terminal exit order

[NinjaTrader_Ray]

Targeting beta end of year but that is a moving target at this time.

[SystemTrading]

When will NT7 be available? I am having the same problem when cancelling my exit orders.

[NinjaTrader_Ray]

1) Unfortunately we do not. You could run with CalculateOnBarClose set to false or, use OnMarketData(), either approach is viable. The limitation here is that OnMarketData() can not be backtested.

2) We currently do not support MIT orders.

3) They are actually cancelled as soon as the Market order is submitted. In full disclosure, it is technically possible that you are filled on a stop/target and the market order at the same time if the cancel request came too late. Situations where this can happen is if your stop/target is trading within a few ticks of the current inside market. If you are in this situation, modify the price of the stop or target away from the market first, then monitor OnOrderUpdate() to make sure the change was aceppted, then send your market. In NT7, we expect to change this so that the stop/targets are confirmed cancelled before the market is submitted.

4) You should be able to send EnterShortMarket() for 2 to go short 2 from a position of long2.

[nfeldberg]

it might happen more than 2 times....

could you help me with the following questions:
1. do you have a sample ref of monitoring price to send market orders? does it means change the strategy to update every tick instead of every bar? or can I monitor the price in the marketdata methood? also is it posible to monitor only during that bar and how best to do it?

2. do you have order type MIT?
3. I assume that when using market all other exits (stop and limits) will be cancelled as soon as I am flat?
4. can I send the reverse order in full. (i.e. I am long 2 would like to reverse so will send market short 4 or need to follow the idea of monitor that i am flat and than send the limit short?)

thx for any reference of ideas on this topic,
nir

[NinjaTrader_Ray]

I see.

Check is done based on order type and and signal name by the looks of it. Maybe try using stop limit order instead of stop on 2nd time or self monitor and submit market.

[nfeldberg]

thx for the response however this is not how the system behave.

even if you put a limit exit order with no connection to the entry after a cancel resubmit will get rejected.

this is what I am trying to understand what are you monitoring that refuse the order? any uniqe number that I can control? it is not the order ref or order name as I checked it and the system rejecting the orders.

thx
nir

[NinjaTrader_Ray]

If you place an exit order that maps to an entry signal name, then you cancel it. You will no longer be able to place that same exit order. That is the limitation.

- Exit market orders will always go through (won't face this limitation)
- Exit orders without specifying a signal name should always go through as well

[nfeldberg]

Hi Josh,

thx you for your response, however I would appreciate it if you would explain what is the limitation/bug that you will try and address in NT7?

last time when I asked for explanation of the limitation you requested a sample which I have provided, it would be a great help for me to know the limitation instead of continuing spending time on ideas that might not work as you have limitations which are not documented neither explained.

if you could explain the internal logic that you are using to not really cancel the orders it might help to find a workaround. ( I know best the logic of my strategy and if I know the limitations I can try and figure a workaround)

does the same problem will happen if I am flat trying to go into a position with limit order, price did not match, order cancelled, than trying to go again into position and getting this error??? if yes it is a real basic functionality limitation which means it is impossible to work with entry limit orders in your platform.

this "limitation" only surfaces in real-time and not in back testing which make it even harder to recognize/understand.

maybe I am naive, but I spent too much time in learning this platform and migrating my strategy from TS, to declare a defeat, please explain what the logic is, it might help to find a workaround.

thx again,
nir

[NinjaTrader_JoshP]

Nir,

I thought I emailed you, but in checking now it was stopped by my ISP for some reason. Sorry for the inconvenience.

Right now the issue is a limitation for NT6.5 and we are working to address it in NT7.

[nfeldberg]

Josh,

thx for looking into this topic, any estimation to the time frame for resolution in such issues?

thx nir

[NinjaTrader_JoshP]

Nir,

I am in contact with development and we are seeing what can be done/causing this. Unfortunately in the meantime I cannot suggest you any workaround that would fit your trade logic. The idea you had would work in theory, but, also like you said, it is not ideal. Especially if you get a partial fill. Things may go out of whack then.

I will keep you posted on the issue.

[nfeldberg]

thx Josh,

regarding the Internal Order Handling Rules, I have notice this myself, but you have to remember that the strategy which I sent you was created just to demonstrate the problem with the terminal exit, it is not the strategy that I am using therefore did not look into this problem.

I can assure you that the real strategy has no problem in that respect.

you are right about the definition of the problem and I am happy that you manage to recreate the problem in your environment.

your suggestion will not help me as the logic of my strategy is reversal and only on that bar, if not filled/touched I would like the original direction/trade management to continue. just as it is programmed in the sample.

could you please explain what am I doing wrong? or why your system rejecting my orders?

following your line of thinking, would it work to have the reverse/close order until cancelled, and than change/modify the price to outside me bracket just to keep it there instead of cancel? it is more risky as I don't want to have unnecessary live orders in the market, but might be a work around for your limitation/bug. any thoughts on this?

any help on this show stopper would be great.

regards,
Nir

[NinjaTrader_JoshP]

First off, a problem with your code is that it is violating an Internal Order Handling Rules somewhere. Even in backtesting you can see the Control Center log being printed.

I was not able to find any print out where an order was rejected via price not matching in my backtest on the ES.

This is the behavior I am seeing live though. Entered long 1 position, sell = cancelled via expiration, sell sent again = ignored because already existing terminal exit order. This is where you are finding problems correct?

I suggest in the meantime you use the liveUntilCancelled bool for your exit orders. This way you won't run into the cancelled order at the end of the bar and don't have a need to resubmit unless you want to modify the exit price.

[NinjaTrader_Ray]

Thanks, we will take a look at this overnight.

[nfeldberg]

The attached code is a very simplified version of my code (no exit, stops, money management and time management), however it still showing the same limitation.

To best understand the problem please run first in back test, you will see that the system is able to try a reversal (i.e. close open position) and if failed as price did not match the system will cancel the order at the end of the bar. If the same signal repeat latter the system will try again, until successful close of position and re-entry on the opposite side.

However if you will run the same code with connection to the simulator, you will see that the first try to close the position will work, however the second try will not be sent and a terminal exit order error is generated on the output window.

If you have any questions I am happy to explain further, I have tried different combination of exit orders (one or two orders, separate from entry, with names without names all giving exactly the same error).

Hope you could explain the problem and help with a work around. (market orders is not an option, it has to be limit).

I have sent the code also to Josh per his email.

Thanks for your support,
Nir