Hello! I have some issues implementing my bracket orders strategy. When I submit an market order (Buy or Sell) the bracket orders (target profit and stop loss) should be send too according to this piece of code :
However, that is not always the case in reality. Sometimes the market order is filled but the position is not yet open and therefore the PositionAccount.AveragePrice variable seems empty which leads to an incorrect calculation of the stop loss price and target profit price values when entering the "SendBracket_Orders" method. Maybe I could implement a while loop in that method that would wait for the position to be open or maybe there is a better solution to this problem ?
Code:
string[] instruments = {"ES"}
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice, int quantity, int filled,
double averageFillPrice, OrderState orderState, DateTime time, ErrorCode error, string nativeError)
{
...
else if (order.Name == "EnterLong_" + instruments[0] || order.Name == "EnterShort_" + instruments[0])
{
if (orderState == OrderState.Filled)
{
SendBracket_Orders(order.Name);
}
}
...
}
private void SendBracket_Orders(string orderName)
{
Print("sending bracket orders...");
string ocoString = string.Format("unmanagedexitlongoco{0}-{1}", DateTime.Now.ToString("hhmmssffff"), instruments[0]);
if (orderName == "EnterLong_" + instruments[0])
{
double profitTargetPrice = PositionAccount.AveragePrice + tpInTicks * TickSize;
double stopLossPrice = PositionAccount.AveragePrice - slInTicks * TickSize;
SubmitOrderUnmanaged(BarsInProgress, OrderAction.Sell, OrderType.MIT, quantities[0], 0, profitTargetPrice, ocoString, "profit_target_long");
SubmitOrderUnmanaged(BarsInProgress, OrderAction.Sell, OrderType.StopMarket, quantities[0], 0, stopLossPrice, ocoString, "stop_loss_long");
}
else if (orderName == "EnterShort_" + instruments[0])
{
double profitTargetPrice = PositionAccount.AveragePrice - tpInTicks * TickSize;
double stopLossPrice = PositionAccount.AveragePrice + slInTicks * TickSize;
SubmitOrderUnmanaged(BarsInProgress, OrderAction.Buy, OrderType.MIT, quantities[0], 0, profitTargetPrice, ocoString, "profit_target_short");
SubmitOrderUnmanaged(BarsInProgress, OrderAction.Buy, OrderType.StopMarket, quantities[0], 0, stopLossPrice, ocoString, "stop_loss_short");
}
else
{
Print("Can't submit bracket orders for flat position");
return;
}
}
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