Stop-loss and take-profit updating quantity to sum of separate orders

[rgoudie]

Greetings!

I have an issue where the quantities of my stop-loss and take-profit working orders are being updated to the sum of the individual orders to which they're attached.

When conditions are right, I create two orders: one scalper and one runner.
The scalper order has a stop-loss and a take-profit attached to it.
The runner order only has a parabolic-stop-loss attached to it.

When both orders are created, the flow of orders seems fine. However, during the call to OnBarUpdate for the next bar, the stop-loss and take-profit working orders have their quantities updated to the sum of the individual scalper and runner orders. This is not good.

Here are screenshots of relevant code and debug tracing:

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The code in OnStateChange for State == SetDefaults:

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The code snippet that executes the orders:

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The trace file contents:



I am attaching the trace file (DEBUG.TXT) so that you may have access to the order JSON, which is appended to the end of each order line.

I would really like to understand why the scalper's stop-loss and take-profit, as well as the runner's parabolic-stop-loss are all having their quantities updated to the sum of the individual order's quantities.

Thanks.

[NinjaTrader_ChelseaB]

Hello rgoudie,

It would be expected that the exit order quantities match the filled quantity for the entry they are attached to.

What behavior are you expecting?

Are you expecting the exits quantity to be more than the entry quantities?

You can use exit orders, like ExitLongStopLimit, and control the quantity of the exit orders if you would like.

[rgoudie]

Hi, Chelsea. Thanks for the reply.

I am not sure why you are referencing exit orders. I never mention exit orders.

If you view the third image in my initial post, you can see a screenshot of the order flow.
The green box shows what I expected to happen.
I set a stop-loss and take-profit for my scalper's signal name, then create an order using that scalper's signal name. The quantity was 4.
I then set a parabolic stop-loss for the runner's signal name, then created a second order using that runner's signal name. The quantity was 1.

The green box surrounds what I expect. The orders are created with the correct quantities.

On the completion of the next bar (2021-08-01 17:40), we see that the quantities of both stop-loss working orders as well as the take-profit working order have all had their quantities updated to the sum of the individual orders: 4 + 1 = 5. I surrounded that section with a red box. This was not expected and breaks my strategy.

My question remains: why are the quantities being updated in the next bar?

Hello rgoudie,

It would be expected that the exit order quantities match the filled quantity for the entry they are attached to.

What behavior are you expecting?

Are you expecting the exits quantity to be more than the entry quantities?

You can use exit orders, like ExitLongStopLimit, and control the quantity of the exit orders if you would like.

[NinjaTrader_ChelseaB]

Hello rgoudie,

You have stated:

I have an issue where the quantities of my stop-loss and take-profit working orders are being updated to the sum of the individual orders to which they're attached.

'stop-loss' and 'take-profit' are terms we use for exits and not for entries. Are you using a stop-loss as an entry order? Are you meaning an entry stop market order with EnterLongStopMarket()?

Can you clarify how you are not mentioning exits and you are only mentioning entries?

To answer your question, Set method orders are automatically updated when OnBarUpdate is updated. However, this would refer to exits and not to entries, so I am unsure of what is happening in your script. I would not be expecting the entry order quantities to update, unless you are calling the entry order method again, using the same signal name, with a different quantity. In which case, the logic in the script would be causing the behavior.