OnExecutionUpdate.BarInProgress()

[tornadoatc]

Hello,

I would like to better understand how what the BarsInProgress property is updated with in the OnExecutionUpdate().

Is it the BIP value of where the original order was created?

For instance an a BuyLong order could be created in BIP=0 and the SetStopLoss could have last been updated in BIP=2.

Understanding that NT is EventDriven and the SetStopLoss order is effectively "in the Market" there is no real BIP value when this Stop Loss Order is executed.

Please correct me if my understanding is wrong.

Therefore, is the BIP property on the OnExecutionUpdate always the BIP value where order was generated?

Thanks,

[NinjaTrader_ChelseaB]

Hello tornadoatc,

A stop loss is filled with each tick in real time and for the most part fills ignore the BarsInProgress other than knowing what instrument that the order was placed to. It will then use the real time stream (not OnBarUpdate) to fill the order. When the order fills, OnExecutionUpdate will be triggered.

Historically, if you add different time frames of the same instrument, all price values from all time frames will be able to fill that order. If you add a 1 minute, 5 minute, and 10 minute series to a chart, and place an order only on the 10 minute series, the 1 minute series will still provide price data to fill that order each minute.

The BarsInProgress is for your logic, not really for the order fills.