Dealing with Overfill

[WilliamW]

Hi,

Why does overfill only occur on my Live Data Account, but never on Sim Data?
Is there a reason for this?

And is there any relatively simple way to deal with Overfill? That is to eliminate it from happening?

Thank you.

[NinjaTrader_PaulH]

Hello WilliamW,

Thanks for your post.

Over-Fills are a serious issue that can occur when using complex entry conditions that bracket the market in both directions end up with both entries being filled instead of one being cancelled. Over-Fills can also occur when you place a trade quickly hoping to close a position while a prior order to close the same position already had an in-flight execution. The exact scenarios in which an over-fill can occur is highly dependent on the specific strategy programming.

If you are using EnterLong or EnterShort method and also ExitLong or ExitShort, for example: If you exit and then call an entry method in the same run of OnBarUpdate, the OnPositionUpdate() will not have yet run and NinjaTrader will not have known that your position is closed. This will cause both actions to complete and end up sending 3 orders. The first order is the exit position from your exit method, the second order is to close the position from NinjaTrader automatically reversing your position, the third order is to enter you into the opposite position.

This can happen with live data because orders are transmitted asynchronously to the code execution and would be somewhat dependant upon the time it takes for the orders to be transmitted, received by the broker/exchange, acted upon and then acknowledged back to your PC.

You would need to review your code to see if, for example, you are calling to exit a position and then enter a position at the same time or exit a position by more than one means at the same time such as exitlong and setstoploss.

[WilliamW]

Hi gplatis,

Thank you for your response. I will give this a try and see how it goes.

[ttodua]

instead of `Position.Quantity` we could use `Position.MarketPosition` to determine the side. But I don't think that will help, because the problem here, is that `Position` object is not quickly updated when order is still being processed (in quick scenarios when multiple orders happens in same seconds).
So, i think I should use variables (c# dictionary) to store each order's boolean state of processing step..

[koganam]

instead of `Position.Quantity` we could use `Position.MarketPosition` to determine the side. But I don't think that will help, because the problem here, is that `Position` object is not quickly updated when order is still being processed (in quick scenarios when multiple orders happens in same seconds).
So, i think I should use variables (c# dictionary) to store each order's boolean state of processing step..

1. Disable Overfill processing.
2a. Store desired size in variable.
2b. Make Order
3. Use OnPositionUpdate() to check that your position is the desired size: compare Position.Quantity to the stored value from Step 2 above.
If the position is not the desired size, check if an overfill occurred, and issue new orders to bring the position to the correct size.

[ttodua]

i will say once again, that BarsSinceEntry is not ideal to overcome overfill (especially in fast markets). it's all about the time needed before one order is processed completely, and only then should be fired other orders, so, not BARS amount, but time matter more.
so, someone might check if i.e. 10 seconds is gone from last operation, and after that execute next command. However, best is to have private variables for states.

1. Disable Overfill processing.

in managed strategies, how to disable overfill processing? do you mean `IgnoreOverfill` which is only used in unmanaged?