flight executions & over-fills

[levikNT]

Hello,

1. what is a flight executions? can I get examples to this?
2. When I get an Over fill error and How can I avoid this?

Sincerely ,Kobi

[NinjaTrader_CalH]

Hello Kobi,

Thank you for your note.

An in-flight execution is when a cancel request is sent but on the way to the server the order was filled. Thus the cancel order request is rejected and will cause the Overfill.

You can view the last section of the help guide link below on more information for overfills -
http://www.ninjatrader.com/support/h...d_approach.htm

[levikNT]

Hello Cal,

Thank you for your response.

I prefer to use the managed approach .

basically to enter long position in OnBarUpdate() I use
EnterLongStopLimit(int barsInProgressIndex, bool liveUntilCancelled , int quantity, double limitPrice, double stopPrice, string signalName)
and in OnExecution() I submit the stop using
ExitLongStopLimit(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double limitPrice, double stopPrice, string signalName, string fromEntrySignal)

How can I avoid Over-filled situation ?

Sincerely,Kobi

[NinjaTrader_CalH]

Kobi,

The Managed approach has a set of rules to cancel the strategy from Overfills in order to protect to you.

If you want to work around the Overfills or ignore them, you will need to use the Unmanaged approached
in order to use IgnoreOverFill

Let me know if I can be of further assistance.

[poseidon_sthlm]

Overfill and CancelOrder() in the managed approach

Hello!

I have some thoughts about overfills caused by "in flight executions" in live trading. I would prefer to use the managed approach, but I don't want NT to suddenly stop my strategy in the middle of a session because of an overfill error.

I use the managed approach with entry orders that are "live until cancelled". The scenario I'm concerend about is what happens if an order is filled or partly filled after I send a cancel request and before my cancel request reaches my brooker. The obvious solution is to minimize latency, but some latency will always remain.

1. Can a simple CancelOrder(IOrder) request result in an overfill error ?

2. If one instead would use the "simple approach" and only resubmit entry orders, can this also result in an overfill? (For instance if you resubmit the entry order with a modified entry price and the original order gets filled before the modified order reaches the brooker.)

3. How common is this over fill issue if you trade the Emini on a 5 min chart? Is there a way to test this in a simulation environment?

Regards,
poseidon_sthlm

[NinjaTrader_CalH]

Hello Poseidon,

1) Most in-flight executions happen this way. Cancelling an order while it has already been filled.

2) With the simple approach that you are talking about here, the order would be cancelled and then re-submitted in this case. Therefore, if the order was filled before the cancel and that was sent we would then have the overfill. However, this is an isolated and rare case

3) It will depend on how you code your strategy but the majority of these do not have issues with Overfills