onexecution - COBC

[tonynt]

Hello,

I´m recognizing differences in behavior in OnExecution (if there is no error on my end) depending if I have COBC=false or COBC=true.

* I want to ask please if there might be a difference depending of COBC in onExecution. (Like eg if(exec.Order!=PartFilled) entryOrder1 = null; is with closeofbar or immediately when filled?)

* And I want to ask please another question by using a variable to explain what I mean: If eg the Variable is set to 1 with "onexecution" (eg an entryorder) is this value 1 "fixed" as long the enterlong is filled or can its value be changed referring to other conditions (even when long still filled)

(My issue is that with exitorder the corresponding stop is cancelled (which is correct in my coding) with COBC=false but persists with COBC=true and I can´t find out as the coding of the strategies to test is the same except COBC. As the referring "action" to cancel the stoporder once the exitorder is filled is in onexectuion I´m thinking about behavior there)

Thanks
Tony

[NinjaTrader_CalH]

HI Tonynt,

Thanks for posting.

Can you provide me some examples of the differences you are seeing with the COBC set to true and false?

Are you calling any variables in the OnBarUpdate that are updating in the OnExection?

OnExecution will not be affected by COBC, since it will only be called when an incoming order executions is processed directly from the Broker and SIM engine.

I look forward to your response.

[tonynt]

Hello,

I have rebuilt the strategies and changed everything step by step. The problem is not if COBC= true or false.

I found out that the reason is in the initialize section. With "if (BarsInProgress!=2) return;" it works that once exitOrderXY is filled, then the corresponding stopOrderXY is cancelled. (dataseries 2 I have the entry-conditions)

But when starting the strategy with if(Historical) return; it doesn´t work, this means that once the exitOrderXY is filled the stopOrderxY is not cancelled and persists. Why?

For your information the reason why I start the strategy with if(Historical)return; is simple to set a flag to false when starting the strategy and only with certain conditions eg HMA is falling I set the flag on true for longs (as the strategy will go long only when HMA is rising again - the sense is that I want to avoid a "late" entry).

Nothing exciting in my strategies but I have the problem now that I have to "decide" if my exitOrderXY filled and stopOrderXY cancelled are working correctly (with BarsInProgess2) or that my flag is correct from the moment of starting the strategy (with Historical)

How can I do please so that both are working, a.) the flag is false when starting (and not set to true because of course there were conditions to set true some moment in the past) and b.) the exits are working correctly with

if (exitOrderXY != null && exitOrderXY == execution.Order&& execution.Order.OrderState == OrderState.Filled|| execution.Order.OrderState == OrderState.PartFilled)
{
CancelOrder(stopOrderXY);
}

This seems to be the last - but surprising - problem after 3 years of working with NinjaTrader scripts.

Thanks for all your support and thanks in advance for clearifying how I can solve this problem finally!


Thanks
Tony

HI Tonynt,

Thanks for posting.

Can you provide me some examples of the differences you are seeing with the COBC set to true and false?

Are you calling any variables in the OnBarUpdate that are updating in the OnExection?

OnExecution will not be affected by COBC, since it will only be called when an incoming order executions is processed directly from the Broker and SIM engine.

I look forward to your response.

[NinjaTrader_CalH]

Hi Tonynt,

I would suggest create a bool that is set to false once initialized.
Then have an if statement (historical && //other conditions) set the bool to true.

Your cancels in the execution should be ok.

Let me know if you need further assistance.

[tonynt]

Hello Cal,

thank you for your support. This is exactly what I think and I try to do but it doesn´t work as I wrote and tried to explain.

* With if (Historical) the cancel stopOrder doesn´t work once the exitOrder is done. I don´t know why it doesn´t cancel the stopOrder! The stopOrder is only cancelled with if(BarsInProgress!=0) return; or eg with if (BarsInProgress!=2)return;

* But when using if(BarsInProgress!=0)return; the initialize bool doesn´t work. I do debug with background coloring and outputwindow and I see that the bool=true since HMA falling in the past.

This is how I do:

protected override void Initialize()
{
TraceOrders = true;
tradesactive=false;
}

protected override void OnBarUpdate()
{
if (BarsInProgress!=3)
return;

if( Falling(HMA(BarsArray[5],89)))
tradesactive=true; Print("tradesactive: " + tradesactive); Print(Time[09);

Could I explain what I mean, or do I not understand what you suggest maybe(?)


Thank you for your support!
Tony

Hi Tonynt,

I would suggest create a bool that is set to false once initialized.
Then have an if statement (historical && //other conditions) set the bool to true.

Your cancels in the execution should be ok.

Let me know if you need further assistance.

[tonynt]

Hello Cal,

you wrote if (Historical &&...)

and can I assume that you mean - referring the given example - if(!Historical &&...)

So, is everything correct for NT when I put bool tradesactive=false; into initialize section and then into OnBarUpdate

if(!Historical&& BarsInProgress==3&&Falling(MACD(BarsArray[8],12,26,9).Avg))
tradesactive=true;

Thanks
Tony

[NinjaTrader_CalH]

Tonynt,

Yes, using the

if(!Historical&& BarsInProgress==3&&Falling(MACD(BarsArray[8],12,26,9).Avg))

looks correct with using real-time data for your strategy.

[tonynt]

Thanks, yes it works already!

Tonynt,

Yes, using the

if(!Historical&& BarsInProgress==3&&Falling(MACD(BarsArray[8],12,26,9).Avg))

looks correct with using real-time data for your strategy.