Cancelled order triggers BarsSinceEntryExecution to increment by 1

[kreztmok]

Hello,

A cancelled order triggers BarsSinceEntryExecution to increment by 1, going from BarsSinceEntryExecution: -1 to BarsSinceEntryExecution: 0
See below debug prints:

15/12/2023 00:06:00 Strategy 'UnmanagedTemplate/-1': Entered internal SubmitOrderUnmanaged() method at 15/12/2023 00:06:00: BarsInProgress=0 Action=SellShort OrderType=StopLimit Quantity=1 LimitPrice=4767.00 StopPrice=4766.75 SignalName='Short limit entry'
15/12/2023 00:06:00 Strategy 'UnmanagedTemplate/-1': Entered internal SubmitOrderUnmanaged() method at 15/12/2023 00:06:00: BarsInProgress=0 Action=Buy OrderType=StopLimit Quantity=1 LimitPrice=4769.50 StopPrice=4769.75 SignalName='Long limit entry'
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: -1
15/12/2023 00:07:00 Strategy 'UnmanagedTemplate/-1': Cancelled custom managed order: orderId='NT-00001-743' account='Backtest' name='Long limit entry' orderState=Working instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 00:08:08System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution: 0

Any ideas why this is happening?

Thanks you

[NinjaTrader_ChelseaB]

Hello kreztmok,

Please also print the order.ToString() in OnOrderUpdate() and in the print specify which signal name BarsSinceEntryExecution is being called for.

I am not able to reproduce.

Attached is a simple test script and the output text file.
BSEEUnamagedTest_NT8.zip
NinjaScript Output 2_29_2024 7_57 AM.txt

[kreztmok]

Hello Chelsea,

I have added this and the following print is shown:

orderId='NT-00000-202' account='Backtest' name='Short limit entry' orderState=Submitted instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00000-202' account='Backtest' name='Short limit entry' orderState=Accepted instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00000-202' account='Backtest' name='Short limit entry' orderState=Working instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00001-202' account='Backtest' name='Long limit entry' orderState=Submitted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 17:14:06System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00001-202' account='Backtest' name='Long limit entry' orderState=Accepted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 17:14:06System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00001-202' account='Backtest' name='Long limit entry' orderState=Working instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 17:14:06System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
orderId='NT-00000-202' account='Backtest' name='Short limit entry' orderState=Filled instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=1 averageFillPrice=4767 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00001-202' account='Backtest' name='Long limit entry' orderState=CancelPending instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 17:14:06System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00001-202' account='Backtest' name='Long limit entry' orderState=CancelSubmitted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 17:14:06System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00001-202' account='Backtest' name='Long limit entry' orderState=Cancelled instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 17:14:06System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: 0
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: 0
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: 0
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: 0

For your info I have developed the strategy for tick replay

[NinjaTrader_ChelseaB]

Hello kreztmok,

Are you able to reproduce using the test script I provided you?

I am seeing an order filled.

orderId='NT-00000-202' account='Backtest' name='Short limit entry' orderState=Filled instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=1 averageFillPrice=4767 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'

BarsSinceEntryExecution for the Short limit entry is 0 because the entry filled 0 bars ago.

[kreztmok]

Hello Chelsea,

At Onorderupdate i have added a line that print the Currentbar[0].
With these additional prints i see the issue changed into the BarsSinceEntryExecution not incrementing after a full bar, see:

15/12/2023 00:06:00 Strategy 'UnmanagedTemplate/-1': Entered internal SubmitOrderUnmanaged() method at 15/12/2023 00:06:00: BarsInProgress=0 Action=SellShort OrderType=StopLimit Quantity=1 LimitPrice=4767.00 StopPrice=4766.75 SignalName='Short limit entry'
orderId='NT-00000-354' account='Backtest' name='Short limit entry' orderState=Submitted instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 5
orderId='NT-00000-354' account='Backtest' name='Short limit entry' orderState=Accepted instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 5
orderId='NT-00000-354' account='Backtest' name='Short limit entry' orderState=Working instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 5
15/12/2023 00:06:00 Strategy 'UnmanagedTemplate/-1': Entered internal SubmitOrderUnmanaged() method at 15/12/2023 00:06:00: BarsInProgress=0 Action=Buy OrderType=StopLimit Quantity=1 LimitPrice=4769.50 StopPrice=4769.75 SignalName='Long limit entry'
orderId='NT-00001-354' account='Backtest' name='Long limit entry' orderState=Submitted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 18:12:12System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 5
orderId='NT-00001-354' account='Backtest' name='Long limit entry' orderState=Accepted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 18:12:12System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 5
orderId='NT-00001-354' account='Backtest' name='Long limit entry' orderState=Working instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 18:12:12System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 5
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1
orderId='NT-00000-354' account='Backtest' name='Short limit entry' orderState=Filled instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=1 averageFillPrice=4767 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 6
15/12/2023 00:07:00 Strategy 'UnmanagedTemplate/-1': Cancelled custom managed order: orderId='NT-00001-354' account='Backtest' name='Long limit entry' orderState=Working instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 18:12:12System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00001-354' account='Backtest' name='Long limit entry' orderState=CancelPending instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 18:12:12System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 6
orderId='NT-00001-354' account='Backtest' name='Long limit entry' orderState=CancelSubmitted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 18:12:12System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 6
orderId='NT-00001-354' account='Backtest' name='Long limit entry' orderState=Cancelled instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4769.5 stopPrice=4769.75 quantity=1 tif=Gtc oco='29/02/2024 18:12:12System.Int32[]entry' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'
Currentbar[0] = 6
15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: 0
15/12/2023 00:08:00BarsInProgress: 0 currentbar0: 7 BarsSinceEntryExecution Short limit entry: 0


here are results from your script, works as expected:
15/12/2023 00:21:00 | BarsSinceEntryExecution(0, "entry", 0): -1
15/12/2023 00:21:00 Strategy 'BSEEUnamagedTest/-1': Entered internal SubmitOrderUnmanaged() method at 15/12/2023 00:21:00: BarsInProgress=0 Action=Buy OrderType=StopLimit Quantity=1 LimitPrice=4777.50 StopPrice=4777.50 SignalName='entry'
orderId='NT-00000-428' account='Backtest' name='entry' orderState=Submitted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4777.5 stopPrice=4777.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:21:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00000-428' account='Backtest' name='entry' orderState=Accepted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4777.5 stopPrice=4777.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:21:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00000-428' account='Backtest' name='entry' orderState=Working instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4777.5 stopPrice=4777.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:21:00' gtd='2099-12-01' statementDate='2024-02-29'
15/12/2023 00:22:00 | BarsSinceEntryExecution(0, "entry", 0): -1
15/12/2023 00:22:00 Strategy 'BSEEUnamagedTest/-1': Cancelled custom managed order: orderId='NT-00000-428' account='Backtest' name='entry' orderState=Working instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4777.5 stopPrice=4777.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:21:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00000-428' account='Backtest' name='entry' orderState=CancelPending instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4777.5 stopPrice=4777.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:21:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00000-428' account='Backtest' name='entry' orderState=CancelSubmitted instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4777.5 stopPrice=4777.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:21:00' gtd='2099-12-01' statementDate='2024-02-29'
orderId='NT-00000-428' account='Backtest' name='entry' orderState=Cancelled instrument='MES MAR24' orderAction=Buy orderType='Stop Limit' limitPrice=4777.5 stopPrice=4777.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2023-12-15 00:21:00' gtd='2099-12-01' statementDate='2024-02-29'
15/12/2023 00:23:00 | BarsSinceEntryExecution(0, "entry", 0): -1

[NinjaTrader_ChelseaB]

Hello kreztmok,

In OnOrderUpdate() you would only want to print the order.ToString() object, and in OnBarUpdate() print the CurrentBars[0] value.

The 'Short limit entry' fills while the 7:00 bar is open.

15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: -1

orderId='NT-00000-354' account='Backtest' name='Short limit entry' orderState=Filled instrument='MES MAR24' orderAction=SellShort orderType='Stop Limit' limitPrice=4767 stopPrice=4766.75 quantity=1 tif=Gtc oco='' filled=1 averageFillPrice=4767 onBehalfOf='' id=-1 time='2023-12-15 00:06:00' gtd='2099-12-01' statementDate='2024-02-29'

Within the same bar (0 bars ago) the BarsSinceEntryExecution() returns 0.

15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: 0

This is the expected behavior.

[kreztmok]

Hello Chelsea,

I understand that within the same bar it goes from -1 to 0 but why when it goes from Currentbat =6 to Currentbar=7 it doesnt increment by 1?

15/12/2023 00:07:00BarsInProgress: 0 currentbar: 6 BarsSinceEntryExecution for Short limit entry: 0
15/12/2023 00:08:00BarsInProgress: 0 currentbar0: 7 BarsSinceEntryExecution Short limit entry: 0

[NinjaTrader_ChelseaB]

Hello kreztmok,

That appears to be a different print with slightly different text.

Are you certain this is the same print, printed from OnBarUpdate() and that these are not two different lines of code with prints?

[kreztmok]

Hello Chelsea,

These are two lines below each other i wrote and one i forgot to put "for" in the string .

To be honest i have no clue why this happens, because if i try in your script everything works as expected.

I found a work-around using a var to increment the bars after a fill on the entry is signalled.
After exit this variable gets reset and that's what i use to count the barssinceentry and this works fine.

Thank you for the aid!