Check order on a price level

[er111222]

Hi,

How do I set up a condition to check whether there are any working orders on a price level?

[NinjaTrader_Joydeep]

Hello er111222,
You can assign an object while submitting the order and from there you can check the order state of the order. For example:

//submit order
IOrder ord = EnterLongLimit(Close[0] - 10 * TickSize);

//check the order state
if (ord != null && ord.OrderState == OrderState.Working)
{
   // do stuff
}

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?iorder.htm

[er111222]

I am using unmanaged order management and my strategy put many orders around levels. I need to check whether there are any order on a price level given only the price.

[NinjaTrader_Joydeep]

Hello er111222,
IOrder will work for UnManaged orders too. In case of multiple orders you can create a generic list of IObjects and store the values there.

in variable

List<IObject> listOrd = new List<IOrder>();

in OnBarUpdate

IOrder ord = SubmitOrder(0, OrderAction.Buy, OrderType.Limit, 1, Close[0] - TickSize * 10, 0, "", "Buy Limit");

listOrd.Add(ord);

//loop through the list to get the values

Please let me know if I can assist you any further.

[er111222]

I am not a programmer, so do get a bit into detail if possible.
I tried the following, is it correct?

In variables:

List<IOrder> listOrd = new List<IOrder>();
                private IOrder es_0 = null;
		private IOrder es_1 = null;
		private IOrder es_2 = null;
		private IOrder es_3 = null;

protected override void OnStartUp()
		{
double level_0 = 1234
double level_1 = 1235
double level_2 = 1236
double level_3 = 1237

private void Es_0()
{es_0 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_0, 0, "", "es_0");}
private void Es_1()
{es_1 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_1, 0, "", "es_1");}
private void Es_2()
{es_2 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_2, 0, "", "es_2");}
private void Es_3()
{es_3 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_3, 0, "", "es_3");}

listOrd.Add(es_0, level_0);
listOrd.Add(es_1, level_1);
listOrd.Add(es_2, level_2);
listOrd.Add(es_3, level_3);
}

How to get say IOrder es_2 when given the price of level_2? Should I set another class for (es_2, level_2) and do something like:

private class TheOrder : IEquatable<TheOrder>
{
 private TheOrder(order, level)
    {
     this.Order = order;
     this.Level = level;
    }
    
    private IOrder Order {get; set;}
    private double Level {get; set;}
}

or do something like this:

public class MultiMap<V>
		{	
			Dictionary<double, List<V>> _dictionary =
	        new Dictionary<double, List<V>>();
			
			public void Add(double key, V value)
			{
				orderId.Add(level_0, es_0);
				orderId.Add(level_1, es_1);
				orderId.Add(level_2, es_2);
				orderId.Add(level_3, es_3);

As I am not a programmer, I have searched and read a lot trying to solve the issue but a bit confuse as to which is the most simplest application for this situation?

[NinjaTrader_Joydeep]

Hello er111222,
I will simply loop through the list. For example

foreach (IOrder o in listOrd)
{
	if (o != null && o = es_1)
	{
		//do stuff
	}
}

Please let me know if I can assist you any further.

[er111222]

The question is I don't know which IOrders are sitting on the level, each level has 2 different IOrders, (for example: es_1 and ts_1), all I know is the price of the level. I need to find the IOrders and check whether they are working or not, then do something.

[NinjaTrader_Joydeep]

Hello er111222,
You can compare the IOrder directly.

From help files

To check for equality you can compare IOrder objects directly

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?iorder.htm

In your code the listOrd is a list of IOrder and not a list of the private class TheOrder.

List<IOrder> listOrd = new List<IOrder>();

Anyway, had it been a list of TheOrder, then also you can directly compare the order objects.

Please let me know if I can assist you any further.

[er111222]

May be you have answered my question but I still don't get it, my question is "How to get say IOrder es_2 when given the price of level_2?" where is "level_2" in the solution?

I have spent the weekend trying to work this out but still can not compile, done a test code in random levels using another class to make 1 key with 2 values in dictionary and TryGetValue to get the working orders (es_2 and ts_2 on level_2). Please correct my code as follows:

#region Using declarations
using System;
using System.ComponentModel;
using System.Collections.Generic;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

namespace NinjaTrader.Strategy
{
    [Description("Enter the description of your strategy here")]
	
    public class dictionaryTest : Strategy
    {
        #region Variables
		private bool _initialized = false;
		private double levelGap = 8;
		private double SRHigh = 0;
        private double SRLow = 0;
		
        private double level_0 = 0;
		private double level_1 = 0;
		private double level_2 = 0;
		private double level_3 = 0;
		private double level_4 = 0;
		private double level_5 = 0;
		
		private IOrder shortR1        = null;
		private IOrder shortR11       = null;
		private IOrder longS11        = null;
		private IOrder longS1         = null;
		
List<IOrderValue>>();
		private IOrder Order1 = null;
		private IOrder Order11 = null;
		
		private IOrder ts_0 = null; 
		private IOrder ts_1 = null;  
		private IOrder ts_2 = null;
		private IOrder tl_3 = null;
		private IOrder tl_4 = null;
		private IOrder tl_5 = null;
		
		private IOrder es_0 = null;    //exit short
		private IOrder es_1 = null;
		private IOrder es_2 = null;
		private IOrder el_3 = null;
		private IOrder el_4 = null;
		private IOrder el_5 = null;
		
		List<double>listSR = new List<double>();
	
        #endregion

        protected override void Initialize()
        {
            Unmanaged = true;
			DefaultQuantity = 1;
			ConnectionLossHandling = ConnectionLossHandling.Recalculate;
            DisconnectDelaySeconds = 5; // Disconnect has to be at least 5 seconds
			ExitOnClose = true;
            ExitOnCloseSeconds = 60; // Triggers the exit on close function 30 seconds prior to session end
			IncludeCommission = true;
			TraceOrders = true;
			BarsRequired = 1;
			CalculateOnBarClose = false;
			
        }
		
		private void Es_0()
		{es_0 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_0, 0, "", "es_0");}
		private void Es_1()
		{es_1 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_1, 0, "", "es_1");}
		private void Es_2()
		{es_2 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_2, 0, "", "es_2");}
		private void Es_3()
		{el_3 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_3, 0, "", "el_3");}
		private void Es_4()
		{el_4 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_4, 0, "", "el_4");}
		private void Es_5()
		{el_5 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_5, 0, "", "el_5");}
		
		private void Ts_0()
		{ts_0 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_0, 0, "", "ts_0");}
		private void Ts_1()
		{ts_1 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_1, 0, "", "ts_1");}
		private void Ts_2()
		{ts_2 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_2, 0, "", "ts_2");}
		private void Ts_3()
		{tl_3 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_3, 0, "", "tl_3");}
		private void Ts_4()
		{tl_4 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_4, 0, "", "tl_4");}
		private void Ts_5()
		{tl_5 = SubmitOrder(0, OrderAction.Sell, OrderType.Limit, DefaultQuantity, level_5, 0, "", "tl_5");}
		

        protected override void OnStartUp()
			{
				//random levels
					double firstGap = Math.Round(levelGap/2);
					double level_0 = Close[0] + firstGap * TickSize;
					double level_1 = level_0 + levelGap * TickSize;
					double level_2 = level_1 + levelGap * TickSize;
					double level_3 = level_0 - levelGap * TickSize;
					double level_4 = level_3 - levelGap * TickSize;
					double level_5 = level_4 - levelGap * TickSize;
				
				listSR.Add(level_0);
				listSR.Add(level_1);
				listSR.Add(level_2);
				listSR.Add(level_3);
				listSR.Add(level_4);
				listSR.Add(level_5);
			}
		
		protected void FindSR()
			{ 
				listSR.Sort();
				for (int x = 0; x < listSR.Count; x++)
				{
					if (listSR[x] > Close[0])
						{
							SRHigh = listSR[x];
							if (x != 0) SRLow = listSR[x - 1];
							break;
						}
					if (listSR[x] > Close[0]) SRLow = 0;
					if (listSR[x] < Close[0]) SRHigh = 0;
				}
			}
		
		public class Orders
		{
			public IOrder Order1 { get; set; }
			public IOrder Order11 { get; set; }
		}

		protected void Dictionary()
		{
            Dictionary<double, Orders> dict = new Dictionary<double, Orders>();
            dict.Add(level_0, new Orders { Order1 = es_0, Order11 = ts_0 });
            dict.Add(level_1, new Orders { Order1 = es_1, Order11 = ts_1 });
			dict.Add(level_2, new Orders { Order1 = es_2, Order11 = ts_2 });
            dict.Add(level_3, new Orders { Order1 = el_3, Order11 = tl_3 });
			dict.Add(level_4, new Orders { Order1 = el_4, Order11 = tl_4 });
            dict.Add(level_5, new Orders { Order1 = el_5, Order11 = tl_5 });
			
				if (dict.TryGetValue(level_2, out Orders(Order1)))
				{
                                 shortR1 = Order1
				}
        }
		
        protected override void OnBarUpdate()
		{
			if (!_initialized)
				_initialized = true;
			if (BarsInProgress != 0)  return;
			if (CurrentBar < 0)      return;
			
			FindSR();
			
			Dictionary();
		}	
			
        #region Properties
        #endregion
    }
}

The following is the other code I have tried, just some ideas if needed otherwise ignore it:

// Dictionary<double, Orders> order = new Dictionary<double, Orders>();
// order.Add(level_0, es_0, ts_0);
// order.Add(level, new Record("a", "b", true, true, 1, "c"));

// public class order : Dictionary<double, IOrderValue>
// {
// Dictionary<double, IOrderValue> order = new Dictionary<double, IOrderValue>();
//// order.Add(level_0, (Order1=es_0, Order11=ts_0));
// order.Add(level_0, new IOrderValue(Order1, Order11) (es_1, ts_1));
// order.Add(level_0, new IOrderValue{Order1 = es_0, Order11=ts_0 });
// order.Add
// }

// protected void FindOrders()
// {
// var orders = new List<KeyValuePair<IOrder, IOrder>>();
// orders.Add(new KeyValuePair<IOrder, IOrder>(es_0, ts_0));
// orders.Add(new KeyValuePair<IOrder, IOrder>(es_1, ts_1));
// orders.Add(new KeyValuePair<IOrder, IOrder>(es_2, ts_2));
// orders.Add(new KeyValuePair<IOrder, IOrder>(es_3, ts_3));
// orders.Add(new KeyValuePair<IOrder, IOrder>(es_4, ts_4));
// orders.Add(new KeyValuePair<IOrder, IOrder>(es_5, ts_5));
// Dictionary<double, orders> dic = new Dictionary<double, orders>();
// }
// public struct MyValue
// {
// public IOrder es_0;
// public IOrder ts_0;
// }
// public class MyDictionary : Dictionary<double, MyValue>
// {
// public void Add(double key, IOrder value1, IOrder value2)
// {
// MyValue val;
// val.Value1 = value1;
// val.Value2 = value2;
// this.Add(key, val);
// }
// }
// Dictionary<double, MyValue> dict = new Dictionary<double, MyValue>();
// dict.Add(level_0, new
// public class IOrders
// {
// Orders<KeyValuePair<IOrder, IOrder>> orders = new Orders<KeyValuePair<IOrder, IOrder>>();
// orders.Add(new KeyValuePair(IOrder, IOrder)(es_0, ts_0));
// orders.
// }

[NinjaTrader_Joydeep]

Hello er111222,
To compare the IOrder with an price please refer to the below code

//if filled
if (es_2.OrderState == OrderState.Filled || es_2.OrderState == OrderState.PartFilled)
{
	if (es_2.AvgFillPrice == level_2)
	{
		//do something
	}
}
else //if not filled compare it with the limit price
{
	
	if (es_2.LimitPrice == level_2)
	{
		//do something
	}
}

Here es_2 is the IOrder object and the level_2 is the price.
I have compared the price with the Avgerage Fill Price (if order is filled/partfilled) or with the limit price (if not filled)

Your code has too many generic C# elements which is unfortunately beyond what we could support.