Prevent StopOrder Order rejections

[PaulMohn]

I'm trying to account for potential order rejection when StopLoss orders get moved above entry price.
I've tested this so far

StopLossMove = ((
(9 * TickSize) > Instrument.MasterInstrument.RoundToTickSize((GetCurrentBid() - stopLossOrder.StopPrice) / TickSize)) ?
(Instrument.MasterInstrument.RoundToTickSize(((GetCurrentBid() - stopLossOrder.StopPrice)) - (9 * TickSize))) :
(9 * TickSize)); 

StopLossMove = (((
9 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze)) > Instrument.MasterInstrument.RoundToTickSize((GetCurrentBid() - stopLossOrder.StopPrice) / TickSize)) ?
(Instrument.MasterInstrument.RoundToTickSize(((GetCurrentBid() - stopLossOrder.StopPrice))- (1 * Instrument.MasterInstrument.RoundToTickSize(TickSize)))) :
(9 * Instrument.MasterInstrument.RoundToTickSize(TickSize))); 

StopLossMove = (((
9 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze)) > Instrument.MasterInstrument.RoundToTickSize((GetCurrentBid() - stopLossOrder.StopPrice) / Instrument.MasterInstrument.RoundToTickSize( 1* TickSize))) ?
(Instrument.MasterInstrument.RoundToTickSize(((GetCurrentBid() - stopLossOrder.StopPrice)) - (1 * Instrument.MasterInstrument.RoundToTickSize(1 * TickSize)))) :
(9 * Instrument.MasterInstrument.RoundToTickSize(TickSize))); 

It is supposed to set the StopLossMove value to 1 tick less than the gap from Current Bid to StopPrice on Long orders,
if that gap is less than 9 ticks,
else use 9 ticks for StopLossMove value.

The problem is after testing the move still throws the error.

What would be wrong in this case? Thanks?

[NinjaTrader_ChrisL]

Hi Paul, thanks for posting. You need to use Print() to print out the values you are using and compare them to the price at the time of order submission. Specifically the values you are using to submit the order:

Print((Instrument.MasterInstrument.RoundToTickSize (((GetCurrentBid() - stopLossOrder.StopPrice)));
Print((9 * TickSize)));
Print((Instrument.MasterInstrument.RoundToTickSize (((GetCurrentBid() - stopLossOrder.StopPrice))- (1 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze)))));
Print((9 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze))));
Print((Instrument.MasterInstrument.RoundToTickSize (((GetCurrentBid() - stopLossOrder.StopPrice)) - (1 * Instrument.MasterInstrument.RoundToTickSize(1 * TickSize)))));
Print((9 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze))));

//before you submit the order:
Print(StopLossMove); //assuming this is the price you are using in the stop loss order.
Print(GetCurrentBid());

We have a full example on how to set stops and targets in OnOrderUpdate/OnExecutionUpdate here:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?using_onorderupdate_and_onexec.htm

[PaulMohn]

Hello Chris and thanks for the reply and useful directions.

I've simplified the ternary operator statement by using variables and used prints as

double xA = (Instrument.MasterInstrument.RoundToTickSize(GetCurrentBid() - stopLossOrder.StopPrice) / Instrument.MasterInstrument.RoundToTickSize(1*TickSize));
Print(xA + " xA");

double xB = ((9 * Instrument.MasterInstrument.RoundToTickSize(TickSize)) / Instrument.MasterInstrument.RoundToTickSize(1*TickSize));
Print(xB + " xB");

double xC = ((1 * Instrument.MasterInstrument.RoundToTickSize(TickSize)) / Instrument.MasterInstrument.RoundToTickSize(1*TickSize));
Print(xC + " xC");

Print((xA - xC) + " (xA - xC)");
Print("StopLossMoveBefore : " + StopLossMove);


StopLossMove = ((xB > xA) ? (xA - xC) : xB);


Print("StopLossMoveAfter : " + StopLossMove); 

Prints

34 xA
9 xB
1 xC
33 (xA - xC)
StopLossMoveBefore : 0
StopLossMoveAfter : 9

Now it just throws the pop up error twice. Please see attached photo.

Why doesn't it prevent the error and just place the order 1 tick below the Bid so no error occurs? Thanks!

[NinjaTrader_ChrisL]

Hi Paul, I do not have enough context here about how you are using StopLossMoveAfter. What is the price or variable that is being used in the actual stop loss order? Are you using an Exit method (ExitLongStopMarket) or using SetStopLoss?

[PaulMohn]

Oh yes I didn't mention context, here's the action block

{
  currentSLPrice = stopLossOrder.StopPrice + (StopLossMove);

  for (int index = 0; index < quantitySelector.Value; index++)
  {
    submitStopLossesOrdersList[index].StopPriceChanged = currentSLPrice;
  }

  myAccount.Change(submitStopLossesOrdersList);
} 

I use it in an indicator, not a strategy.

The full code
https://ninjatraderecosystem.com/use...otkeys-script/

Thanks!


Here's the current snippet on my test script

#region MOVE UP StopLoss OCO Orders for BuyMarket OR SellMarket Orders

          TriggerCustomEvent(BuyMar****RSellMarket_OrderMove StopLossUpOCOVar =>
          {
            double StopLossMove = 0;


            if (entryBuyMar****rder != null)
            {
              double xA = (Instrument.MasterInstrument.RoundToTickSize(GetCurrentBid() - stopLossOrder.StopPrice) / Instrument.MasterInstrument.RoundToTickSize(1*Tick Size));
              Print(xA + " xA");

              double xB = ((9 * Instrument.MasterInstrument.RoundToTickSize(TickSize)) / Instrument.MasterInstrument.RoundToTickSize(1*Tick Size));
              Print(xB + " xB");

              double xC = ((1 * Instrument.MasterInstrument.RoundToTickSize(TickSize)) / Instrument.MasterInstrument.RoundToTickSize(1*Tick Size));
              Print(xC + " xC");

              Print((xA - xC) + " (xA - xC)");
              Print("StopLossMoveBefore : " + StopLossMove);

              if (Keyboard.IsKeyDown(Key.NumPad1))
                StopLossMove = (((1 * TickSize) > Instrument.MasterInstrument.RoundToTickSize((GetCurrentBid() - stopLossOrder.StopPrice) / TickSize)) ?
                (Instrument.MasterInstrument.RoundToTickSize((GetCurrentBid() - stopLossOrder.StopPrice)) - (1 * TickSize)) : (1 * TickSize));
              else
              if (Keyboard.IsKeyDown(Key.NumPad9))
                StopLossMove = ((xB > xA) ? (xA - xC) : xB);


              Print("StopLossMoveAfter : " + StopLossMove);

              if ( ( Keyboard.IsKeyDown(Key.NumPad1)
                || Keyboard.IsKeyDown(Key.NumPad9) )

                && (Keyboard.IsKeyDown(Key.LeftAlt) || Keyboard.IsKeyDown(Key.RightAlt))
                && !(Keyboard.IsKeyDown(Key.LWin) || Keyboard.IsKeyDown(Key.RWin)))
              {
                currentSLPrice = stopLossOrder.StopPrice + (StopLossMove);

                for (int index = 0; index < quantitySelector.Value; index++)
                {
                  submitStopLossesOrdersList[index].StopPriceChanged = currentSLPrice;
                }

                myAccount.Change(submitStopLossesOrdersList);
              }
            } 

Thanks!

[NinjaTrader_ChrisL]

Hi Paul, the currentSLPrice is above the bid. Print out the final value of currentSLPrice and compare it to the Bid print, you will see the price is above the bid as the order gets submitted.

[PaulMohn]

Thanks for the direction. I tested as

#region MOVE UP StopLoss OCO Orders for BuyMarket OR SellMarket Orders

          TriggerCustomEvent(BuyMar****RSellMarket_OrderMove StopLossUpOCOVar =>
          {
            double StopLossMove = 0;


            if (entryBuyMar****rder != null)
            {
              double xA = (Instrument.MasterInstrument.RoundToTickSize(GetCurrentBid() - stopLossOrder.StopPrice) / Instrument.MasterInstrument.RoundToTickSize(1*Tick Size));
              Print(xA + " xA");

              double xB = ((9 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze)) / Instrument.MasterInstrument.RoundToTickSize(1*Tick Size));
              Print(xB + " xB");

              double xC = ((1 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze)) / Instrument.MasterInstrument.RoundToTickSize(1*Tick Size));
              Print(xC + " xC");

              Print((xA - xC) + " (xA - xC)");
              Print("StopLossMoveBefore : " + StopLossMove);

              if (Keyboard.IsKeyDown(Key.NumPad1))
                StopLossMove = (((1 * TickSize) > Instrument.MasterInstrument.RoundToTickSize((GetCurrentBid() - stopLossOrder.StopPrice) / TickSize)) ?
                (Instrument.MasterInstrument.RoundToTickSize((GetCurrentBid() - stopLossOrder.StopPrice)) - (1 * TickSize)) : (1 * TickSize));
              else
              if (Keyboard.IsKeyDown(Key.NumPad9))
                StopLossMove = ((xB > xA) ? (xA - xC) : xB);


              Print("StopLossMoveAfter : " + StopLossMove);

              Print("GetCurrentBid() : " + GetCurrentBid());

              if ( ( Keyboard.IsKeyDown(Key.NumPad1)
                || Keyboard.IsKeyDown(Key.NumPad9) )

                && (Keyboard.IsKeyDown(Key.LeftAlt) || Keyboard.IsKeyDown(Key.RightAlt))
                && !(Keyboard.IsKeyDown(Key.LWin) || Keyboard.IsKeyDown(Key.RWin)))
              {
                currentSLPrice = stopLossOrder.StopPrice + (StopLossMove);

                Print("currentSLPrice : " + currentSLPrice);

                for (int index = 0; index < quantitySelector.Value; index++)
                {
                  submitStopLossesOrdersList[index].StopPriceChanged = currentSLPrice;
                }

                myAccount.Change(submitStopLossesOrdersList);
              }
            } 

Prints

Buy
-11057 xA
9 xB
1 xC
-11058 (xA - xC)
StopLossMoveBefore : 0
StopLossMoveAfter : 0
GetCurrentBid() : -1
-11057 xA
9 xB
1 xC
-11058 (xA - xC)
StopLossMoveBefore : 0
StopLossMoveAfter : -110.58
GetCurrentBid() : -1
currentSLPrice : -1.01000000000001

I get nonsense negative values. Please see attached photo. How did you get currentSLPrice > GetCurrentBid() ? Thanks!

Ah wait I think I get it working without nonsense negative values now. I'll post a demo shortly. Thanks!

Ah, it prints

13 xA
9 xB
1 xC
12 (xA - xC)
StopLossMoveBefore : 0
StopLossMoveAfter : 9
GetCurrentBid() : 109.69
stopLossOrder.StopPrice : 109.56
currentSLPrice : 118.56

Demo

So it doesn't take the TickSize (0.01) but rather the point Size (1.00) ? 9 points above instead of 9 ticks in the above prints.

Ah, got it! Thanks a lot Chris!

It was due to the variables xA, xB, and xC division by the TickSize that was not necessary.

Corrected snippet

TriggerCustomEvent(BuyMar****RSellMarket_OrderMove StopLossUpOCOVar =>
          {
            double StopLossMove = 0;


            if (entryBuyMar****rder != null)
            {
              double xA = (Instrument.MasterInstrument.RoundToTickSize(GetCurrentBid() - stopLossOrder.StopPrice) /*/ Instrument.MasterInstrument.RoundToTickSize(1*Tick Size)*/);
              Print(xA + " xA");

              double xB = ((9 * Instrument.MasterInstrument.RoundToTickSize(TickSize)) /*/ Instrument.MasterInstrument.RoundToTickSize(1*Tick Size)*/);
              Print(xB + " xB");

              double xC = ((1 * Instrument.MasterInstrument.RoundToTickSize(TickSize)) /*/ Instrument.MasterInstrument.RoundToTickSize(1*Tick Size)*/);
              Print(xC + " xC");

              Print((xA - xC) + " (xA - xC)");
              Print("StopLossMoveBefore : " + StopLossMove);
              if (Keyboard.IsKeyDown(Key.NumPad9))
                StopLossMove = ((xB > xA) ? (xA - xC) : xB);


              Print("StopLossMoveAfter : " + StopLossMove);

              Print("GetCurrentBid() : " + GetCurrentBid());

              if ( ( Keyboard.IsKeyDown(Key.NumPad1)
                || Keyboard.IsKeyDown(Key.NumPad9) )

                && (Keyboard.IsKeyDown(Key.LeftAlt) || Keyboard.IsKeyDown(Key.RightAlt))
                && !(Keyboard.IsKeyDown(Key.LWin) || Keyboard.IsKeyDown(Key.RWin)))
              {
                currentSLPrice = stopLossOrder.StopPrice + (StopLossMove);

                Print("stopLossOrder.StopPrice : " + stopLossOrder.StopPrice);

                Print("currentSLPrice : " + currentSLPrice);

                for (int index = 0; index < quantitySelector.Value; index++)
                {
                  submitStopLossesOrdersList[index].StopPriceChanged = currentSLPrice;
                }

                myAccount.Change(submitStopLossesOrdersList);
              }
            } 

Now it seems to work as intended and the error is prevented. I'll do some more testing and be back asa. Thanks again!

[PaulMohn]

The Updated Snippets with working debugging prints for later reference

        #region MOVE UP StopLoss OCO Orders for BuyMarket OR SellMarket Orders

          TriggerCustomEvent(BuyMar****RSellMarket_OrderMove StopLossUpOCOVar =>
          {
            double stopLossMoveUpRejectionPrevented = 0;


            if (entryBuyMar****rder != null)
            {
              double rejectionGapSize = (Instrument.MasterInstrument.RoundToTickSize(GetCu rrentBid() - stopLossOrder.StopPrice) );
              Print(rejectionGapSize + " rejectionGapSize");

              double stopLossMoveSize = (StopLossMove * Instrument.MasterInstrument.RoundToTickSize(TickSi ze));
              Print(stopLossMoveSize + " StopLossMoveSize");

              double oneTickSize = (1 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze));
              Print(oneTickSize + " OneTickSize");

              Print((rejectionGapSize - oneTickSize) + " (rejectionGapSize - OneTickSize)");
              Print("StopLossMoveBefore : " + StopLossMove);

              if (Keyboard.IsKeyDown(Key.NumPad4))
                stopLossMoveUpRejectionPrevented = ((stopLossMoveSize > rejectionGapSize) ? (rejectionGapSize - oneTickSize) : stopLossMoveSize);


              Print("StopLossMoveAfter : " + StopLossMove);

              Print("GetCurrentBid() : " + GetCurrentBid());


              if (Keyboard.IsKeyDown(Key.NumPad4) && !(Keyboard.IsKeyDown(Key.LeftCtrl) || Keyboard.IsKeyDown(Key.RightCtrl)))
              {
                currentSLPrice = stopLossOrder.StopPrice + (stopLossMoveUpRejectionPrevented);

                Print("stopLossOrder.StopPrice : " + stopLossOrder.StopPrice);

                Print("currentSLPrice : " + currentSLPrice);

                for (int index = 0; index < quantitySelector.Value; index++)
                {
                  submitStopLossesOrdersList[index].StopPriceChanged = currentSLPrice;
                }

                myAccount.Change(submitStopLossesOrdersList);
              }
            }
            else if (entrySellMar****rder != null)
            {
              if (Keyboard.IsKeyDown(Key.NumPad4) && !(Keyboard.IsKeyDown(Key.LeftCtrl) || Keyboard.IsKeyDown(Key.RightCtrl)))
              {
                currentSLPrice = stopLossOrder.StopPrice + (StopLossMove * TickSize);

                for (int index = 0; index < quantitySelector.Value; index++)
                {
                  submitStopLossesOrdersList[index].StopPriceChanged = currentSLPrice;
                }

                myAccount.Change(submitStopLossesOrdersList);
              }
            }
          }, null);
          e.Handled = true;

        #endregion


        #region MOVE DOWN StopLoss OCO Orders for BuyMarket OR SellMarket Orders

          TriggerCustomEvent(BuyMar****RSellMarket_OrderMove StopLossDownOCOVar =>
          {
            double stopLossMoveDownRejectionPrevented = 0;


            if (entryBuyMar****rder != null)
            {
              if (Keyboard.IsKeyDown(Key.NumPad4) && (Keyboard.IsKeyDown(Key.LeftCtrl) || Keyboard.IsKeyDown(Key.RightCtrl)))
              {
                currentSLPrice = stopLossOrder.StopPrice - (StopLossMove * TickSize);

                for (int index = 0; index < quantitySelector.Value; index++)
                {
                  submitStopLossesOrdersList[index].StopPriceChanged = currentSLPrice;
                }

                myAccount.Change(submitStopLossesOrdersList);
              }
            }
            else if (entrySellMar****rder != null)
            {
              Print(" ");
              double rejectionGapSize = (Instrument.MasterInstrument.RoundToTickSize(stopL ossOrder.StopPrice - GetCurrentAsk()) );
              Print(rejectionGapSize + " rejectionGapSize");

              double stopLossMoveSize = (StopLossMove * Instrument.MasterInstrument.RoundToTickSize(TickSi ze));
              Print(stopLossMoveSize + " StopLossMoveSize");

              double oneTickSize = (1 * Instrument.MasterInstrument.RoundToTickSize(TickSi ze));
              Print(oneTickSize + " OneTickSize");

              if (Keyboard.IsKeyDown(Key.NumPad4))
                stopLossMoveDownRejectionPrevented = ((stopLossMoveSize > rejectionGapSize) ? (rejectionGapSize - oneTickSize) : stopLossMoveSize);


              Print("stopLossMoveDownRejectionPrevented : " + stopLossMoveDownRejectionPrevented);

              Print("GetCurrentAsk() : " + GetCurrentAsk());

              if (Keyboard.IsKeyDown(Key.NumPad4) && (Keyboard.IsKeyDown(Key.LeftCtrl) || Keyboard.IsKeyDown(Key.RightCtrl)))
              {
                currentSLPrice = stopLossOrder.StopPrice - (stopLossMoveDownRejectionPrevented);

                Print("stopLossOrder.StopPrice : " + stopLossOrder.StopPrice);

                Print("currentSLPrice : " + currentSLPrice);

                for (int index = 0; index < quantitySelector.Value; index++)
                {
                  submitStopLossesOrdersList[index].StopPriceChanged = currentSLPrice;
                }

                myAccount.Change(submitStopLossesOrdersList);
              }
            }

          }, null);
          e.Handled = true;

        #endregion