Cancel and replace a limit order with invoked ATM

[daven]

I have a working strategy which invokes an ATM. It is working but I could significantly improve its performance if I could use a limit order to enter instead of a market order. The problem with that is when the price moves away I'm stuck in the strategy, leaving behind an orphan entry. I would like to try something like "If order not filled on current bar, move entry to close of this bar, or move entry to market order." Have you got some reference code that will show me how to implement a cancel and replace from with in a strategy, that has invoked an ATM? The entry is actually an ATM entry on the DOM so I think this may be more complicated than I think?

[NinjaTrader_Ray]

No reference sample that I can think of.

See this - http://www.ninjatrader-support.com/H...ntryOrder.html