Reject orders

[ryker]

Hello,

I would like to know if there is a way to handle reject messages:
1. is a reject order a cause for the termination of a strategy
2. is there a way to handle reject in the code (example?)?

Thanks

[NinjaTrader_Dierk]

1) You could code the OnOrderUpdate method: http://www.ninjatrader-support.com/H...derUpdate.html
Also: http://www.ninjatrader-support.com/H...rHandling.html
2) I believe the is no code sample. To double check you should consult the references section of this forum

[ryker]

1) You could code the OnOrderUpdate method: http://www.ninjatrader-support.com/H...derUpdate.html
Also: http://www.ninjatrader-support.com/H...rHandling.html
2) I believe the is no code sample. To double check you should consult the references section of this forum

Would be great to have some examples.

Thanks

[NinjaTrader_JoshP]

There is no explicit example, but you can use the OnOrderUpdate() sample as a jumping off point. It pretty much has 95% of the framework done. All you need is to set RealtimeErrorHandling and just check if the order state is rejected and do something like resubmitting the order if that is the case.

[ryker]

By setting that value:
RealtimeErrorHandling.TakeNoAction
This won't cause the strategy to terminate itself?

[NinjaTrader_JoshP]

It will not terminate, but you will need to be absolutely certain you have handled every possible scenario or else something bad may occur if some order messes up.

[ryker]

It's really important in the case of rejected stops or targets (although missing an opportunity as a cost as well) as the loss can be quite big if not noticed quickly enough so from the link above I don't have the impression that I can have many scenarios in that case except trying to get out of the position.

[ryker]

I had a look at my logs and noticed that there was a difference on the rejected orders:

18/07/2008 18:16:23|1|32|Order='176177141/U486316' Name='ShortStop' New State=Cancelled Instrument='ER2 09-08' Action=BuyToCover Limit price=0 Stop price=690.3 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error='Order Canceled - reason:COULD NOT VALUE THIS CONTRACT AT THIS TIME (202)'
18/07/2008 18:18:12|1|32|Order='6a202e5a82624413829dedf356d84 338/U486316' Name='SDLong' New State=Rejected Instrument='YM 09-08' Action=Buy Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=OrderRejected Native error='Order rejected - reason:COULD NOT VALUE THIS CONTRACT AT THIS TIME (201)'

The first one which was a stop order is considered as cancelled and the second one which was a market order is considered as rejected. Was wondering why is there a difference between these 2 rejects as they look quite similar (except the difference on the order and the difference on the number). Is this a difference coming from IB?

Thanks

[NinjaTrader_JoshP]

Being cancelled is completely different than being rejected. Rejected is something that happens either at the brokerage or exchange. Cancelled is generally something that your strategy is doing forcing an order cancellation (e.g. stop loss cancels after profit target fills)

[ryker]

Josh,
I perfectly understand the difference between a cancel and a reject but if you had read my post a bit closely you would have seen that the cancel comes from IB and not from the strategy:
Native error='Order Canceled - reason:COULD NOT VALUE THIS CONTRACT AT THIS TIME (202)'
Note that the message is very similar to the reject message. Is this difference from IB?

[NinjaTrader_Ray]

Not sure what these error messages mean, you would need to check with IB for more information on this.

[ryker]

Is this possible to make a difference between an IB cancel (like above) and a strategy cancel (like for example if a profit target is hit and the strategy cancels the stop order)?

[NinjaTrader_Ray]

Unfortunately not.

[SteveB]

When trying to handle rejected orders...

How does one get to the "Native Error" as found in the Log?

[NinjaTrader_Ray]

This is currently not supported.