Optimalization Error

[tranta]

Hello, in output window prints: **NT** Error on calling 'OnOrderUpdate' method for strategy 'Aranka/4dc509782d9141c0b28c27ff97df2552': More than 100 subsequent user events
Could anybody help me whit it?

[NinjaTrader_Jesse]

Hello

When you get this message it could possibly mean there is an error in your logic possibly creating an infinite recursion..

I would recommend taking a look at this post as another user has had a similar question

http://www.ninjatrader.com/support/forum/showthread.php?t=16359

There are a couple of ways to debug this.

First double check your logic to ensure there are no unwanted loops causing this to happen.

If there are no errors you can also try using this undocumented property in your Initialize method

MaxProcessedEvents = 100; // or a number of your choosing

Please let me know if I may be of additional assistance.

[tranta]

Thank You..

[tranta]

I adde condition but it still writes error

**NT** Error on calling 'OnOrderUpdate' method for strategy 'Aranka/d704eaa931bf4aa5a0bb6cbc7671a22e': More than 99 subsequent user events

#region Using declarations
using System;
using System.ComponentModel;
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

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class Aranka : Strategy
    {
       
        #region Variables
        private IOrder entryOrder     = null; // This variable holds an object representing our entry order
        private IOrder stopOrder     = null; // This variable holds an object representing our stop loss order
        private IOrder targetOrder     = null; // This variable holds an object representing our profit target order
        private double diff = 1; // Default setting for Diff
       
        private int profitTarget = 1; // Default setting for ProfitTarget
        
        private IOrder entryOrder1     = null; // This variable holds an object representing our stop loss order
        // User defined variables (add any user defined variables below)
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
            MaxProcessedEvents = 99;
        }
        
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Submit an entry limit order if we currently don't have an entry order open
            if (Low[0] == CurrentDayOHL().CurrentLow[0] && entryOrder == null && Close[0] > Open[0])
            {
                /* The entryOrder object will take on a unique ID from our EnterLong()
                that we can use later for order identification purposes in the OnOrderUpdate() method. */
                entryOrder = EnterLong(1, "MyEntry");
                
                
            }
            
            if (Low[0] == CurrentDayOHL().CurrentLow[0]&& (entryOrder != null||entryOrder1 != null) && Close[0] > Open[0] && High[0] < Variable0 - Diff * TickSize)
            {
                /* The entryOrder object will take on a unique ID from our EnterLong()
                that we can use later for order identification purposes in the OnOrderUpdate() method. */
                entryOrder1 = EnterLong(1, "MyEntry1");
            }
            
            
        }

        /// <summary>
        /// Called on each incoming order event
        /// </summary>
        protected override void OnOrderUpdate(IOrder order)
        {
            if (entryOrder != null && entryOrder.OrderState == OrderState.Filled) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);
                
                
            }
            if ((entryOrder != null && entryOrder.OrderState == OrderState.Filled) && (entryOrder1 != null && entryOrder1.OrderState == OrderState.Filled)) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);
                
            }    

            if ((entryOrder != null && entryOrder == order) || (entryOrder1 != null && entryOrder1 == order))
            {    
                
                if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
                {
                    
                entryOrder1 = null;
                entryOrder = null;
                }
            }
        }
        
        /// <summary>
        /// Called on each incoming execution
        /// </summary>
        protected override void OnExecution(IExecution execution)
            
        {
            if ((entryOrder != null && entryOrder == execution.Order ) || (entryOrder1 != null && entryOrder1 == execution.Order))
            Variable0 = execution.Price;
            Print(Variable0);
            
        }

        /// <summary>
        /// 
        /// </summary>
        protected override void OnPositionUpdate(IPosition position)
        {
            if     (Position.MarketPosition == MarketPosition.Flat)
        {
                entryOrder1 = null;
                entryOrder = null;
        }
            
            DrawTextFixed("MyTag", position.ToString(), TextPosition.BottomRight);
        }

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public double Diff
        {
            get { return diff; }
            set { diff = Math.Max(0, value); }
        }

        

        [Description("")]
        [GridCategory("Parameters")]
        public int ProfitTarget
        {
            get { return profitTarget; }
            set { profitTarget = Math.Max(1, value); }
        }
        #endregion
    }
} 

Could you hlep me?

[NinjaTrader_Jesse]

Hello tranta,

Thank you for the question.

I took a look into the code you provided.

I have used a Print statement in each of your order handling statements and found where this message would be stemming from.

It looks like in the logic in the OnOrderUpdate method the ExitLongLimit is being called over and over again.

Here is the section of code that I found is being called

 protected override void OnOrderUpdate(IOrder order) 
{ 
     if (entryOrder != null && entryOrder.OrderState == OrderState.Filled)  
     { 
           ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize); 
           Print("Order"); // this is what is being called over and over     
     }

When using the print you can see it happens both on a chart and also in the back test through the output window. The back test gives you the message that it is being called more than X amount of times but not in the chart.

I tried setting a higher limit to the MaxProcessedEvents but it would seem this loops no matter how high the number is so I don't believe MaxProcessedEvents would be helpful in this case as there is no end to the loop that is created.

From here I would recommend taking a look at your OnOrderUpdate method and see if you can re work the logic here to prevent the loop.

Please let me know if I may be of additional assistance.

[koganam]

I adde condition but it still writes error

#region Using declarations
using System;
using System.ComponentModel;
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

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class Aranka : Strategy
    {
       
        #region Variables
        private IOrder entryOrder     = null; // This variable holds an object representing our entry order
        private IOrder stopOrder     = null; // This variable holds an object representing our stop loss order
        private IOrder targetOrder     = null; // This variable holds an object representing our profit target order
        private double diff = 1; // Default setting for Diff
       
        private int profitTarget = 1; // Default setting for ProfitTarget
        
        private IOrder entryOrder1     = null; // This variable holds an object representing our stop loss order
        // User defined variables (add any user defined variables below)
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
            MaxProcessedEvents = 99;
        }
        
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Submit an entry limit order if we currently don't have an entry order open
            if (Low[0] == CurrentDayOHL().CurrentLow[0] && entryOrder == null && Close[0] > Open[0])
            {
                /* The entryOrder object will take on a unique ID from our EnterLong()
                that we can use later for order identification purposes in the OnOrderUpdate() method. */
                entryOrder = EnterLong(1, "MyEntry");
                
                
            }
            
            if (Low[0] == CurrentDayOHL().CurrentLow[0]&& (entryOrder != null||entryOrder1 != null) && Close[0] > Open[0] && High[0] < Variable0 - Diff * TickSize)
            {
                /* The entryOrder object will take on a unique ID from our EnterLong()
                that we can use later for order identification purposes in the OnOrderUpdate() method. */
                entryOrder1 = EnterLong(1, "MyEntry1");
            }
            
            
        }

        /// <summary>
        /// Called on each incoming order event
        /// </summary>
        protected override void OnOrderUpdate(IOrder order)
        {
            if (entryOrder != null && entryOrder.OrderState == OrderState.Filled) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);
                
                
            }
            if ((entryOrder != null && entryOrder.OrderState == OrderState.Filled) && (entryOrder1 != null && entryOrder1.OrderState == OrderState.Filled)) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);
                
            }    

            if ((entryOrder != null && entryOrder == order) || (entryOrder1 != null && entryOrder1 == order))
            {    
                
                if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
                {
                    
                entryOrder1 = null;
                entryOrder = null;
                }
            }
        }
        
        /// <summary>
        /// Called on each incoming execution
        /// </summary>
        protected override void OnExecution(IExecution execution)
            
        {
            if ((entryOrder != null && entryOrder == execution.Order ) || (entryOrder1 != null && entryOrder1 == execution.Order))
            Variable0 = execution.Price;
            Print(Variable0);
            
        }

        /// <summary>
        /// 
        /// </summary>
        protected override void OnPositionUpdate(IPosition position)
        {
            if     (Position.MarketPosition == MarketPosition.Flat)
        {
                entryOrder1 = null;
                entryOrder = null;
        }
            
            DrawTextFixed("MyTag", position.ToString(), TextPosition.BottomRight);
        }

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public double Diff
        {
            get { return diff; }
            set { diff = Math.Max(0, value); }
        }

        

        [Description("")]
        [GridCategory("Parameters")]
        public int ProfitTarget
        {
            get { return profitTarget; }
            set { profitTarget = Math.Max(1, value); }
        }
        #endregion
    }
} 

Could you hlep me?

Look again at your OnOrderUpdate(). The argument that you supply is never referenced in the body of the event handler, so the event is called on EVERY order update. Your argument is order, but inside the body of your event handler, the reference is to entryOrder. As long as the body conditions are met, you are adding to whatever structure holds the data, and per your code, that data is independent of whatever order is actually being processed.

[tranta]

Thank you, but could you be more specific? Im beginner in the coding.

[koganam]

Thank you, but could you be more specific? Im beginner in the coding.

Even before that, what are the errors recorded in your log?

In the meantime, here is a piece of what you wrote, with the mismatched non-references highlighted in red text.

[COLOR=#000000][COLOR=#FF8000][/COLOR][COLOR=#007700]protected [/COLOR][COLOR=#0000BB]override void OnOrderUpdate[/COLOR][COLOR=#007700]([/COLOR][COLOR=#0000BB]IOrder [B][COLOR=Red]order[/COLOR][/B][/COLOR][COLOR=#007700])
        {
            if ([/COLOR][COLOR=#0000BB][B][COLOR=Red]entryOrder[/COLOR][/B] [/COLOR][COLOR=#007700]!= [/COLOR][COLOR=#0000BB]null [/COLOR][COLOR=#007700]&& [/COLOR][COLOR=Red][B]entryOrder[/B][/COLOR][COLOR=#007700].[/COLOR][COLOR=#0000BB]OrderState [/COLOR][COLOR=#007700]== [/COLOR][COLOR=#0000BB]OrderState[/COLOR][COLOR=#007700].[/COLOR][COLOR=#0000BB]Filled[/COLOR][COLOR=#007700]) 
            {
                [/COLOR][COLOR=#0000BB]ExitLongLimit[/COLOR][COLOR=#007700]([/COLOR][COLOR=#0000BB]Position[/COLOR][COLOR=#007700].[/COLOR][COLOR=#0000BB]AvgPrice [/COLOR][COLOR=#007700]+ [/COLOR][COLOR=#0000BB]ProfitTarget[/COLOR][COLOR=#007700]* [/COLOR][COLOR=#0000BB]TickSize[/COLOR][COLOR=#007700]);
                
                
            }
            if (([/COLOR][COLOR=#0000BB][B][COLOR=Red]entryOrder[/COLOR][/B] [/COLOR][COLOR=#007700]!= [/COLOR][COLOR=#0000BB]null [/COLOR][COLOR=#007700]&& [/COLOR][B][COLOR=Red]entryOrder[/COLOR][/B][COLOR=#007700].[/COLOR][COLOR=#0000BB]OrderState [/COLOR][COLOR=#007700]== [/COLOR][COLOR=#0000BB]OrderState[/COLOR][COLOR=#007700].[/COLOR][COLOR=#0000BB]Filled[/COLOR][COLOR=#007700]) && ([/COLOR][COLOR=#0000BB]entryOrder1 [/COLOR][COLOR=#007700]!= [/COLOR][COLOR=#0000BB]null [/COLOR][COLOR=#007700]&& [/COLOR][COLOR=#0000BB]entryOrder1[/COLOR][COLOR=#007700].[/COLOR][COLOR=#0000BB]OrderState [/COLOR][COLOR=#007700]== [/COLOR][COLOR=#0000BB]OrderState[/COLOR][COLOR=#007700].[/COLOR][COLOR=#0000BB]Filled[/COLOR][COLOR=#007700])) 
            {
                [/COLOR][COLOR=#0000BB]ExitLongLimit[/COLOR][COLOR=#007700]([/COLOR][COLOR=#0000BB]Position[/COLOR][COLOR=#007700].[/COLOR][COLOR=#0000BB]AvgPrice [/COLOR][COLOR=#007700]+ [/COLOR][COLOR=#0000BB]ProfitTarget[/COLOR][COLOR=#007700]* [/COLOR][COLOR=#0000BB]TickSize[/COLOR][COLOR=#007700]);
                
            }    
...}
[/COLOR][/COLOR]

[tranta]

Thank you for your help. Screenshot of log is attached.

[NinjaTrader_Jesse]

Hello tranta,

I just wanted to follow up with the error you have attached.

Is this image prior to or after the changes to your protected override void OnOrderUpdate(IOrder order) section?

I ran the code using the changes that koganam has suggested and was able to eliminate the error from being listed. This is the code I have tried:

protected override void OnOrderUpdate(IOrder [COLOR="Red"]order[/COLOR])
        {
            if ([COLOR="red"]order [/COLOR]!= null && [COLOR="red"]order[/COLOR].OrderState == OrderState.Filled) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);               
            }
            if (([COLOR="red"]order [/COLOR]!= null && [COLOR="red"]order[/COLOR].OrderState == OrderState.Filled) && (entryOrder1 != null && entryOrder1.OrderState == OrderState.Filled)) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);   
            }    

            if ((entryOrder != null && entryOrder == order) || (entryOrder1 != null && entryOrder1 == order))
            {    
                if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
                {
                entryOrder1 = null;
                entryOrder = null;
                }
            }
        }

Note the text in red, these are the items I have changed otherwise it is identical to what you have created.

I have changed the entryOrder to order which is being returned from the OnOrderUpdate.

Also i have remove the MaxProcessedEvents from Initialize because the error is not being reported so it is not needed.

Please let me know if I may be of additional assistance.

[tranta]

Hello tranta,

I just wanted to follow up with the error you have attached.

Is this image prior to or after the changes to your protected override void OnOrderUpdate(IOrder order) section?

I ran the code using the changes that koganam has suggested and was able to eliminate the error from being listed. This is the code I have tried:

protected override void OnOrderUpdate(IOrder [COLOR="Red"]order[/COLOR])
        {
            if ([COLOR="red"]order [/COLOR]!= null && [COLOR="red"]order[/COLOR].OrderState == OrderState.Filled) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);               
            }
            if (([COLOR="red"]order [/COLOR]!= null && [COLOR="red"]order[/COLOR].OrderState == OrderState.Filled) && (entryOrder1 != null && entryOrder1.OrderState == OrderState.Filled)) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);   
            }    

            if ((entryOrder != null && entryOrder == order) || (entryOrder1 != null && entryOrder1 == order))
            {    
                if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
                {
                entryOrder1 = null;
                entryOrder = null;
                }
            }
        }

Note the text in red, these are the items I have changed otherwise it is identical to what you have created.

I have changed the entryOrder to order which is being returned from the OnOrderUpdate.

Also i have remove the MaxProcessedEvents from Initialize because the error is not being reported so it is not needed.

Please let me know if I may be of additional assistance.

Thank you for your ansver, I made changes in the code how you wrote, but now stategy doesnt exit from positions. Could you help me whit it?

#region Using declarations
using System;
using System.ComponentModel;
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

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class Aranka : Strategy
    {
       
        #region Variables
        private IOrder entryOrder     = null; // This variable holds an object representing our entry order
        private IOrder stopOrder     = null; // This variable holds an object representing our stop loss order
        private IOrder targetOrder     = null; // This variable holds an object representing our profit target order
        private double diff = 1; // Default setting for Diff
       
        private int profitTarget = 1; // Default setting for ProfitTarget
        
        private IOrder entryOrder1     = null; // This variable holds an object representing our stop loss order
        // User defined variables (add any user defined variables below)
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
            
        }
        
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
            
        {
            if (Low[0] == CurrentDayOHL().CurrentLow[0]&& (entryOrder != null||entryOrder1 != null) && Close[0] > Open[0] && High[0] < Variable0 - Diff * TickSize)
            {
                /* The entryOrder object will take on a unique ID from our EnterLong()
                that we can use later for order identification purposes in the OnOrderUpdate() method. */
                entryOrder1 = EnterLong(1, "");
            }
            
            // Submit an entry limit order if we currently don't have an entry order open
            if (Low[0] == CurrentDayOHL().CurrentLow[0] && entryOrder == null && Close[0] > Open[0])
            {
                /* The entryOrder object will take on a unique ID from our EnterLong()
                that we can use later for order identification purposes in the OnOrderUpdate() method. */
                entryOrder = EnterLong(1, "");
                
                
            }
            
            
            
            
        }

        /// <summary>
        /// Called on each incoming order event
        /// </summary>
        protected override void OnOrderUpdate(IOrder order)
        {
            
            
            if (order != null && order.OrderState == OrderState.Filled) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);
//                ExitLongLimit(Mn, Position.AvgPrice + ProfitTarget* TickSize, "Flat", "MyEntry" );
//                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize, "", "");
//                if (Close[0] > Position.AvgPrice + ProfitTarget* TickSize)
//                {
//                    ExitLong();
//
//                }    
//                
                
                
            }
            
            
            if ((order != null && order.OrderState == OrderState.Filled) && (entryOrder1 != null && entryOrder1.OrderState == OrderState.Filled)) 
            {
                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize);
//                ExitLongLimit(Mn, Position.AvgPrice + ProfitTarget* TickSize, "Flat", "MyEntry" );
//                ExitLongLimit(Mn, Position.AvgPrice + ProfitTarget* TickSize, "Flat1", "MyEntry1" );
//                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize, "", "" );
//                ExitLongLimit(Position.AvgPrice + ProfitTarget* TickSize, "MyFlat", "MyEntry");
                
                
            }    
            

            if ((entryOrder != null && entryOrder == order) || (entryOrder1 != null && entryOrder1 == order))
            {    
                
                if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
                {
                    
                entryOrder1 = null;
                entryOrder = null;
                }
            }
        }
        
        /// <summary>
        /// Called on each incoming execution
        /// </summary>
        protected override void OnExecution(IExecution execution)
            
        {
            if ((entryOrder != null && entryOrder == execution.Order ) || (entryOrder1 != null && entryOrder1 == execution.Order))
            Variable0 = execution.Price;
            Print(Variable0);
            
        }

        /// <summary>
        /// 
        /// </summary>
        protected override void OnPositionUpdate(IPosition position)
        {
            
            if     (Position.MarketPosition == MarketPosition.Flat)
        {
                entryOrder1 = null;
                entryOrder = null;
        }
            
            DrawTextFixed("MyTag", position.ToString(), TextPosition.BottomRight);
        }

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public double Diff
        {
            get { return diff; }
            set { diff = Math.Max(0, value); }
        }
        
        

        [Description("")]
        [GridCategory("Parameters")]
        public int ProfitTarget
        {
            get { return profitTarget; }
            set { profitTarget = Math.Max(1, value); }
        }
        #endregion
    }
}