Avoiding crossing in-flight orders with limit orders and scaled entries

[kaydgee]

In Initialize(), I have:

Unmanaged = false;
CalculateOnBarClose = false;

In variables, I have:

IOrder order = null;
int numContracts = 0;

In OnBarUpdate(), I have:

// if going long, specify number of contracts in numContracts, if getting out of a long position set numContracts = 0

order = GoLong(numContracts, order);

In the execution function, I have the following:

		public IOrder GoLong(int numContracts, IOrder order)
		{
			if (order == null || order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Filled)
			{
				if (Position.MarketPosition == MarketPosition.Long)
				{
					if (Position.Quantity > numContracts)
						return ExitLongLimit(Math.Min(Position.Quantity - numContracts, (int) GetCurrentBidVolume()), GetCurrentBid());
					else if (Position.Quantity < numContracts && numContracts > 0)
						return EnterLongLimit(Math.Min(numContracts - Position.Quantity, (int) GetCurrentAskVolume()), GetCurrentAsk(), 
							Time[0].ToLongTimeString());
				}
				else return EnterLongLimit(Math.Min(numContracts, (int) GetCurrentAskVolume()), GetCurrentAsk(), Time[0].ToLongTimeString());
				if (numContracts >= 0)
					return ExitLongLimit(Math.Min(Position.Quantity, (int) GetCurrentBidVolume()), GetCurrentBid());
			}
			else return order;
		}

My question is whether the check of OrderState at the top of the execution function is sufficient to make sure that orders won't cross, yet still allow me to execute on every tick, with, in the worst case, orders canceling at the end of the bar, if not filled or cancelled. i.e. Is there any other OrderState that I need to check for if I don't want to have to wait any longer than the end of a bar to resubmit new orders?

[NinjaTrader_Bertrand]

kaydgee, I think you would also need to cover the PartFilled orderstate in your script. Per default the unfilled orders would expire on the next OnBarUpdate() call with the managed approach that you use.

[kaydgee]

Bertrand,

Thank you for clarifying. I guess I was under the mistaken impression that when CalculateOnBarClose == false, orders are only cancelled at the end of the bar, NOT on every call to OnBarUpdate().

In any case, though, won't the order just keep working if OrderState == PartFilled, and then revert to an OrderState of Cancelled on the next call to OnBarUpdate()?

If I check for OrderState == PartFilled, and then reissue an order, won't I have the situation that I'm trying to avoid? i.e. 2 working orders possibly causing an overfill?

[NinjaTrader_Bertrand]

You're welcome - correct the order would be kept working until filled then, unless you cancel order it via your code. I would reissue any entry order then, but you would need to ensure the incoming partials are taken care off by your exit orders. This would be better done then in OnExecution directly in such a case where you directly monitor for the incoming fills and amend exit orders on those seen.

[kaydgee]

... but you would need to ensure the incoming partials are taken care off by your exit orders. This would be better done then in OnExecution directly in such a case where you directly monitor for the incoming fills and amend exit orders on those seen.

If you notice, my ExitLongLimit() is driven by Position.Quantity. Won't this automatically account for partial fills?

[NinjaTrader_Bertrand]

Correct, this would update the exit order as well each time your routine is called - and Position.Quantity would be guaranteed to be update only on next OnBarUpdate() call, so if you moved this part to OnExecution() the timing for the exits would be likely more to the point.

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