Race Condition Issue and Order Reject

[dax3k]

Hi,

I have attached a screenshot of a live trade gone wrong because of a race condition.

When the 'order reject' was received by NinjaTrader, it tried to close the position but failed to do so and exited (stopped the strategy) with the trade still running.

Here's a summary of what happened:
1) Strategy tried to change a pending limit order.
2) In exactly the second it submitted the change request, the initial order got filled by the exchange.
3) The change order was then 'Rejected' because the initial order has been filled.
4) Ninja thinks everything went nuclear, because of the order reject and tries to close the position while turning off the strategy.
5) Ninja cannot close the position ... *Possibly* because the 'Filled' event didn't arrive yet ?!?!

So there are 2 issues here:
- Race Condition (how to fix this?)
- Ninja terminating a strategy without closing the position, deadly!

Thank you very much for any help,
dax3k

[NinjaTrader_Jason]

Hello dax3k,

Once an order submitted by an automated strategy is rejected, the strategy will be terminated. This is as expected and as far as I know cannot be changed.

Unfortunately this is one of the risks upon trading electronically. As you mentioned, before the order receives confirmation of its modification, it executes.

[mrlogik]

Jason,

If you set the following in Initialize(), won't that obviate the strategy termination?

RealtimeErrorHandling = RealtimeErrorHandling.TakeNoAction;

[NinjaTrader_Bertrand]

Correct mrlogik, but then you need to take manually care in case orders get rejected...

[mrlogik]

That's fine. As long as there is a way to detect such an event, and take any actions you feel necessary to preclude a major catastrophe.

which, there is :-)

[NinjaTrader_JoshP]

dax3k,

Which brokerage are you with? IB? Are you on NT6.5.1000.9? Please send in your trace & log files to support [at] ninjatrader ]dot[ com Attn: Josh and mention this thread. We would like to investigate those files to see if we can find any clues. Thank you.

[dax3k]

Hi Josh,

Thank you for your help.

Submitted my logs last week and got a reply; although I'm not yet convinced that an upgrade will solve this race condition issue.

Now, if I were turn on the following command:
RealtimeErrorHandling = RealtimeErrorHandling.TakeNoAction;

How would I handle Order Rejects manually? Could you give me an example in terms of code? For instance, if an order was rejected, will Ninja try to resubmit the order again? What if the order was rejected (an order to change the limit price) because the original order had already been filled .. will Ninja wait for a confirmation from IB or will it try to resubmit a 'change limit order' once again?

In essence, on an 'Order Reject', how does Ninja determine the net position within the strategy?

Appreciate your help on this matter,

dax3k

[NinjaTrader_JoshP]

dax3k,

Do you have a ticket number for the email case?

If you turned off error handling you will have to do all of that yourself. You can see order reject events in the OnOrderUpdate() method. You will receive an OrderState of Rejected. Please see the reference sample here for an idea of using OnOrderUpdate(): http://www.ninjatrader-support2.com/...ead.php?t=7499

When you turn off error handling NinjaTrader will not do anything by default. You will need to program it to do whatever you want. If you want to resubmit you have to tell it to resubmit, etc. etc. NinjaTrader knows its position because an order reject doesn't change anything on its strategy position.