Market position not uptodate after order filled

[Aquatrade]

Hi,

I see that in rare occasions the market position of the strategy is not uptodate. For example, what that I see is that the order has been filled on tick #1000 (I check that during Onorderupdate) but the market position is updated 10 ticks later (tick #1010). Is there way to get the position to be updated when the order is filled?

Thanks!

Juan

[NinjaTrader_Kate]

Hello Aquatrade,

Thank you for your reply.

Who is your data provider?

You could certainly use the unmanaged approach and calculate the position internally to the strategy. The strategy could then rely on it's own calculated position in lieu of relying on position updates from the broker. I've attached an example of this below.

An overview of using the unmanaged approach may be found in our help guide here:

https://ninjatrader.com/support/helpGuides/nt8/unmanaged_approach.htm

Please let us know if we may be of further assistance to you.

[Aquatrade]

Thanks,

My data provider is CQG. The example is very useful, I'll try to use some of the ideas in your code for my strategy.

Thanks one more time

Juan

[Aquatrade]

I have an additional question. In the code you provide I see:

if (shortEntry != null && shortEntry == order)
{
// Reset the shortEntry Order object to null if order was cancelled without any fill
if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
{
shortEntry = null;
}
}

what is the difference between:

order.OrderState == OrderState.Cancelled && order.Filled == 0

and

order.OrderState == OrderState.Cancelled


In other words, why checking for number of orders filled? is it because of partial fill?

Thanks!

[NinjaTrader_Kate]

Hello Aquatrade,

Thank you for your reply.

Yes, that's exactly right, because if the order is partially filled but not fully filled we would want to handle that differently than simply just setting that reference back to null immediately.

Please let us know if we may be of further assistance to you.