A matter of timing?

[timmbbo]

NT Support Super Dudes, I'd like to check if I'm encountering an unexpected issue of timing. My code is something like:

Calculate = Calculate.OnPriceChange;
OnBarUpdate()
if (entryOrder = null and some condition) entryorder = EnterLong()
if (entryOrder != null and some condition) entryorder = ExitLong()


OnOrderUpdate()
if (Order.IsTerminalState(order.OrderState)) entryOrder = null;
else entryOrder = order;


When I run this in backtest, no problem. When I run on a live market, both the EnterLong and ExitLong get hit multiple times in a row, like 2-5 times. I'm guessing that's because, after the EnterLong or ExitLong is called, it takes a moment for the order execution. Therefore, the update to the entryOrder value is delayed. Essentially, I go through the loop again before entryOrder is updated, so I end up repeating under the previous conditions.

Would this seem right to you? If so, any thoughts on how to address?

Thanks,

[NinjaTrader_ChelseaB]

Hello timmbbo,

In backtest, may I confirm that you have TickReplay enabled to allow Calculate to update for each price change and a 1 tick series is added and orders are placed to the 1 tick series for intra-bar granularity? (Other wise the script will be running with Calculate.OnBarClose)

https://support.ninjatrader.com/s/article/Developer-Guide-Improving-backtest-order-fill-accuracy-with-intrabar-granularity

Yes, it does take a small amount of time for the order to be submitted, accepted, working, filled, and then for the message the order was filled to be sent back to ninjatrader, and then for the execution to be processed and update OnOrderUpdate(). However, with Calculate.OnPriceChange I would expect a market order to fill before the next bar update.
Printing the information above the condition and from OnOrderUpdate() to the output window would let you know for sure.

https://support.ninjatrader.com/s/article/Developer-Guide-Debugging-using-Print-and-TraceOrders

[bltdavid]

if (entryOrder = null and some condition) ...

Just to confirm, the above = should really be ==, like this,

if (entryOrder == null and some condition) ...

Right?