Avg.Fill.Price

[flexi]

I just downloaded SampleOnOrderUpdate and I am having difficulties with the changing Position.AveragePrice to entryOrder.Avg.FillPrice. I want the breakeven to use the average price of the specific IOrder in this case entryOrder. When I replace Position.AveragePrice with entryOrder.Avg.FillPrice then backtesting is not godd.




protected override void Initialize()
{
CalculateOnBarClose = true;
}

/// <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 (entryOrder == null && CurrentDayOHL().CurrentOpen[0] > PriorDayOHLC().PriorHigh[0] && ToTime(Time[0]) > ToTime(8, 30, 0) && ToTime(Time[0]) < ToTime(8, 46, 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 we have a long position and the current price is 4 ticks in profit, raise the stop-loss order to breakeven.
We use (7 * (TickSize / 2)) to denote 4 ticks because of potential precision issues with doubles. Under certain
conditions (4 * TickSize) could end up being 3.9999 instead of 4 if the TickSize was 1. Using our method of determining
4 ticks helps cope with the precision issue if it does arise. */
if (Position.MarketPosition == MarketPosition.Long && Close[0] >= Position.AvgPrice + (7 * (TickSize / 2)))
{
// Checks to see if our Stop Order has been submitted already
if (stopOrder != null && stopOrder.StopPrice < Position.AvgPrice)
{
// Modifies stop-loss to breakeven
stopOrder = ExitLongStop(0, true, stopOrder.Quantity, Position.AvgPrice, "MyStop", "MyEntry");
}
}

[NinjaTrader_ChelseaB]

Hi flexi,

The code you have posted is still using Position.AvgPrice.

What code are you currently using to use the entryOrder.AvgFillPrice?

Are you checking that the entryOrder is not null?

If you print the entryOrder.AvgFillPrice just before calling it, what is the value that prints?
http://www.ninjatrader.com/support/h.../nt7/print.htm

[flexi]

That seems the problem. Can you give me example of the code that I should implement in order to
use the AvgFillPrice ?

[NinjaTrader_ChelseaB]

Hi flexi,

In the conditions you would use the entryOrder.AvgFillPrice.

For example:
if (Position.MarketPosition == MarketPosition.Long && entryOrder != null)
Print(entryOrder.AvgFillPrice.ToString());

if (Position.MarketPosition == MarketPosition.Long && entryOrder != null && Close[0] >= entryOrder.AvgFillPrice + (7 * (TickSize / 2)))

[flexi]

Now when I put that code back-testing is working but it is not moving the stop to breakeven.
So it is ignoring completely this commands. It is only taking profit and make loses, no breakeven. Can you tell me if everything is ok now? I put my whole code in the attachment.


{
if (Position.MarketPosition == MarketPosition.Long && entryOrder != null)
{
Print(entryOrder.AvgFillPrice.ToString());
}

if (Position.MarketPosition == MarketPosition.Long && entryOrder !=null && Close[0] >= entryOrder.AvgFillPrice + (160 * (TickSize / 2)))
{
// Checks to see if our Stop Order has been submitted already
if (stopOrder != null && stopOrder.StopPrice < entryOrder.AvgFillPrice)
{
// Modifies stop-loss to breakeven
stopOrder = ExitLongStop(0, true, stopOrder.Quantity, entryOrder.AvgFillPrice, "MyStop", "MyEntry");
}

[NinjaTrader_ChelseaB]

Hi flexi,

What is the printed entryOrder.AvgFillPrice that is showing in the Output window?

Are there any errors in the log?

What price is the stop being initially set to?
What is showing as the price the stop is being modified to?

[flexi]

entryOrder.AvgFillPrice was not printing on the output window. But I moved the whole condition in the OnExecution part and no is printing fine. The only problem now is the following condition is not working in the OnExecution part:

Close[0] >= execution.Order.AvgFillPrice

Is there some alternative for the closing price in the OnExecution part?

[NinjaTrader_ChelseaB]

Hi flexi,

The entryOrder.AvgFillPrice will print as long as there is an order that was saved to the entryOrder IOrder handle.

This is not in the code of post #5 so I am assuming that the code that places the order is the same. The price should print 1 bar after the order is entered.

What code is currently being used to place the order?

Is entryOrder still null when you use it?


Close[0] is available in OnExecution(). If you print close what prints to the output window?

[flexi]

Ok Close is now fine when I addes brackets. But when I return the entryOrder.AvgFillPrice in the
protected override void OnBarUpdate() part there is no print in the output windows and no errors as well. Bellow is the whole context so please tell me if I miss something

protected override void OnBarUpdate()
{
// Submit an entry limit order if we currently don't have an entry order open
if (entryOrder == null && CurrentDayOHL().CurrentOpen[0] > PriorDayOHLC().PriorHigh[0] && ToTime(Time[0]) > ToTime(8, 30, 0) && ToTime(Time[0]) < ToTime(8, 46, 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 we have a long position and the current price is 4 ticks in profit, raise the stop-loss order to breakeven.
We use (7 * (TickSize / 2)) to denote 4 ticks because of potential precision issues with doubles. Under certain
conditions (4 * TickSize) could end up being 3.9999 instead of 4 if the TickSize was 1. Using our method of determining
4 ticks helps cope with the precision issue if it does arise. */

{
if (Position.MarketPosition == MarketPosition.Long && entryOrder != null)
Print(entryOrder.AvgFillPrice.ToString());


if (Position.MarketPosition == MarketPosition.Long && entryOrder !=null && (Close[0] >= entryOrder.AvgFillPrice + (80 * (TickSize / 2))))
{
// Checks to see if our Stop Order has been submitted already
if (stopOrder != null && stopOrder.StopPrice < entryOrder.AvgFillPrice)
{
// Modifies stop-loss to breakeven
stopOrder = ExitLongStop(0, true, stopOrder.Quantity, entryOrder.AvgFillPrice, "MyStop", "MyEntry");
}

[NinjaTrader_ChelseaB]

Hi flexi,

With your curly braces cannot tell what is going on.

{
if (Position.MarketPosition == MarketPosition.Long && entryOrder != null)
Print(entryOrder.AvgFillPrice.ToString());

Where is the if statement proceeding this?
If there is no if statement, why is this curly brace here?

If this is the complete code, then there is a missing closing curly brace.

Perhaps it would help if you export your code and post the export.

To export your script do the following:

1. Click File -> Utilities -> Export NinjaScript
2. Enter a unique name for the file in the value for 'File name:'
3. Select the strategy from the objects list on the left -> click the right facing arrow ">" to add the strategy to the export
4. Click the 'Export' button -> click 'yes' to add any referenced indicators to the export -> click OK to clear the export location message

By default your exported file will be in the following location:

• (My) Documents/NinjaTrader 7/bin/Custom/ExportNinjaScript/<export_file_name.zip>

Below is a link to the help guide on Exporting NinjaScripts.
http://www.ninjatrader.com/support/h...nt7/export.htm

[flexi]

I attached my code. I am reall not sure why

Print(entryOrder.AvgFillPrice.ToString()); is not returning anything in the output window

Thanks for your time

[NinjaTrader_ChelseaB]

Hi flexi,

Thanks for the export.

(edited)
The issue is that you are setting entryOrder to null when it fills and not when the trade is exited in OnOrderUpdate and OnExecution.

This means nothing will print in OnBarUpdate because you have basically erased that variable by setting it to null.

[flexi]

Thanks for the quick replay.

So is there a way that I can disable setting the entryOrder to null when it fills?

[NinjaTrader_ChelseaB]

Hi flexi,

It would be preferable to set the entryOrder to null once the exit order has filled.

Also, if you are asking how to not set entryOrder to null once it fills, just remove the code. Its on line 113. (The one on line 88 is ok, I see now this is for when the entryOrder is cancelled.)