Using OnOrderUpdate()

[scriabinop23]

Hey there...

I have this code in my sys and I want it to run 'perpetually' ... I am using the onorderupdate to manually manage my stops and targets, and found that if I have this following code in 'onbarupdate', it doesn't cancel my stops (most importantly) and targets [not really necessary, but i have it here anyway] until the next bar:

if (Position.MarketPosition == MarketPosition.Flat && stopOrder != null)
{
CancelOrder(targetOrder);
CancelOrder(stopOrder);
stopOrder = null;
targetOrder = null;
}


Is this perfect code to have in OnOrderUpdate() to clear out old junk? If so, how 'often' does onorderupdate() actually run? Is it a perpetual loop based on seconds, or only when an Iorder variable gets changed?


or should I leave it in onBarupdate and put the cancelorder(stopOrder) right in my early exit routines that exist in onBarUpdate immediately after I issue the early sell commands? I figure they are better off in OnOrderUpdate if I elect to use ExitLongLimits that don't immediately filll. As I would not look to be without a stop if I'm in an unexited position.

I just want to post this to check that my understanding of this mechanism is indeed complete ... I am learning by trial and error, visual confirmation of behavior on paper test, and my Output window debug until then.

[NinjaTrader_Ray]

- OnOrderUpdate() fires anytime a change in any order in your strategy changes state
- I would only set a variable to null once I have received the Cancelled state back for the order that I cancelled

[scriabinop23]

- OnOrderUpdate() fires anytime a change in any order in your strategy changes state
- I would only set a variable to null once I have received the Cancelled state back for the order that I cancelled

excellent.. so a good solution might be (if I'm reading you correctly):

1) create a new Iorder order variable just for Cancelorder commands. when i change that variable, onorderupdate() reruns.
2) put a statement that looks for cancelorder filled conditions, then finally null out whatever was cancelled.

Question though:

Can I recursively use Iorder variables? Note that targetOrder will respur OnOrderUpdate.
ie:

in variables:

private IOrder cancel = null; // This variable holds an object representing our entry order

And in onorderupdate upon the mentioned condition.
cancel = CancelOrder(targetOrder);

[NinjaTrader_Ray]

Close...

myOrder = ExitLongStop();

somewhere you will:

CancelOrder(myOrder);

then in OnOrderUpdate():

if (myOrder != null && myOrder.Token == order.Token && order.OrderState == OrderState.Cancelled)
    myOrder = null;

[scriabinop23]

By the way, does setting an Iorder variable to null spawn OnOrderUpdate?

ie:

myOrder = null;

[scriabinop23]

Close...

myOrder = ExitLongStop();

somewhere you will:

CancelOrder(myOrder);

then in OnOrderUpdate():

if (myOrder != null && myOrder.Token == order.Token && order.OrderState == OrderState.Cancelled)
    myOrder = null;

Is the cancelled state or the filled state what I am looking for when cancelling a stop?

[NinjaTrader_Ray]

No it will not since that does not change the state of the underlying order.

[NinjaTrader_Ray]

You probably want to look for all possibilities -

Cancelled
Filled
Rejected

Since there is not guarantee that an order is cancelled when you cancel it. It may come back filled.

See this reference sample - http://www.ninjatrader-support.com/v...ead.php?t=3917

[scriabinop23]

No it will not since that does not change the state of the underlying order.

you are referring to the recursive ability, right? (ie cancel = CancelOrder(targetOrder)

[hard to follow with the topics changing.]

[NinjaTrader_Ray]

CancelOrder() does not return anything. You passed in targetOrder and thats the variable you use to check for in OnOrderUpdate()

[scriabinop23]

Oh one last thing.. (please bear with me as my C# is very primitive):

If I issue CancelOrder(targetOrder); in OnBarUpdate(), assuming targetOrder is a IOrder variable, does OnOrderUpdate get called?

And reminder: would targetOrder = null; being called in OnBarUpdate result in OnOrderUpdate getting called as well (since its null, not with a new order) ?

[NinjaTrader_Ray]

Setting a variable to null will not trigger order state changes. Your are only changing a variable and not an order. When cancelling an order you will get state changes for this order in OnOrderUpdate().

Trying adding this to OnOrderUpdate()

Print(order.OrderState.ToString());

and then run some stuff in OnBarUpdate() and see what output you get.

[scriabinop23]

Setting a variable to null will not trigger order state changes. Your are only changing a variable and not an order. When cancelling an order you will get state changes for this order in OnOrderUpdate().

Trying adding this to OnOrderUpdate()

Print(order.OrderState.ToString());

and then run some stuff in OnBarUpdate() and see what output you get.

I appreciate your help and teaching.
And will use the debug to figure the rest of this out.

So basically, if I in onBarUpdate, don't enter an order thru variable manipulation ...
ie not entryOrder = EnterLong();
But instead use:
EnterLong() right away,

Does OnOrderUpdate get called?

[scriabinop23]

CancelOrder() does not return anything. You passed in targetOrder and thats the variable you use to check for in OnOrderUpdate()

Oh one last thing... (hehe)

I am trying to spy on the state of the Iorder variables after an order (ie to see what they are after I issue cancelorder command) like this from onbarupdate():

Print(stopOrder.ToString());

And this compiles, but the backtest breaks here.. no more trades after this runs. Is this the wrong way to treat this variable?

[NinjaTrader_Ray]

Yes that's fine, the breaking is likely a logic issue which you need to debug.