Questions on SampleOnOrderUpdate

[josephktcheung]

Hi, I've been reading codes in SampleOnOrderUpdate. 1 thing I don't get is how the entryOrder variable gets assigned to an actual order.

protected override void OnOrderUpdate(Order order, double limitPrice, double stopPrice, int quantity, int filled, double averageFillPrice, OrderState orderState, DateTime time, ErrorCode error, string nativeError)
{
	// Handle entry orders here. The entryOrder object allows us to identify that the order that is calling the OnOrderUpdate() method is the entry order.
	if (entryOrder != null && entryOrder == order)
	{
        // Assign entryOrder in OnOrderUpdate() to ensure the assignment occurs when expected.
        // This is more reliable than assigning Order objects in OnBarUpdate, as the assignment is not gauranteed to be complete if it is referenced immediately after submitting
        entryOrder = order;

        // Reset the entryOrder object to null if order was cancelled without any fill
        if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
		{
			entryOrder = null;
		}
	}
}

The if block checks if entryOrder is not null and entryOrder equals to order then assign entryOrder to order. Why do we need to assign entryOrder to order if we've checked that they are equal?

And this entryOrder = order assignment only appears once in the whole script, which will never run when entryOrder is null initially.

I'm scratching my head and trying to figure out this bit. Could anyone shed some light on this? Thanks!

[NinjaTrader_JessicaP]

Hello josephktcheung, and thank you for your query.

You are indeed correct that assigning order to entryOrder is redundant, and can be removed as an optimization if you would like. This is a good catch and I thank you for bringing it to our attention.

I would like to reformat the code block you provided in pseudo-code to make it easier to go over what it is doing.

[FONT=Courier New]if (there is an existing entryOrder which matches the passed in order)
{
    set entryOrder to the passed in order;
    if (the order was cancelled)
    {
        unset entryOrder, there is now no existing entryOrder;
    }
}
[/FONT]

This code is a "no-op", which means that the compiler will simply erase it harmlessly. It is possible, given the comment, that this code was added in as a bug fix, which indicates that the code surrounding it needed to be modified at one point in time, rendering this block of code a "no-op".

[josephktcheung]

Thank you for the answer! Another question is about the first assignment of entryOrder. When is entryOrder assigned to order in SampleOnOrderUpdate? I can't find any part that does this, which means entryOrder is always null.

I guess 1 way to do this is there should be something like using order.Name to find the entry order and assign this order to entryOrder in onOrderUpdate().

if (entryOrder == null && order.Name == "MyEntry")
{
        entryOrder = order;
}

Is this the right way? Thanks again!

[NinjaTrader_JessicaP]

Hello again,

Your example is an excellent way of doing this. However, this would mean that entryOrder could only be set once for the life of the strategy. The names of the variables suggest that entryOrder should always be set to the current existing entry order. Given this, I would recommend removing the null check, and simply using

[FONT=Courier New]if (order.Name == "MyEntry")
{
    entryOrder = order;
}[/FONT]

[josephktcheung]

Cool! Thanks for the answer!