Tracking Orders Made By ATM Strategy With File Interface

[Lomax150]

Hello,

I'm implementing an automated trading system using the file interface.
I have no problem sending orders with OIFs using the PLACE command and tracking/managing their state using the Order State Files (OSF) and other OIF commands.
In my system, I have my own "Order State Life Cycle" (OSLC) implemented, that is maintained for every entry order sent by a local strategy.

I want to use some existing ATM strategies I have on the NT platform, on entry orders sent through my local system, however I still want my system to be able to track the positions that were opened by a specific entry order (the local strategy's position). The problem is that the orders managed by an ATM strategy, for example the stop market of an Auto Trail Stop Strategy, have an internally generated Order Id and thus my system cannot determine the OSF relating to these orders i.e. I cannot maintain my local OSLC.

Is there some way for me to track the state of orders managed by ATM strategies through the file interface?


Thanks In Advance

[NinjaTrader_Jesse]

Hello Lomax150,

In that situation there would not be a way for the OIF system to track those orders as they are not being submitted using the OIF. The ATM framework inside NinjaTrader is managing those orders, your outside code would know know about the entry that was submitted.

[Lomax150]

HI thanks for the quick response.

True, my system would know that the entry was submitted however is there no way for it to know when the specific local position is closed?

[NinjaTrader_Jesse]

Hello Lomax150,

You can still use the position update files, that is updated for each position change which is different than tracking orders. There is not any way to track orders which are not submitted directly through the file interface. All orders are assigned a order ID from the broker being used which is used internally for tracking, in the file interface it gives you an option to generate an ID which your software tracks. Because ATM's submit the orders and not your software the ID it has would be the generated ID from the broker. I could only suggest to not use ATM's and instead use your software to simulate the features you wanted from the ATM or to develop your software inside NinjaTrader using NinjaScript.