Unexpected behavior of OnOrderUpdate() calls with Intrabar data

[rkm2011]

Hi,
Although I am using Intrabar data (1Min), the OnOrderUpdate() was always called on the main time frame (60Min)

Here are the specifics:
Instrument: ES ##-##
Main Time Frame = 60 Min
Secondary Time Frame = 1 Min
Bar in question was on 11/16/2012 at 11:30 AM
The Buy order was filled at 1350.75 at time 11:30AM
The Profit target was filled at 1354.75 at time 11:30AM
Looking at the 1Min Chart, I see that the 1354.75 level was not touched until 12:16PM

So, it looks like the OnOrderUpdate() is called only on the 60Min time frame.

I printed 'Time[0]' at the beginning of OnOrderUpdate(). Here are the fills of the Buy and the Profit Target:
OnOrderUpdate Time: 11/16/2012 11:30:00 AM
IOrder Order='NT-00081/Sim101' Name='Buy' State=Filled Instrument='ES ##-##' Action=Buy Limit price=0 Stop price=0 Quantity=1 Strategy='RKMTest' Type=Market Tif=Gtc Oco='' Filled=1 Fill price\
=1350.75 Token='27ebb46b1e1f48589cfab756b19f1d66' Gtd='12/1/2099 12:00:00 AM'

OnOrderUpdate Time: 11/16/2012 11:30:00 AM
IOrder Order='NT-00083/Sim101' Name='Profit target' State=Filled Instrument='ES ##-##' Action=Sell Limit price=1354.75 Stop price=0 Quantity=1 Strategy='RKMTest' Type=Limit Tif=Gtc Oco='NT-00\
050-4323' Filled=1 Fill price=1354.75 Token='8ce78dd643fc489093af083bda429056' Gtd='12/1/2099 12:00:00 AM'

The Code for the strategy is attached.

Thanks,
Robert.

[NinjaTrader_JC]

Hello Robert,

That is because the order was placed on the 60 Minute time frame or the BarsInProgress = 0 value. If you would like an intrabar fill you may view the following thread that has a reference sample that you may download.

http://www.ninjatrader.com/support/f...ead.php?t=6652

Let us know if we can be of further assistance.

[rkm2011]

Hi JC,
How do I get a login to the ninjatrader-helpdesk.com to view the reference sample you indicated?

Thanks.

[NinjaTrader_JC]

Hello rkm2011,

I apologize for the incorrect link, it is a reference sample from our Support Forums. I have changed the link and will post it again below.

http://www.ninjatrader.com/support/forum/showthread.php?t=6652

[rkm2011]

Hi JC,
Thanks for the link.
I have corrected the code to enter on secondary time frame:
EnterLong(1, DefaultQuantity, "");

But the result is still the same as before.
The new code is attached.

[NinjaTrader_JC]

Hello Robert,

Using Market order you typically will not need intrabar fills as they will be filled. Could you clarify what you are expecting to happen and what is actually happening?

Happy to be of further assistance.

[rkm2011]

JC,
If you go back to my original post, you'll see that the problem is with the Profit Target (which
is a stop limit order; not a market order) where it seems to be filled on the 60Min time frame.
I expect NT to evaluate it on 1Min time frame. So in this example, I expect NT to call
OnOrderUpdate() at time 12:16PM (or later). I thought this the whole point of specifying the 1Min
data series. Did I misunderstand the intent of intrabar?

The code I attached is a toy example. I am trying to understand the behavior of this intrabar data
because I am seeing similar unexpected behavior in my actual strategy.

Thanks.

[NinjaTrader_Bertrand]

Robert, thanks for the clarification - if you're using the Set methods they would always be evaluated on the primary series - so would not use the 1 min you added in here in your script. To be able to pass the stops / targets to a finer series for more accuate backesting, please use the Exit methods which offer a dedicated BarsInProgress parameter to submit against.

http://www.ninjatrader.com/support/helpGuides/nt7/exitlonglimit.htm

All the best,