How to hook into order reversals

[molecool]

I have an automated trading strategy which is fully managed, however I do hook into OnOrderUpdate() and OnExecution() to send myself email notifications. Works just fine and I get emails when an entry is taken, a stop is hit, a stop needs to be moved, or a target has been hit. However with a new strategy I've run into an issue as it reverses direction when an inverse entry condition is encountered.

As you know when already long and a short entry is triggered NT will automatically close out the long position, and cancel the stop. Then it will take the short entry and set the stop as defined in the strategy.

The problem I'm having is that I am not receiving an email to close the old position when a position is being flipped. I do receive an email about the new entry and to set a new stop as the former is handled in my OnOrderUpdate method and the latter in my OnExecution() method.

However, I am not sure how I can catch the 'flip position' event. I would like to know when positions are being flipped so that I can email myself a 'close short' email before I get my 'go long' email. In other words I'm looking for the best method/way to hook into that.

i hope the above makes sense - if not please ask away. Thanks for any help in advance.

[NinjaTrader_ChelseaB]

Hi molecool,

Thanks for your note.

In the OnExecution the order to close the position is sent before the order to enter the opposite condition and can be found.

This order will have a name of "Close position".

For example:

if (execution.Name == "Close position")
// send email


Please let me know if you would like further assistance with this.

[molecool]

Awesome - that's what I was looking for. Thanks for the quick response :-)

[molecool]

Quick follow up for clarification

What I'm doing in OnExecution is the following:

protected override void OnExecution(IExecution execution) {
   try {
      System.Text.StringBuilder buffer = new System.Text.StringBuilder();
      
      if (exitOrder != null && exitOrder == execution.Order) {
         // do and log stuff
      }

      if (stopOrder != null && stopOrder == execution.Order) {
	// do and log stuff
      }

      if (entryOrder != null && (entryOrder == execution.Order)) {
					
         if (StopFlag && (execution.Order.OrderState == OrderState.Filled ||
            execution.Order.OrderState == OrderState.PartFilled 
	    || (execution.Order.OrderState == OrderState.Cancelled 
            && execution.Order.Filled > 0))) {
	
            if(execution.MarketPosition == MarketPosition.Long) {
		 // do and log stuff
             }
						
	     if(execution.MarketPosition == MarketPosition.Short) {
                 // log and do stuff
	     }
          }
      }
}

So should I just put this outside of all that? Perhaps right after the try { statement? Or would this best in the context of the entryOrder condition?

Thanks!

[NinjaTrader_ChelseaB]

Hi molecool,

I would think you would just make an if statement to check this inside of the try the same as your other checks.

[molecool]

Hi molecool,

I would think you would just make an if statement to check this inside of the try the same as your other checks.

Okay, I'll proceed as suggested. Thanks Chelsea.

[molecool]

Actually...

Hi again - I just noticed that I have this in my OnOrderUpdate method:

// If we reverse positions (e.g. long to short) within one session:
if (order.Name == "Close position") {					
	buffer.Append("CLOSE OPEN POSITION: ").Append(order.OrderAction)
        .Append(" at ").Append(order.AvgFillPrice).Append(" and clear all stops")
        .Append(".\n");
	if (enableLog) Print("Buffer inside OnOrderUpdate:\n" + buffer);
	stopOrder = null;
}

Obviously it was never called - is it because of it being in OnOrderUpdate? Sorry I didn't mention this earlier but I honestly wrote the base code of this four years ago so i totally forgot it was in there.

[NinjaTrader_ChelseaB]

Hello molecool,

Yes, this would be because it is in the OnOrderUpdate. Try moving that to OnExecution and changing to using the IExecution object instead of IOrder object. (The IExecution object will actually contain the IOrder object within it).

[molecool]

The journey continues

Hello molecool,

Yes, this would be because it is in the OnOrderUpdate. Try moving that to OnExecution and changing to using the IExecution object instead of IOrder object. (The IExecution object will actually contain the IOrder object within it).

I just looked into my mail history and back in June I found some occasions when this routine was actually hit on a position reversal.:



So I'm a bit confused. The context appears to be the same - a position reversal from a long to a short trade. But despite what you're saying this routine was executed properly. Then there are times when it is not. How would you explain that?

Sorry, I'm not trying to make your job more complicated but software cannot be intermittent - when it is then there's usually a special condition or a bug

Thanks again for your help.

[NinjaTrader_ChelseaB]

Hello molecool,

You are correct, the Close position does trigger OnBarUpdate...

Can you show me an example where this is not working?

[molecool]

Hello molecool,

You are correct, the Close position does trigger OnBarUpdate...

Can you show me an example where this is not working?

My current code is sending emails and only during live signals. Let me put in some log statements and see if I can replicate it either in historical or live mode. I'm going to respond here when I find such an occasion.