If there would be an OnOverfill we could overwrite this would make strategy development much simpler - this would be a compromise between Managed and Unmanaged approach.
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OnOverfill event
The main reason for unmanaged approach seems to be overfill issue - so if there is still a chance to make some improvement in this area here is my suggestion
If there would be an OnOverfill we could overwrite this would make strategy development much simpler - this would be a compromise between Managed and Unmanaged approach.Tags: None
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Hello gregid,
Thank you for your post.
Are you referring to a option like IgnoreOverFill() but for the Managed Approach?
Information on IgnoreOverFill() at the following link: http://www.ninjatrader.com/support/h...reoverfill.htm
I look forward to your response.
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Originally posted by gregid View PostThe main reason for unmanaged approach seems to be overfill issue - so if there is still a chance to make some improvement in this area here is my suggestion
If there would be an OnOverfill we could overwrite this would make strategy development much simpler - this would be a compromise between Managed and Unmanaged approach.
but also it is to control entry techniques such as all in and scale out with multiple brackets/ocos
two entry orders oco above and below a breakout -
control margin on reversals and take time/fully control reversals and in flight orders etc
its a lot faster tooo!!!
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Yes - it would be great if just for changing the behavior of encountered overfills we wouldn't have to go Unmanaged. So if there would be an OnOverfill event triggered on overfills that we could edit it could give as this option
Maybe there are some other ideas of making this compromise - that's just my proposal.
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Yes agreed its a nice event - but it doesnt stop there
onOverFill is an event i manually add - after detecting a few scenarios
also there is underFill....
really you need to cancel all/ fill all working orders
then see the state, close and from that point do the reversal
if you get an underfill mid reversal - some external interruption or other bug
then its best to flatten all - if you got multiple brackets and scale out....s
with overfills you are assuming that an order filled or part filled as a cancel was sent to the exchange - so that when all is cancelled you can then see the actual postiion and close it - keeping the minimum margin required...
or it is an overfill where you send cancel - all is filled or cancelled
you reverse based on the position pre-cancel
but a fill occurs during that
so you end up with an extra lot for example so then your position has units without stops and you have unprotected loss..... so then you chose to close all or try to address it as you go... with a post order cancel - post reversal execution event which halts all new signals while it checks... and totals up the stops and entries and targets etc...
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Originally posted by MicroTrends View PostOverfill handling was the big one....in Nt7
but also it is to control entry techniques such as all in and scale out with multiple brackets/ocos
two entry orders oco above and below a breakout -
control margin on reversals and take time/fully control reversals and in flight orders etc
its a lot faster tooo!!!
I may personally be fine doing it in Unmanaged strategy, but I know of plenty of people getting discouraged by this and abandon NinjaTrader strategy development completely, hence the idea for the compromise.
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Originally posted by gregid View PostYes I know there are plenty of other reasons - I use them too. But ask yourself how many times you've seen people asking - why is my strategy shutting down and the answer is - you need to go Unmanaged .
I may personally be fine doing it in Unmanaged strategy, but I know of plenty of people getting discouraged by this and abandon NinjaTrader strategy development completely, hence the idea for the compromise.
but even with unmanaged i have seen some terrible holes in code by the "certified consultants" that thought the dealt with it.... and simply ran away and left vendors with dangerous code...
onOverFill event would be generic to many scenarios..... incluiding cancelling a patfilled order...etc.. yes i would use it in managed mode strategies.... if i ever do write those ever again i have 1 product that uses that from 2009....
For the hobbyists its a case of liability.... ? allowing hobbyists to code their own solution - and signing away their rights to say hey you let me do it.....
i believe NT8 is not so sensitive to an overfill... i am soak testing a simply strategy on a server to test this versus NT7.... i need to see what happened...
simply a stop at 10 ticks on a 10 range bar
entry is a reversal - so there should be a clash sometime....
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Originally posted by gregid View PostYes I know there are plenty of other reasons - I use them too. But ask yourself how many times you've seen people asking - why is my strategy shutting down and the answer is - you need to go Unmanaged .
I may personally be fine doing it in Unmanaged strategy, but I know of plenty of people getting discouraged by this and abandon NinjaTrader strategy development completely, hence the idea for the compromise.
Aha also i create algorithmic frameworks to allow strategy development using unmanaged code... you can try it - its all free.... i will be migrating this to NT8....
info about it: http://www.ninjatrader.com/support/f...ad.php?t=73822
Also i will be writing a layer over the default methods that will look the same but will be unmanaged - i might even do this open source this time around on git hub.... for NT8 so maybe others want to join in that if NT8 does still have the overfill unmanaged conundrum etcLast edited by MicroTrends; 05-08-2015, 09:12 AM.
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Originally posted by gregid View PostYou do have very valid points. The framework you provided looks really impressive! Looking forward to looking more into it, as you already pointed out some "holes" in my code regarding overfills
I am meant to be releasing an update 7.0.1.6 today but got carried away here...
the current stable version 7.0.1.5 there only has 2 brackets and market orders...
if you want limit or stop entry i will be adding them next week on demand:-)
MTDS is the baby one that grew into a framework for rapid development - but as its compiled you have to use indicators as shown in the SDK - to bring the wrappers/concrete factory methods or whatever they are into context.... to prevent crossthreaded explosions - if we had side by side Dlls for indicators and strategies it would be easier work - so there are some compromises
i have a larger trade engine i use for commercials and 1 vendor bluewave - but it has no trade management... only order submission /reversing and fault tolerance...handling etc...
i will write an unmanaged extension/layer over NT8 now in open source you have given me the incentive thank you
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Originally posted by MicroTrends View Posti will write an unmanaged extension/layer over NT8 now in open source you have given me the incentive thank you
I am just starting to dive into strategies in NT8 and was wondering what is your current view regarding NT8 strategies and order handling including overfill issue. Also, any progress on the NT8 extension layer?
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currently not yet due to current workstack :-)
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