Code Execution Sequence

[reynoldsn]

I would like to clarify code execution between the OnBarUpdate and OnExecution event handlers.

Suppose I get a signal and EnterLong() in OnBarUpdate. Code in my OnExecution handler will fire. Is it true that as soon as EnterLong() is called, the OnExecution handler runs and completes and then returns to execute the line of code following EnterLong() in OnBarUpdate?

[NinjaTrader_ZacharyG]

Hello reynoldsn,

Thank you for your inquiry.

The OnExecution() method runs on an incoming execution (or fill) of an order. It is entirely possible for other code to execute before OnExecution() is even called when using EnterLong(). Here's a simple example to test this out:

private int realTimeTicks = 0;

protected override void OnBarUpdate()
{
     if (realTimeTicks == 150)
     {
          EnterLong();
          Print("EnterLong() called!");
     }

     if (!Historical)
     {
          realTimeTicks++;
          Print(String.Format("{0} ticks", realTimeTicks));
     }
}

protected override void OnExecution(IExecution execution)
{
     if (!Historical)
     {
          Print("OnExecution() called!");
     }
}

In my output window:

EnterLong() called!
151 ticks
152 ticks
153 ticks
154 ticks
155 ticks
156 ticks
157 ticks
158 ticks
159 ticks
160 ticks
161 ticks
162 ticks
163 ticks
164 ticks
165 ticks
166 ticks
167 ticks
168 ticks
169 ticks
170 ticks
171 ticks
172 ticks
173 ticks
174 ticks
175 ticks
176 ticks
177 ticks
178 ticks
179 ticks
180 ticks
181 ticks
182 ticks
183 ticks
184 ticks
185 ticks
186 ticks
187 ticks
188 ticks
189 ticks
190 ticks
191 ticks
192 ticks
193 ticks
194 ticks
195 ticks
196 ticks
197 ticks
198 ticks
OnExecution() called!

As you can see, ticks were still printing out after we called EnterLong() and before OnExecution() was called.

To reiterate, OnExecution() is not called directly after an EnterLong(). It is called once an order is filled.

Here is a link to our help guide for more information about OnExecution(): http://ninjatrader.com/support/helpG...nexecution.htm

[reynoldsn]

OK, I wasn't clear on this and it turns out I need to fix my strategy accordingly.

However, I only found it as I let the strategy run in sim mode against a live data feed. This problem has never been seen during Market Replay or using the Backtester after many, many tests. I wonder why the Market Replay simulation engine never exposed this. Can you please explain?

[koganam]

OK, I wasn't clear on this and it turns out I need to fix my strategy accordingly.

However, I only found it as I let the strategy run in sim mode against a live data feed. This problem has never been seen during Market Replay or using the Backtester after many, many tests. I wonder why the Market Replay simulation engine never exposed this. Can you please explain?

There is really nothing to explain. The Execution event has nothing to do with the BarUpdate event, so how they relate is essentially indeterminate. BarUpdate is an event triggered by a tick, Execution is triggered by an execution, whenever the order is executed, which can be anytime after the order is issued.

Yes, even market orders do not always execute immediately; at least not before other ticks may have come in. How an order executes is determined by the exchange, not NT.