradeList[i].bOfOrder;
to.entryOrder = this.tradeList[i].entryOrder;
//helen add print
Print("OnExecution follows:");
Print(execution.Name + " LONG Stop Price=" + sPrice + " Qty=" + execution.Quantity + " q=" );
to.stopOrder = ExitLongStop(sBIP, true, execution.Quantity, sPrice, sSTOP + "L" + this.tradeList[i].bOfOrder.ToString(), execution.Name);

this.tradeList.RemoveAt(i);
this.tradeList.Add(to);
}

// Short Entry
if(execution.MarketPosition == MarketPosition.Short)
{
double sPrice = execution.Price + indAtr[0] * this.iAtrMult;

sTradeObject to;
to.bOfOrder = this.tradeList[i].bOfOrder;
to.entryOrder = this.tradeList[i].entryOrder;
//helen add print
Print("OnExecution follows:");
Print(execution.Name + " SHORT Stop Price=" + sPrice + " Qty=" + execution.Quantity);
to.stopOrder = ExitShortStop(sBIP, true, execution.Quantity, sPrice, sSTOP + "S" + this.tradeList[i].bOfOrder.ToString(), execution.Name);

this.tradeList.RemoveAt(i);
this.tradeList.Add(to);
}
}

// if(execution.Order.OrderState == OrderState.Filled)
// this.tradeList[i].entryOrder = null;
}
}
}
// Stop Order
if(this.tradeList[i].stopOrder != null)
{
if(this.tradeList[i].stopOrder == execution.Order)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
if(execution.Order.OrderState == OrderState.Filled)
this.tradeList.RemoveAt(i);
}
}
}
}
}
catch
{

}

if(Position.MarketPosition == MarketPosition.Flat)
{
if(Performance.AllTrades.Count > 0)
{
if(Historical)
tVars.accountAmount = this.iInitialInvest + Performance.AllTrades.TradesPerformance.Currency.C umProfit;
else
tVars.accountAmount = GetAccountValue(AccountItem.CashValue);
}
}
}

[NinjaTrader_Bertrand]

Correct Helen, Execution.Quantity like is the issue here - we would advice using execution.Order.Filled, as this would increase as the individual fills are reported in and show your current total filled qty for the order, which would be good to amend the stop order to covering your position as needed.

[HelenL]

Hello Bertrand, thank you for your reply. Can I assume that execution.Order.Filled will provide the total position quantity at the point in time that OrderState.Filled is true? This can then be passed to ExitLongStop in place of execution.Quantity?
Also, it would be great if you could point me to documentation on this as I could not find any!
Thanks
Helen

[NinjaTrader_Bertrand]

That's correct Helen, it would accumulate the incoming fills seen for the IOrder and not represent a single execution seen as in your initial case.

The docs could be found here (http://www.ninjatrader.com/support/h...iexecution.htm), mostly we refer clients to working alongside this reference sample we have put together -

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

[HelenL]

Hi Bertrand,
Thanks for adding these links - I had found the first one, but not the reference samples. They will be extremely useful, I think. Much appreciated!
Helen