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Erroneous multiple fills using Rithmic

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    Erroneous multiple fills using Rithmic

    I am running an evaluation account on Apex using Rithmic Pro as the connection to NT8. I have a automated strategy that was built using the strategy builder and I have not had issues with the execution quantity until a week or so ago.

    My strategy is required to enter using a limit order and exit either using a set stop loss/profit target or if close price hits a particular indicator value, whichever is earliest.

    However, on Monday, while trading the NQ, after I entered a long position my profit target was hit as the particular indicator value was reached and I exited out of Market. However, another exit market order was executed at basically the same time which means that I was net short a contract when my entry conditions were no where close to being satisfied.

    Today, I see this popup on NT8, which I suspect is at the core of the issue.

    "Rithmic and Interactive Brokers Users: When using a NinjaScript strategy it is best practice to only work with passed by value data from OnExecution. Instances of multiple fills at the same time for the same instrument might result in an incorrect OnPositionUpdate, as sequence of events are not guaranteed due to provider API design."


    My question is this: my current strategy built from the strategy builder is meant to update on each tick. Is there a way, from within the strategy builder to change it to 'On.Execution' so that the problem I describe above does not happen again?

    Do let me know if you need any other info from me.

    Thank you!







    #2
    Hello nagaselv,

    The warning here is about the sequence of update methods running, which is not involved with this specific issue.

    The Strategy Builder does not put code in either OnOrderUpdate() or OnPositionUpdate() and all of the code is in OnBarUpdate().

    That said, you mentioned there are two orders that were submitted to exit the position, is this correct?
    Did both orders fill? Was one order cancelled?

    Have you enabled TraceOrders and viewed the output?

    Are you seeing in the TraceOrders output that the market order filled but the stop was not cancelled?

    My question is this: my current strategy built from the strategy builder is meant to update on each tick. Is there a way, from within the strategy builder to change it to 'On.Execution' so that the problem I describe above does not happen again?
    Unfortunately, not with the Strategy Builder. The script would need to be unlocked and coded by hand.
    Hello, I see in the documentation you have fixed: 15048 Added Adapter, Rithmic Updated Rithmic API to version 11.3.0.0 Can you elaborate on that please? Will OnOrderUpdate() OnExecutionUpdate() and OnPositionUpdate() be called in the expected order?

    Chelsea B.NinjaTrader Customer Service

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