terminal exit order

[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]

Josh,

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

thx 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]

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_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]

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]

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]

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]

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.

[SystemTrading]

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

[NinjaTrader_Ray]

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

[gbolla]

Sorry I don't understand how to solve the 'There already is a matching, terminal exit order in place' problem when I have multiple entry market orders with multiple SignalName and I try to exit from an order with ExitLong(Short) related by SignalName.
Could you explain me? Thanks

Bolla

P.s.: look my TraceOrders below

29/12/2008 18.09.15 Entered internal PlaceOrder() method at 29/12/2008 18.09.15: Action=Buy OrderType=Market Quantity=23 000 LimitPrice=0 StopPrice=0 SignalName='0' FromEntrySignal=''
29/12/2008 18.11.01 Entered internal PlaceOrder() method at 29/12/2008 18.11.01: Action=Buy OrderType=Market Quantity=23 000 LimitPrice=0 StopPrice=0 SignalName='2' FromEntrySignal=''
29/12/2008 18.11.44 Entered internal PlaceOrder() method at 29/12/2008 18.11.44: Action=Buy OrderType=Market Quantity=53 000 LimitPrice=0 StopPrice=0 SignalName='10' FromEntrySignal=''
29/12/2008 18.12.23 Entered internal PlaceOrder() method at 29/12/2008 18.12.23: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='x10' FromEntrySignal='10'
29/12/2008 18.12.23 Entered internal PlaceOrder() method at 29/12/2008 18.12.23: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='x0' FromEntrySignal='0'
29/12/2008 18.15.51 Entered internal PlaceOrder() method at 29/12/2008 18.15.51: Action=Buy OrderType=Market Quantity=23 000 LimitPrice=0 StopPrice=0 SignalName='0' FromEntrySignal=''
29/12/2008 18.27.51 Entered internal PlaceOrder() method at 29/12/2008 18.27.51: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='x0' FromEntrySignal='0'
29/12/2008 18.27.51 Ignored PlaceOrder() method: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName=x0' FromEntrySignal='0' Reason='There already is a matching, terminal exit order in place'
29/12/2008 18.28.01 Entered internal PlaceOrder() method at 29/12/2008 18.28.01: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='x0' FromEntrySignal='0'
29/12/2008 18.28.01 Ignored PlaceOrder() method: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName=x0' FromEntrySignal='0' Reason='There already is a matching, terminal exit order in place'
29/12/2008 18.28.29 Entered internal PlaceOrder() method at 29/12/2008 18.28.29: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='x0' FromEntrySignal='0'
29/12/2008 18.28.29 Ignored PlaceOrder() method: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName=x0' FromEntrySignal='0' Reason='There already is a matching, terminal exit order in place'

In blue last OpenOrder with EnterLong method.
In green 3 time to try to close Order with ExitLong method (3 times if condition became true):note the SignalName '0' is the same
In red....message from TraceOrders...

[NinjaTrader_Ben]

Hello,

Please post some code. It is difficult to sort out what is going on without it. Thank you!

[gbolla]

code




Try with mode 5 or 6 or 7 on EURGBP 1min
Thanks

Bolla

[NinjaTrader_Bertrand]

Hi gbolla,
Thanks for posting the code, I tested it on the modes and market you indicated but could not reproduce the issue on my end. I would suggest you break this complex strategy down in simpler cases and test which scenario gives you the error and move on from there.