Calculation in OnExecutionUpdate wrong due ignored SubmitOrderManaged()

[Airwave]

Hello,

I'm doing some position quantity calculation in OnExecutionUpdate.

Now I'm trying to identify, why in some scenarios masterStrategy.Position.Quantity is different from my calculation that is basically doing the following:

CurrentPositionSize= volume + CurrentPositionSize;
or
CurrentPositionSize= volume - CurrentPositionSize;


I found some : Ignored SubmitOrderManaged() .
Think OnExecutionUpdate is entered before Ignored SubmitOrderManaged() is raised?
Can I catch these Ignored SubmitOrderManaged() on any way?

(Of course I'll try to identify also, why these Ignored SubmitOrderManaged() are raised but here I only want to prevent, that my calculation is getting wrong.

Thanks in advance.

[NinjaTrader_Jim]

Hello Airwave,

Thanks for your post.

The Position object is updated based on Execution events and updated as early as OnExecutionUpdate. What is the context of using "masterStrategy.Position.Quantity?" This does not sound like a typical use of a NinjaScript strategy.

Managed Approach orders would be ignored if we break an internal rule of the Managed Approach, or try to Exit a quantity that is greater than the strategy's Position (which is calculated from execution's.)

Internal Rules - https://ninjatrader.com/support/help...d_approach.htm

It is also unclear on your use of "volume" and "CurrentPositionSize"

Could you further describe what you are trying to accomplish and show what you are attempting? It helps us best if you can provide an example that shows what you are doing in simple terms.

Exporting as source code - https://ninjatrader.com/support/help...tml?export.htm

We look forward to assisting.

[Airwave]

Hello,

I found the issue and it was totally different from what I thought before.



When I create some Limit orders that are pending and waiting for execution and then execute in between such a lot market orders (all orders limit and market in same direction e.g. Short) that the Position.Quantity reaches Int32.MaxValue then the Position.MarketPosition turns (e.g from Short to Long) when the limit orders get executed.

Think this is a bug in an edge case szenario.

Cheers

[NinjaTrader_Jim]

Hello Airwave,

This sounds like a very particular situation to set up.

If you can illustrate ill behavior in a small example, we could use that to review and see if we are looking at a bug.