SampleOnOrderUpdateModified with Strategy Analyzer

[frslvr]

Hi,

I'm trying to test your example strategy SampleOnOrderUpdateModified with Strategy Analyzer and all I get is just one trade.
Please see the screenshot.
Can you please explain why is this happening?

[NinjaTrader_BrandonH]

Hello frslvr,

Thanks for your post.

What is the specific strategy that you are testing?

Please include a link to where you found the strategy in question. Or, attach the strategy you are testing to your reply so we may investigate.

I look forward to your reply.

[frslvr]

Here is the link: https://ninjatrader.com/support/foru...tch?id=1163243

[NinjaTrader_BrandonH]

Hello frslvr,

Thanks for your note.

The behavior you are reporting would be due to Historical Overfill occurring. You will see a historical overfill when an Exit method fills on the same bar as another Exit, or on the same bar as a Set method. We see both exits fill, and we essentially entered in the opposite direction. Then, our EntryHandling rules won't allow a new order submission because we are already in a position.

Without using intra-bar granularity or High Order Fill Resolution, NinjaTrader only knows if an order would have filled (between the high and low) but not the order in which the orders will have filled as we only know the information of the finished bar. This can result in multiple orders filling on the same bar.

When using multiple exit methods it is always best to use intra-bar granularity or High Order Fill Resolution to prevent Historical Overfills.

Below is a link to a forum post on intra-bar granularity and High Order Fill Resolution.
https://ninjatrader.com/support/foru...377#post773377

The best solution for multiple entries and exits is an unmanaged strategy that uses OCOIDs, and this would not be affected by Historical Overfills (even without intra-bar granularity or High Order Fill Resolution).

Below are links to examples of scripts with stops and targets. The ProfitChaseStopTrailUnmanagedExample_NT8 has an example of using OCO IDs to prevent this behavior with multiple exit orders.
https://ninjatrader.com/support/foru...269#post802269

And, below is a link to another unmanaged script that demonstrates using OCO.
https://ninjatrader.com/support/foru...579#post770579

We do have a feature request for improvements to be made with Historical Overfills without having to use intra-bar granularity or High Order Fill Resolution and this is tracked with ID# SFT-2778. I will add your vote to this request.

Please let me know if we may be of further assistance.