Overfill from two orders

[2Look4me]

Hello,

I got the following error: "An overfill was detected on order...... Action=BuyToCover Limit price=0 Stop price=0 Quantity=1". Apparently a StopLoss was executed exactly at the same time as a BuyToCover order causing the error.

If this is correct, is there a way to avoid this from happening again when these two orders execute at the same time? Thanks

[NinjaTrader_AlanP]

Hello 2Look4me,

Thank you for your note.

This case would be resolved through custom debugging of the users script to determine exactly why the Over-Fills occurred.

Over-Fills is a serious issue that can occur when using complex entry conditions that bracket the market in both directions end up with both entries being filled instead of one being cancelled. Over-Fills can also occur when you place a trade quickly hoping to close a position while a prior order to close the same position already had an in-flight execution. The exact scenarios in which an over-fill can occur is highly dependent on the specific strategy programming. By default, NinjaTrader will protect against over-fills even though you are using the Unmanaged approach by halting the strategy, but should you decide to custom program your own over-fill handling it is up to you to either prevent over-fills from being a possibility in your code or by introducing logic to address over-fills should one occur.

Your NinjaScript / C# Code will always be logically processed and evaluate according to your set logic – this can of course lead to unexpected results at times, thus we would suggest to simplify and debug your code to better understand the event sequence it would go through - unfortunately we cannot offer such debug or code modification services here, but please see the provided resources below to help you proceed productively :

First of all you would want to use Print() statements to verify values are what you expect - Debugging your NinjaScript code.

For strategies add TraceOrders = true to your Initialize() method and you can then view valuable output related to strategy submitted orders through Tools > Output window - TraceOrders

It may also help to add drawing objects to your chart for signal and condition confirmation - Drawing Objects.

If you would prefer the debug assist of a professional NinjaScript consultant, please let us know and we can provide you a list of third parties.

Please let me know if you have any questions.

[2Look4me]

Hi Alan,
Thanks for the reply. Perhaps I didn't explain it clearly. I mentioned:

a StopLoss was executed exactly at the same time as a BuyToCover order causing the error.

So, I did the debugging and noticed that a StopLoss occurred at 7:53:28 and immediately a BuyToCover occurred also at 7:53:28 creating the "Overfill error".

Therefore, under these circumstance is there a way to avoid a similar overfill error?

[NinjaTrader_AlanP]

Hello 2Look4me,

Are you using the managed or unmanaged approach?

Are you using a StopLoss method in addition to having logic written to close your position when certain conditions are met? For example a stop of 5 ticks in addition to some if statement that exits your position if that if statement becomes true as well?

I look forward to your reply.

[2Look4me]

Unmanaged strategy with StopLoss method and an if statement as below:

protected override void Initialize()
        {            
            SetStopLoss(CalculationMode.Ticks,20);           
        }

protected override void OnBarUpdate()
        {

             if (Position.MarketPosition == MarketPosition.Short)
                {
                    if(Statement A)
                    {
                        ExitShort();
                    }
                }
        }

Thanks again

[NinjaTrader_AlanP]

Hello 2Look4me,

You might consider adding logic which would disable your exit call if within x distance of your stop loss order to prevent this from happening. Or you could build logic which would handle an overfill.

Please let us know if you need further assistance.