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**bltdavid** · 01-28-2019, 09:02 PM

Is this Managed mode?

I think it is, because you have an error advising you to search for 'Internal Order Handling Rules' in the NT7 Help Guide, which if I remember correctly only pertains to Managed mode.

It doesn't look you have multiple profit targets for an order, I know that Managed mode does
not support scaling out (aka, multiple profit targets) for a Managed mode position.

My first suggestion:
Have you resolved the issue why that error message is being printed?

Also, can you summarize the problem better?
I mean, this 'special case' that is affecting your code, can you describe it better?

And, beg pardon, why is this 'special case' you're seeing a problem?
I mean, can you write code for this special case and just handle it?

Sorry, I'm not sure I see the question you're asking ...
What am I missing?

**NinjaTrader_Jim** · 01-29-2019, 09:48 AM

Hello saltminer,

Thanks for your post.

Without full knowledge of your strategy's inner workings and how exactly you are performing your operations to cancel all orders and close positions, I will be limited with the input I can give.

I would expect with a print for the IOrder object iterating in OnOrderUpdate, that you would see PendingCancel before each Cancelled OrderState. When I test on my end, I see the results I would expect.

Order='27cb255d83f6402f9e9d3e2d76f11e67/Sim101' Name='MyStop0' State=PendingCancel Instrument='ES 03-19' Action=Sell Limit price=0 Stop price=2641.75 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='27cb255d83f6402f9e9d3e2d76f11e67' Gtd='1/1/0001 12:00:00 AM'
Order='db720a0be94744bf8b6c07103136487a/Sim101' Name='MyTarget0' State=PendingCancel Instrument='ES 03-19' Action=Sell Limit price=2644.75 Stop price=0 Quantity=1 Type=Limit Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='db720a0be94744bf8b6c07103136487a' Gtd='1/1/0001 12:00:00 AM'
Order='44f8dc80de8441dab3870e7bc0a9bbdf/Sim101' Name='MyStop1' State=PendingCancel Instrument='ES 03-19' Action=Sell Limit price=0 Stop price=2641 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='44f8dc80de8441dab3870e7bc0a9bbdf' Gtd='1/1/0001 12:00:00 AM'
Order='d2be139c3aac4848b140120f0977a0ad/Sim101' Name='MyTarget1' State=PendingCancel Instrument='ES 03-19' Action=Sell Limit price=2647 Stop price=0 Quantity=1 Type=Limit Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='d2be139c3aac4848b140120f0977a0ad' Gtd='1/1/0001 12:00:00 AM'
Order='97ada19aef7a4f0f9e80273650f1a794/Sim101' Name='MyStop2' State=PendingCancel Instrument='ES 03-19' Action=Sell Limit price=0 Stop price=2639.75 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='97ada19aef7a4f0f9e80273650f1a794' Gtd='1/1/0001 12:00:00 AM'
Order='5350616a94a6416bba0660055397c92e/Sim101' Name='MyTarget2' State=PendingCancel Instrument='ES 03-19' Action=Sell Limit price=2648.75 Stop price=0 Quantity=1 Type=Limit Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='5350616a94a6416bba0660055397c92e' Gtd='1/1/0001 12:00:00 AM'

I have attached an example that can take multiple entries and outlines some behavior to cancel active orders and reverse a position that can be used as a reference.

Let us know if we can be of further assistance.

Attached Files

MultiEntryStopCancelCloseNT7.zip (2.3 KB, 132 views)

**saltminer** · 01-29-2019, 05:47 PM

Thanks for the responses.
I am using coding very similar to the example.
The difference with the example from Jim is that orders are being set to null once they are confirmed as cancelled within OnOrderUpdate(). Checking for a null state of all orders indeed gets around the problem of the orders reporting their state as cancelled before they have passed through the OnOrderUpdate() with states of PendingCancel and Cancelled.
So yes, I can implement this style of coding. But I don't recall ever having had to do this before. Orders have previously behaved themselves and passed through OnOrderUpdate() implementing their state changes properly. Question to Jim, which you may not know off the top of your head but I would appreciate you asking the development team - "has this order behaviour been changed recently (in the last 12 months or so)?".

Another question - why is it ok for an order to report a state that has not yet created an event in OnOrderUpdate()?

saltminer.

**NinjaTrader_Jim** · 01-30-2019, 09:08 AM

Hello saltminer,

This has not changed. The approach I have taken in the example in post #3 is based off of our SampleOnOrderUpdate strategy, and I have not seen any changes to this strategy since I started working at NinjaTrader.

Another question - why is it ok for an order to report a state that has not yet created an event in OnOrderUpdate()?

In your last post you mention that you are not setting the IOrder objects back to null after cancellation. If the IOrder objects are not set to null after cancellation or after execution then the IOrder will still contain information from the last update. The process should be as follows:

IOrder is created and is null
Order submission method creates an order when that IOrder is null and conditions to enter are true
In NT7, the IOrder object can be assigned from the IOrder returned from the order submission method, or the IOrder can be assigned in OnOrderUpdate when the iterating IOrder's Name property matches the signal name from the order submission method
After execution or cancellation, the IOrder object is set back to null.

I do not observe such behavior with the example provided which would be the way I would recommend to design such a strategy. If you see this behavior with the example, could you let me know how I can encounter it so I can comment further?

I look forward to being of any further assistance.

**saltminer** · 01-31-2019, 05:53 PM

Hi Jim,
thanks for your time on this.
My observations show (and the log in my initial post shows) that when multiple orders are cancelled with CancelOrder(order), some of those orders (if tested for order.OrderState) immediately report as OrderState.Cancelled. But they have not yet created any events in OnOrderUpdate(). That happens subsequently.
This creates a problem for a straetgy with placing any new orders, because Ninja will refuse to place new entry orders while other conflicting ones are still active. (Even though they are reporting OrderState.Cancelled)

I don't think that is the way it should work. An order should not be able to report a state it has not yet created an event in OnOrderUpdate() and reached in the proper manner.

saltminer

**bltdavid** · 02-01-2019, 02:32 AM

Originally posted by saltminer View Post

My observations show (and the log in my initial post shows) that when multiple orders are cancelled with CancelOrder(order), some of those orders (if tested for order.OrderState) immediately report as OrderState.Cancelled.

I've never seen this happen.

You would have to build and attach your own sample strategy to prove this, because I believe
this assertion to be false, and it must be false for things to work correctly.

I mean, think about it, Orders must be sent to the exchange to be properly cancelled.

Who is your datafeed & broker?
Are you seeing this running your strategy live?

Originally posted by saltminer View Post

But they have not yet created any events in OnOrderUpdate(). That happens subsequently.

Another question - why is it ok for an order to report a state that has not yet created an event in OnOrderUpdate()?

Perhaps you're doing something wrong.
NinjaTrader's attached sample strategy, where the IOrder object is set to null
inside OnOrderUpdate when Cancelled state is seen must be done.
Are you doing this yet?

If you are not properly setting the IOrder back to null at the correct time, how do you
know that the information being reported later is even correct? This "reporting a state
that has not yet created an event in OnOrderUpdate" issue, I suspect your IOrder reference
is pointing to incorrect or old data -- because you didn't nullify the object when you
were supposed to.

Again, you would need to attach your own sample strategy, because I assert this
phenomena you are reporting is a quite literally a symptom of a bug in your code,
not a problem with NinjaTrader.

Originally posted by saltminer View Post

I don't think that is the way it should work. An order should not be able to report a state it has not yet created an event in OnOrderUpdate() and reached in the proper manner.

Correct, it does not work that way.

I think you are doing something fundamentally wrong, and the fact you
have seen your strategies working until now is probably a coincidence,
or a testament to NT's robustness, or your strategies are simple, or
this new strategy manifesting the problem you now see is somehow
different than your prior 'correct' strategies.

What you are claiming here is simply something I have never seen.

If you don't follow NT's sample code for how OnOrderUpdate and OnExecution should
be coded -- you are doing so at your own extreme peril, and if real money is at an risk,
then this is borderline insanity coupled with hefty doses of extreme ... well, let's just say
it's a calamity waiting to happen.

Tough words, I know, but I assert that NinjaTrader is working fine, and that your code
has errors.

I would love for you to distill your code into it's most basic form and submit a sample of
what you're doing for your OnBarUpdate/OnOrderUpdate/OnExecution overrides, I'd
bet my left nut you're doing something wrong.

Perhaps you can alter NT's 3 order sample above to show us your method of coding
the overrides?

**NinjaTrader_Jim** · 02-01-2019, 09:16 AM

Hello saltminer,

Without sample code demonstrating how you are encountering the behavior, we do not have enough context to say NinjaTrader is doing anything wrong. The example I posted is working fine and would be my recommendation for accomplishing this task.

If you can demonstrate the issue using my example we could look into this further. Otherwise, I would recommend modifying your strategy so it models the example.

bltdavid, I appreciate your input, but please be respectful and maintain professionalism on the forum.

I look forward to being of any further assistance.

**saltminer** · 02-06-2019, 03:05 AM

Hi bltdavid and NinjaTrader_Jim,
how about you both take a proper look at the red text in the first post of this thread. It clearly shows the sequence of events that I have described.

**NinjaTrader_Jim** · 02-06-2019, 08:14 AM

Hello saltminer,

As I mentioned in post #8, without sample code demonstrating the issue you are running into, we cannot confirm that the script is doing everything correctly. The log messages show something is happening but we do not have any hard evidence that NinjaTrader is not doing what it is supposed to. A small and quickly testable example would be needed in addition to that detail to demonstrate that there is an issue with NinjaTrader.

My posted example which is how IOrder handling should be done does not display this issue and you have confirmed this, as well. If you observe that this does not demonstrate the issue, modelling off of this strategy will be your fastest resolution as you already have a working example.

If you are convinced there is a bug with NinjaTrader, please provide a small and quickly testable example that follows our advised usage of OnOrderUpdate and IOrder objects and demonstrates the issue.

Please let me know how you would like to proceed.

**bltdavid** · 02-07-2019, 12:12 AM

Originally posted by saltminer View Post

It clearly shows the sequence of events that I have described.

I'm not trying to be rude or difficult, but there is nothing clear about your log to me. I don't know the code behind the log messages you're showing us, and I certainly don't find those log messages showing anything particularly illuminating on the cause of issue you are having.

It's very simple. Not knowing your code, I don't find the log from your code very useful. Sorry.

That's why I totally agree with Jim -- please use the NinjaTrader sample as the definitive model for how your own code should look.

After that, if you still see the issue, distill your strategy into its smallest reproducible code unit that you are willing to publicly part with, and upload that strategy here.

Begging your pardon, but I'll say it again, I think it's an extremely high probability that your present code is wrong. IMHO, the fact your strategy code has worked until now should probably be viewed as lucky and coincidental.

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Orders cancelling prior to OnOrderUpdate() event

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