Stop and Target quantity incorrect on execution

[RobotSyndicate]

Hello all,

I am having a problem that occurs intermittently while trading live with interactive brokers using managed orders. Basically, my entry will trigger perfectly at the right time with the correct quantity. The associated stop loss and profit target (assigned OnExecution) are placed at the correct price, but sometimes with the wrong quantity. For example, upon entering the trade I end up Long 10 contracts as desired, but my stop loss and profit target are both only for 4 contracts.

If I follow the log, in the On Order the quantity is listed correctly as 10, then on execution the quantity changes to 4, and no error is generated. This has occured multiple times, and googling has lead me to things like Race conditions, etc etc. It probably occurs about 1 our of ten times if i run the strategy continuously.

I have tried it with both By Strategy Position and Per Entry Execution selected, although I hear IB forces it to strategy position anyway.

I am able to change the quantity manually after the fact, but I'd really love to be able to let this money maker run without me babysitting it.

I have attached the log window from the most recent time it happened.

Here is the related code for this specific entry.


OnBarUpdate()
// Long Entry
if (((MarketType == 0) || (MarketType == 1))
&& (other conditions)
)
{
EnterLong(Contracts, @"breaklongOrder");
}



OnOrderUpdate()

if (order.Name == "breaklongOrder")
{
breaklongOrder = order;

if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
breaklongOrder = null;
}


OnExecutionUpdate()

//Long
if (breaklongOrder != null && breaklongOrder == execution.Order)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
{

SetProfitTarget(@"breaklongOrder", CalculationMode.Ticks, BreakTarget, true);
SetStopLoss(@"breaklongOrder", CalculationMode.Ticks, BreakStop, false);

if (execution.Order.OrderState != OrderState.PartFilled)
breaklongOrder = null;
}
}




Any ideas? Can I prevent this? Or if not, can I use ChangeOrder to change the quantity of the stop and target orders to equal my actual position quantity?

Could I do something like....

if (stopOrder.Quantity != longOrder.Quantity)
{
ChangeOrder(stopOrder, longOrder.Quantity, 0, Position.AveragePrice - (10 * TickSize));
}

For example?

Thanks so much for your help!

[NinjaTrader_ChelseaB]

Hello RobotSyndicate,

In the log, is the stop loss order originally submitted with correct quantity?

If so, its not the script that is the issue.

Please send an email to platformsupport [at] ninjatrader [dot] com so that we may review your log and trace files.


As a heads up, when using Set methods its always best to set these before an order is placed. Once these are set, they cannot be unset (though this is specific to the from entry signal name used).

[RobotSyndicate]

Hi, thanks for the reply.

The order quantity is correct in the log/output widow. For example, it will say entryOrder quantity = 20 and that works every single time, but then it says Quantity = 20 for the stop loss and profit target and it only actually places a partial quantity, somewhere between 1 and 20.

I have tried using Set, or placing orders with advanced managed orders, same result.

[RobotSyndicate]

Update: This problem was occuring using Set() methods in state configure, onbarupdate, onorderupdate, or on execution. It also occured in those on update sections using advanced managed orders.

It looks like ive fixed it by putting the advanced order methods in onpositionupdate and adding an if statement to make sure we have reached a complete fill. Now it seems to place the full stop/target order.