Average Price in ON ORDER UPDATE

[klaus w]

Hi,
I have a question regarding the average price in the ON ORDER UPDATE - event.
The online help defines the average price as follows:

"A double value representing the average fill price of the order update"

I have difficulties understanding that as I am not an English native speaker. Does this mean it is the average price of each fill or the whole order which is executed so far?

Example:
order is Buy 3 NQ at market

Lets assume I get 2 fills and the resulting order updates in NT

Bought 1 at 16300
Bought 2 at 16310

Is the 16310 the average price of the position (without commission)?

Thanks,
Klaus

[NinjaTrader_ChrisL]

Hi Klaus, thanks for writing in.

The average price would be 16305 without commission. The OnOrderUpdate method is able to differentiate between Filled and PartFilled orders, so you can capture the average price during the partial fills and full fills. See the OnOrderUpdate/OnExecutionUpdate reference as an example:

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

Kind regards,
-ChrisL

[klaus w]

Hi Chris,
thanks for your fast answer. I have the same understanding. But I just saw something different while testing a strategy.
I am currently testing a strategy on my paper trading account with IB. I know that IB is sending quite unrealistic fills but I actually like that. This stresses my strategy and reveals most of the issues.

I just had the following order upades in the log window:

Time Category Message
08/11/2021 16:00:46 Order Order='974570712/DU3766291' Name='S' New state='Accepted' Instrument='NQ 12-21' Action='Sell short' Limit price=0 Stop price=0 Quantity=2 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
Time Category Message
08/11/2021 16:00:46 Order Order='974570712/DU3766291' Name='S' New state='Partially filled' Instrument='NQ 12-21' Action='Sell short' Limit price=0 Stop price=0 Quantity=2 Type='Market' Time in force=GTC Oco='' Filled=1 Fill price=16329.5 Error='No error' Native error=''
Time Category Message
08/11/2021 16:00:46 Order Order='974570712/DU3766291' Name='S' New state='Filled' Instrument='NQ 12-21' Action='Sell short' Limit price=0 Stop price=0 Quantity=2 Type='Market' Time in force=GTC Oco='' Filled=2 Fill price=16321.375 Error='No error' Native error=''

According to our understanding the avg Price for the position would be
(16329,5 + 16321,375)/2 = 16325,4375

Unfortunately NT came up with an average price of 16329,5

08/11/2021 16:00:46	Position	Instrument='NQ 12-21' Account='DU3766291' Average price=16329.5 Quantity=1 Market position=Short Operation=Operation_Add

This price was also printed in the chart which I attached. Are we having an issue here?
Thanks,
Klaus
PS: the target and stop order are placed with the correct price as I am maintaining my own position object

[klaus w]

Hi Chris,
the Position update I had was the first, after the first fill. After the second fill, there was this message:

08/11/2021 16:00:46	Position	Instrument='NQ 12-21' Account='DU3766291' Average price=16321.3225 Quantity=2 Market position=Short Operation=Update

This is the same price as shown in the chart. NT calculated an average of 16321,3225

Sorry for the confusion.
Klaus

[NinjaTrader_ChrisL]

Hi Klaus,

Can you reproduce the same thing on the playback connection? Please let me know if you can, and I will test the same. If not, I we will need to try and reproduce with our test IB account. I just tested on the Sim101 account and got an expected result.

Best regards,
-ChrisL

[klaus w]

Hi Chris,
I would like to skip the playback connection test. I am testing my strategy on the same server where my live strategies are running and I would like to avoid that playback test. But I can reproduce the behaviour as often as I get partial fills on my paper trading account.
We could have a remote session if you like.
Thanks,
Klaus

[NinjaTrader_ChrisL]

Hi Klaus,

I will assume the issue is reproducible on a paper Interactive brokers account so I will test on that and let you know if I can reproduce it. If not you can write to scriptingsupport at ninjatrader.com and I can take a look at your setup.

Best regards,
-ChrisL

[NinjaTrader_ChrisL]

Hi Klaus,

I have been testing this issue you reported but I am not able to reproduce with our test IB connection. Can you confirm you are running the correct version of either TWS or gateway? The supported versions are listed here with a download link if you are not running one of these:

https://ninjatrader.com/ConnectionGuides/Interactive-Brokers-Connection-Guide

Best regards,
-ChrisL

[klaus w]

Hi Chris,
sorry for coming back so late. I missed the nofication of your answer.

Yes, I am running the recommended version of IBG and the latest version of NT. We can setup a Web-Session if you want.
Thanks,
Klaus

[NinjaTrader_ChrisL]

Hi, thanks for the follow up. I will not be able to debug or test over teamviewer. I was not able to reproduce the issue you reported a month ago when I tested our IB connection. Are you able to reproduce on the SampleMACrossover strategy running on your paper IB account? If not, please reduce the strategy you are using and send me a video of this happening through google drive or wetransfer.

Best regards.

[klaus w]

I did a quick test with the managed approach and the SampleMACrossover. I could not reproduce the issue either. Then I tried to test it with the unmanaged approach. (the original strategy uses that) and I got the following message for the paper trading account:

14/12/2021 16:01:43	Default	Strategy 'SampleMAXOver': Error on calling 'OnBarUpdate' method on bar 22: Strategy 'SampleMAXOver/250787235': 'SubmitOrderUnmanaged' method can't be called on managed strategies.

The same strategy works perfectly for the sim-account on my test machine. What am I missing here?

[NinjaTrader_ChrisL]

Hi Klaus, Please try removing and re-adding the strategy in case you added the strategy to the chart before setting IsUnmanaged = true.

Best regards.

[klaus w]

Hi Chris,
that did do the trick. Thanks. I was testing the last days and I could not reproduce the issue with your strategy.
But I still have the issue in the other. So that would mean that there is an issue. I will investigate that further.

One question regarding the information in the LOG window:
- Where does NT get the information about the Order / Execution / Position - Information? Is it getting the information right from the connection handler?

Thanks,
Klaus

[NinjaTrader_ChrisL]

Hi Klaus, that is correct. The updates for Orders/Executions/Positions are sent by the connection. In this case, the IB connection. Also, note that the order of these events is not guaranteed from IB or Rithmic connections. I attached a sample strategy that is able to properly calculate a position object based on the incoming executions rather than relying on the OnPositionUpdate event.

Best regards,
-ChrisL

[klaus w]

Thanks Chris for the explanation.
I am aware of the drawbacks of the IB connection. I did develop filters and logic to deal with that and it is working good. I am only using the ON ORDER UPDATE event and did program my own execution logic and position object. That is doing what it should do. Only the log window bothers me because it is showing false information and therefore also the position on the chart window is false.
But I am going to live with it.