Assign Order in OnOrderUpdate and OnExecutionUpdate - What's the Best Approach

[Jack22]

I am looking through the strategy samples and the NinjaTrader help guide and would like advice on the best way to assign an Order in OnOrderUpdate, OnExecutionUpdate, and check when to enter / edit an order.

In SampleOnOrderUpdate, Order is assigned like:

OnOrderUpdate
if (order.Name == "MyEntry")
{	
        entryOrder = order;
	if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
		entryOrder = null;
}

OnExecutionUpdate
if (entryOrder != null && entryOrder == execution.Order)
{
	if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
	{
		if (execution.Order.OrderState != OrderState.PartFilled)
			entryOrder = null;
	}
}

In Advance Order Handling, https://ninjatrader.com/support/help...er_methods.htm, Order is assigned like:

if (order.Name == "myEntryOrder" && orderState != OrderState.Filled)
      entryOrder = order;

if (entryOrder != null && entryOrder == order)
{
        if (order.OrderState == OrderState.Filled)
              entryOrder = null;
}

In the examples from the above, Order is also checked for null before entering an order (if (entryOrder != null) enter logic). The above examples only take into consideration a portion of the OrderState values, so what is the best way in NinjaTrader 8 to assign Order, keep the status up-to-date, and then be able to check that order for an entry (like the example in this paragraph) and to change the order (example: if you have an OrderStatus of ChangeSubmitted [or a similar change status], but your entryOrder != null you could keep trying to submit an order that is pending a change.

[NinjaTrader_Jesse]

Hello,

Thank you for the post.

We have a short example that demonstrates assigning orders from these overrides in the reference samples here: https://ninjatrader.com/support/foru...ead.php?t=7499

We also have other various strategy related concepts excepted in the reference samples: https://ninjatrader.com/support/foru...ead.php?t=3220

I look forward to being of further assistance.

[Jack22]

Hello,

Thank you for the post.

We have a short example that demonstrates assigning orders from these overrides in the reference samples here: https://ninjatrader.com/support/foru...ead.php?t=7499

We also have other various strategy related concepts excepted in the reference samples: https://ninjatrader.com/support/foru...ead.php?t=3220

I look forward to being of further assistance.

I referenced the example you provided along with the NinjaTrader help guides example, which appear to be different, so I am looking for additional guidance on the best way to handle all the different OrderStatus since it is not clear.

[NinjaTrader_Jesse]

Hello,

Yes, I do see a difference in syntax between the two samples as they were likely developed by different authors.

Both are correct in assigning the order, and both do check for null and also check for canceled they just check this in different ways. I can see that both samples should achieve the same goal although they are slightly different. I don't see a case where one could be null where the other would not be, and both seem to work for the intended purpose. Really it would be up to you to choose in this case which you like better and go with that. The forum sample is a more complete sample so that may be good as a starting point if you wanted to have a whole script to start with.

In your original concern, the orderstates used would be determined on what your logic needs to do. If you are just concerned with assigning orders and later accessing them, the forum sample shows this off in a simple and correct way and would be a good place to start. The help guide is still correct as well, this is just shown in a different form for that specific example.

If you have specific cases like the one you mentioned in post one, you would need to test for these cases using Prints and if that affects your overall logic, you could account for it in a similar way that is shown with the samples orderstates.

I look forward to being of further assistance.

[bobperez]

Hello,

Do you have an example of how to create and manage multiple entries using the OnOrderUpdate and OnOrderExecution Methods? If not, can you please give an explanation of how to do it?

I've coded it like this but only one order gets submitted.

                    if(dualTarget == false)
                    {    
                        EnterLongStopMarket(0,true, positionSize, WizSellPrice,"myEntrylong");
                    }
                    else if(dualTarget)
                    {
                        EnterLongStopMarket(0,true, firstTargetPosition, WizSellPrice,"myEntrylong");
                        EnterLongStopMarket(0,true, secondTargetPosition, WizSellPrice,"myEntrylong1");
                    }    
​

OnOrderUpdate:

            if (entryOrder_Long == null &&  order.Name == "myEntrylong" && orderState != OrderState.Filled)
            {
                // Assign entryOrder in OnOrderUpdate() to ensure the assignment occurs when expected.
                // This is more reliable than assigning Order objects in OnBarUpdate, as the assignment is not guaranteed to be complete if it is referenced immediately after submitting
                entryOrder_Long = order;
                entryOrder_Short = null;

                          }
            else if (order.OrderState == OrderState.Cancelled && order.Filled == 0 &&  order.Name == "myEntrylong")
            {
                    entryOrder_Long = null;


            }
            #endregion

            #region sets 2nd entry orderlong if DUAL target
            if(dualTarget) // Assigns entryorder here if more than 1 order
            {

                // Checks for all updates to entryOrder.
                if (entryOrder_Long1 == null &&  order.Name == "myEntrylong1" && orderState != OrderState.Filled )
                {
                    // Assign entryOrder in OnOrderUpdate() to ensure the assignment occurs when expected.
                    // This is more reliable than assigning Order objects in OnBarUpdate, as the assignment is not guaranteed to be complete if it is referenced immediately after submitting
                    entryOrder_Long1 = order;
                    entryOrder_Short1 = null;

                                    }
                else if (order.OrderState == OrderState.Cancelled && order.Filled == 0 &&  order.Name == "myEntrylong1")
                {
                        entryOrder_Long1 = null;


                }
            }
​

OnExecutionUpdate:

            if (dualTarget && entryOrder_Long != null && entryOrder_Long == execution.Order && execution.Name == "myEntrylong")
            {
                tradeCounter++;

                // This second if-statement is meant to only let fills and cancellations filter through.
                if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
                {
                    // Simple stop and target
                    stopOrder_Long = ExitLongStopMarket(0, true, firstTargetPosition, execution.Order.AverageFillPrice - (Stop * TickSize), "stopLong", "myEntrylong");
                    longtargetOrder = ExitLongLimit(0, true, firstTargetPosition, execution.Order.AverageFillPrice + (Target2 * TickSize), "targetLong", "myEntrylong");

                    CurrentLongTriggerPrice = execution.Order.AverageFillPrice + BreakEvenTicks * TickSize;
                    //CurrentLongStopPrice = execution.Order.AverageFillPrice - (Stop * TickSize);


                    // Resets the entryOrder object to null after the order has been filled
                    if (execution.Order.OrderState != OrderState.PartFilled)
                    {
                        entryOrder_Long = null;

                    }
                }

            }
            #endregion first entry order LONG

            #region// second entry order long (Sale de primro con target 1)

            if (dualTarget && entryOrder_Long1 != null && entryOrder_Long1 == execution.Order && execution.Name == "myEntrylong1")
            {


                // This second if-statement is meant to only let fills and cancellations filter through.
                if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
                {
                    // Simple stop and target
                    stopOrder_Long1 = ExitLongStopMarket(0, true, secondTargetPosition, execution.Order.AverageFillPrice - (Stop * TickSize), "stopLong1", "myEntrylong1");
                    longtargetOrder1 = ExitLongLimit(0, true, secondTargetPosition, execution.Order.AverageFillPrice + (Target1 * TickSize), "targetLong1", "myEntrylong1");

                    CurrentLongTriggerPrice = execution.Order.AverageFillPrice + BreakEvenTicks * TickSize;



                    // Resets the entryOrder object to null after the order has been filled
                    if (execution.Order.OrderState != OrderState.PartFilled)
                    {
                        entryOrder_Long1 = null;

                    }
                }

            }
​

Thanks,

BobPerez

[QuantKey_Bruce]

Before you get too deep just a verification - do you have EntriesPerDirection set to more than 1?

[QuantKey_Bruce]

You probably want to do this in OnExecutionUpdate not OnOrderUpdate - see the extensive commentary at https://ninjatrader.com/support/help...tionupdate.htm

Also read the bottom section at https://ninjatrader.com/support/help...-threading.htm

[bobperez]

Before you get too deep just a verification - do you have EntriesPerDirection set to more than 1?

Hi Bruce,

Amazing, "Entries per Direction" was set to 1. I changed it and it worked.

Thanks

Bob Perez

[QuantKey_Bruce]

Hi Bruce,

Amazing, "Entries per Direction" was set to 1. I changed it and it worked.

Thanks

Bob Perez

That is what I was hoping for you - just a simple oversight.