Opposite orders on same bar in 6.5

[xbond]

I have the following strategy consisting in having a short order and long limit order on each bar:

protectedoverridevoid OnBarUpdate()
{
(...)
EnterLongLimit(long_limit);
EnterShortLimit(short_limit);
}
This was working fine in 6.0, both in simulation & live.

Having migrated to 6.5, only the first order is now placed (ie the long one in the case above, or the short one if I reverse the instructions order)

Is this normal? Any possible workaround?

[NinjaTrader_Ray]

This is correct behaviour in 6.5.

Please see the following link and scroll to bottom for order handling rules.

http://www.ninjatrader-support.com/HelpGuideV6/Overview36.html

[xbond]

Indeed...

Thanks Ray.

[xbond]

Another oddity after the migration to 6.5, this time related to stop loss orders:

protectedoverridevoid Initialize()
{
SetStopLoss(200);
}

protectedoverridevoid OnBarUpdate()
{
(...)
ExitLongLimit(DefaultQuantity, LongLimit,"ExitL","long");
}

In simulation under 6.5, it seems that the stop loss now overrides the limit order. A TraceOrders shows that the limit orders are submitted, but they never get executed.

How can I submit an OCO order, where if the limit order is executed, the stop is automatically cancelled?

[NinjaTrader_Ray]

Not sure I follow.

- Remaining exit orders are automatically cancelled as a position is exited

[xbond]

The issue is that the limit orders are no longer executed if a stop order exists.

[NinjaTrader_JoshP]

Please see this article on Internal Order Handling Rules. http://www.ninjatrader-support.com/H...verview36.html

[xbond]

Yes, I can see that the stop loss overriding the limit order is a design feature in 6.5.

But the question is, how do I implement a basic OCO order in 6.5?

ie once an entry order is submitted, I need an profit target and a stop order attached, either of which will be executed in a live environment even if the internet connection goes down etc...

[NinjaTrader_Ray]

You can have stop/targets submitted via SetStopLoss() and SetProfitTarget(). There are no methods available that will submit stop/targets on a entry order that is unfilled at a time of disconnect but then is filled during disconnect.