Unmanged order handling framework

[Sweet&Sour]

Hi all,

I have a question regarding unmanaged orders (using an Interactive Brokers brokerage connection):

First of all, I’m entering a Buy Limit order in the OnBarUpdate() event.

if (entryOrder == null && profitTakerOrder == null && stopLossOrder == null)
{
    SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.Limit, 
        Convert.ToInt32(Math.Round(Quantity / Open[0], 0, MidpointRounding.ToEven)), SubmissionPrice, 0, "", "Enter Long Limit");
}

After i have a trailing stop order which so far works as expected.

if (stopLossOrder != null && Close[0] > trailingStopPrice)
{
    // Trail Stop-Loss 3% below current price
    ChangeOrder(stopLossOrder, stopLossOrder.Quantity, 0, Close[0] - ((Close[0] / 100) * 3));
    trailingStopPrice = Close[0] + ((Close[0] / 100) * 3);
}

However, when i try to make a bracket order (stop-loss and take-profit), it gives me a mess in the chart with all the orders.

protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
    if (execution.Order.OrderState != OrderState.Filled)
        return;

    Print("Execution: " + execution.ToString());
    if (entryOrder != null && execution.Order == entryOrder)
    {
        // Stop Loss 5% below entry price
        stopLossOrder = SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.StopMarket,
            execution.Order.Filled, 0, execution.Order.AverageFillPrice - ((execution.Order.AverageFillPrice / 100) * 3), string.Empty, "Stop Loss");

        //// Profit Taker 6% above entry price
        //profitTakerOrder = SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.Limit,
        //    execution.Order.Filled, execution.Order.AverageFillPrice + ((execution.Order.AverageFillPrice / 100) * 6), 0, string.Empty, "Profit Taker");

        if (execution.Order.OrderState != OrderState.PartFilled)
            entryOrder = null;
    }

    if ((stopLossOrder != null && stopLossOrder == execution.Order) || (profitTakerOrder != null && profitTakerOrder == execution.Order))
    {
        if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
        {
            stopLossOrder = null;
            profitTakerOrder = null;
        }
    }
}

Attached is the full code as a reference.
Any help is appreciated.

Thanks...

[NinjaTrader_ChrisL]

Hello Sweet&Sour,

Thank you for the post.

I ran your strategy, and uncommented the profitTakerOrder line, but I am only able to see one execution that the strategy generates towards the beginning of historical data.

Screenshot: https://www.screencast.com/t/j2yd1ofmOuP3

Could you please let me know how you are setting up this strategy? Please include the chart instrument and chart type (and period) as well.

I look forward to your reply.

[Sweet&Sour]

Hi Chris

Take AAPL in 1 Day Period starting from 1th of January 2018.
Attached is a screenshot, un-commented the profit taker and commented out the trail stop.

Thanks...

[NinjaTrader_ChrisL]

Hello Sweet&Sour,

Thank you for the reply.

It looks like the stop loss and profit taker orders are not being canceled when they need to be. The protective orders are creating new positions because the account is flat when they are reached and the orders are not canceled. Make sure to cancel the respective stop loss and profit target orders once the "Enter Long Limit" order is either canceled or is closed.

Please let me know if I can assist further.

[Sweet&Sour]

I thought that this is done through

if (entryOrder != null && execution.Order == entryOrder)

in the OnExecutionUpdate() event handler.

In which event handler i have to check whether or not, an order is open to properly cancel the SL/TP order? Any sample code availabe?

[NinjaTrader_ChrisL]

Hello Sweet&Sour,

Thanks for the reply.

I recommend using OnExecutionUpdate to know exactly when your position becomes flat. Below I have linked a reference sample on how to use CancelOrder:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?using_cancelorder_method_to_ca.htm

There is also this reference sample that shows how to submit protective orders within OnExecutionUpdate.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?using_onorderupdate_and_onexec.htm

Please let me know if you have any questions.

[Sweet&Sour]

Hi Chris

Actually, I thought that I'm using protective orders as this article was initially my starting point

Here's my code snippet to drop any SL/TP orders during the OnExecutionUpdate() event handler. This works fine, however i have to make a comparison with the managed order types just to make sure that there isn't a gap somewhere.

protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
    if (execution.Order.OrderState != OrderState.Filled)
        return;

    Print("Execution: " + execution.ToString());
[B]    if (entryOrder == null)
    {
        if (profitTakerOrder != null && (profitTakerOrder.OrderState == OrderState.Accepted || profitTakerOrder.OrderState == OrderState.Working))
            CancelOrder(profitTakerOrder);
        else if (stopLossOrder != null && (stopLossOrder.OrderState == OrderState.Accepted || stopLossOrder.OrderState == OrderState.Working))
            CancelOrder(stopLossOrder);
    }[/B]

    if (entryOrder != null && execution.Order == entryOrder)
    {
        // Stop Loss 5% below entry price
        stopLossOrder = SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.StopMarket,
            execution.Order.Filled, 0, execution.Order.AverageFillPrice - ((execution.Order.AverageFillPrice / 100) * 3), string.Empty, "Stop Loss");

        // Profit Taker 6% above entry price
        profitTakerOrder = SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.Limit,
            execution.Order.Filled, execution.Order.AverageFillPrice + ((execution.Order.AverageFillPrice / 100) * 6), 0, string.Empty, "Profit Taker");

        if (execution.Order.OrderState != OrderState.PartFilled)
            entryOrder = null;
    }

    if ((stopLossOrder != null && stopLossOrder == execution.Order) || (profitTakerOrder != null && profitTakerOrder == execution.Order))
    {
        if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
        {
            stopLossOrder = null;
            profitTakerOrder = null;
        }
    }
}

Thanks...

[Sweet&Sour]

Hi Chris,

One more question. If i would attach my IB Account through an IB Gateway in Ninja 8, i guess i have to use the Account Class to attach my IB account and use the proper account methods like CreateOrder(), Submit(), Change(), Cancel() or CancelAllOrders() to manipulate orders on the IB side? Is that right or are there other ways like the unmanaged approach to raise and managed orders through the IB Gateway?

Thanks...

[NinjaTrader_ChrisL]

Hello Sweet&Sour,

Thank you for the reply.

The Interactive Brokers connection adapter will handle the interaction between the NinjaScript API and the TWS API. You may use the unmanaged order methods in NinjaScript targeted to your IB account and add/modify/cancel them with the unmanaged order methods as you would normally.

Please let me know if I can assist further.

[Sweet&Sour]

Hi Chris

I'm a bit confused with the order management frameworks using the IB Gateway to trade equities on a daily base. Currently i'm not sure whether or not, the managed order framework works against the IB Gateway, as long as i'm just using simple order like a market order + stop loss + profit taker (or just a single trailing stop)? Or does the IB connection adapter only work using the unmanaged framework?

Thanks...

[NinjaTrader_ChrisL]

Hello Sweet&Sour,

Thanks for the reply.

The managed and unmanaged approach will both work with the Interactive Brokers connection adapter. Was there a specific item that you ran into? I tested the SampleMACrossover strategy on a test IB account and it executed orders normally.

I look forward to your reply.

[Sweet&Sour]

Hi Chris

In the past, I saw a few German traders using Ninja FDAX strategies over the managed order framework, connecting to Captrader (which is a German broker offering full IB TWS access). So far, I wasn't aware that the managed order framework works as well for the IB connection adapter but glad to get confirmed that this was never an issue :-)

Krgds...