Race condition and/or overfill ?

[csmith87]

Hello,

I've been working on an automated strategy, but in demo mode am getting at
various times overfills (this does not happen in market replay). I do not know if it is a race condition or other issue causing it. I have attached an Excel spreadsheet (uploaded as .txt ... may need to rename to .csv) with an example.

Note: in my example spreadsheet the overfill occurs at 2:24:55 PM.

Here is the sequence of events ... all qtys are 1 contract

Order Entry/Exit Position Order Name
------- ---------- ---------------
Sell Entry 1S Sell Short
Buy Exit - Buy to cover
Buy Entry 1L Close Position
Buy Entry 2L Buy < Overfill

Regards,

C Smith

[NinjaTrader_Austin]

Mr. Smith, does your strategy include a sequence of events like this: ExitLong() -> EnterLong()? If so, that would be causing the overfill. Would you mind attaching your strategy so we can see if anything else is out of place?

[csmith87]

Hello Austin,

Yes, my strategy contains code that would exhibit that type of behavior.

I'm attaching an edited version of my strategy that contains the offending code (I don't want to post my full strat in a public forum). Note that it won't compile, since the crossing conditions are missing.

Regards,

C Smith

[NinjaTrader_JoshP]

csmith87,

I suggest you turn TraceOrders = true and see what is happening with your orders. You should try and not place conflicting/duplicate orders as in-flight executions may already be in place. TraceOrders = true will help you evaluate what exactly is being submitted.

[csmith87]

Josh,

Thanks for your suggestion. Ok, I've turned TraceOrders on. I am posting the result (myStrategy,zip). 1 Excel spreadsheet and 1 Output file clip. Note that the timestamps for the entry trail the excel timestamps by 1 or 2 sec.

Summary of Output file clip ...

15:34:27 Entry Sell 1 @ 10653 PlaceOrder Sell Short
15:34:28 Execution: Filled Sell Short

16:14:51 Exit Buy 1 @ 10630 Place Order Buy to Cover
16:14:51 Entry Buy 1 @ 10657 Place Order Buy
16:14:55 Execution: Other Buy to Cover
16:14:59 Execution: Filled Close Position
16:14:59 Execution: Filled Buy

[NinjaTrader_JoshP]

csmith87,

Here is the problem as seen in your attached DOC. At 4:14:51 you sent in a BuyToCover order. You also sent in a Buy market at that exact same time. This for sure can lead to overfills since you have two competing orders now. Please only submit either an exit or an enter. If your goal was to reverse your position, only submit the enter order. If your goal was to exit, wait until the exit is filled before submitting any new entry orders.