OnExecutionUpdate()
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An event driven method which is called on an incoming execution of an order managed by a strategy. An execution is another name for a fill of an order.
•An order can generate multiple executions (partial fills)
•OnExecutionUpdate is typically called after OnOrderUpdate() is called
•Only orders which have been submitted and managed by the strategy will call OnExecutionUpdate()
•Executions drive the strategy Position object, which is updated when this method is called
Notes: •Programming in this environment is reserved for the more advanced user. If you are for example looking to protect a strategy managed position with a basic stop and target, then the Set() methods would be more convenient. •When connected to the Playback connection, it is possible for OnExecutionUpdate() to trigger in the middle of a call to OnBarUpdate(). The Sim101 account adds a simulated random delay for processing execution events, but the Playback connection triggers executions immediately, for the sake of consistency in backtesting. Because of this, OnExecutionUpdate() can appear to be triggered earlier than it would in live trading, or when simulation trading on a live connection. •Please also review Multi-Thread Considerations for NinjaScript •Its best practice to only work with the passed by value parameters and not reference parameters. This insures that you process each change of the underlying state. •Rithmic and Interactive Brokers Users: When using a NinjaScript strategy it is best practice to only work with passed by value data from OnExecution. Instances of multiple fills at the same time for the same instrument might result in an incorrect OnPositionUpdate, as sequence of events are not guaranteed due to provider API design. |
This method does not return a value.
protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
}
execution |
An Execution object passed by reference representing the execution |
executionId |
A string value representing the execution id |
price |
A double value representing the execution price |
quantity |
An int value representing the execution quantity |
marketPosition |
A MarketPosition object representing the position of the execution. Possible values are: •MarketPosition.Long •MarketPosition.Short |
orderId |
A string representing the order id |
time |
A DateTime value representing the time of the execution |
OnExecutionUpdate Example (See SampleOnOrderUpdate for complete example) |
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private Order entryOrder = null; // This variable holds an object representing our entry orderprivate Order stopOrder = null; // This variable holds an object representing our stop loss orderprivate Order targetOrder = null; // This variable holds an object representing our profit target orderprivate int sumFilled = 0; // This variable tracks the quantities of each execution making up the entry orderprotected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time){/* We advise monitoring OnExecution to trigger submission of stop/target orders instead of OnOrderUpdate() since OnExecution() is called after OnOrderUpdate()which ensures your strategy has received the execution which is used for internal signal tracking. */if (entryOrder != null && entryOrder == execution.Order){if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0)){// We sum the quantities of each execution making up the entry ordersumFilled += execution.Quantity;// Submit exit orders for partial fillsif (execution.Order.OrderState == OrderState.PartFilled){stopOrder = ExitLongStopMarket(0, true, execution.Order.Filled, execution.Order.AverageFillPrice - 4 * TickSize, "MyStop", "MyEntry");targetOrder = ExitLongLimit(0, true, execution.Order.Filled, execution.Order.AverageFillPrice + 8 * TickSize, "MyTarget", "MyEntry");}// Update our exit order quantities once orderstate turns to filled and we have seen execution quantities match order quantitieselse if (execution.Order.OrderState == OrderState.Filled && sumFilled == execution.Order.Filled){// Stop-Loss order for OrderState.FilledstopOrder = ExitLongStopMarket(0, true, execution.Order.Filled, execution.Order.AverageFillPrice - 4 * TickSize, "MyStop", "MyEntry");targetOrder = ExitLongLimit(0, true, execution.Order.Filled, execution.Order.AverageFillPrice + 8 * TickSize, "MyTarget", "MyEntry");}// Resets the entryOrder object and the sumFilled counter to null / 0 after the order has been filledif (execution.Order.OrderState != OrderState.PartFilled && sumFilled == execution.Order.Filled){entryOrder = null;sumFilled = 0;}}}// Reset our stop order and target orders' Order objects after our position is closed. (1st Entry)if ((stopOrder != null && stopOrder == execution.Order) || (targetOrder != null && targetOrder == execution.Order)){if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled){stopOrder = null;targetOrder = null;}}} |
Using Execution information to calculate Average Entry Price (Rithmic/Interactive Brokers Friendly Approach) |
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private Order targetLong1 = null; |
Additional Reference Samples
Additional reference code samples are available the NinjaScript Educational Resources section of our support forum.