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**NinjaTrader_ChrisL** · 01-26-2020, 03:22 PM

Hi Alexei, thanks for your note.

This will depend on how you are setting your stop loss orders. If you are using SetStopLoss, make sure you give unique signal names to each entry so they can be referenced in SetStopLoss using the fromEntrySignal string. There is also a more advanced way of setting OCO protective orders, see this reference sample:

NinjaTrader 8

https://ninjatrader.com/support/helpGuides/nt8/?using_onorderupdate_and_onexec.htm

Please let me know if I can assist any further.

**akuntysh** · 01-27-2020, 12:18 AM

Hi Chris,

I use "Exit" methods to place stop loss and profit targets in OnExecution(): "ExitShortStopMarket" and "ExitShortMIT" in particular.

**NinjaTrader_Jim** · 01-27-2020, 08:16 AM

Hello akuntysh,

Thanks for your post.

We would suggest splitting up the entry order as well so your separate Exit methods are associated with a specific Enter method.

For example, create an entry for "Entry1" and entries for "Entry2" and "Entry3." These can all be the same order type residing on the same price level. When "Entry1" fills, set the targets and stops you would like associated with that specific entry. (Use "Entry1" as the fromSignalName in the Exit method.) When "Entry2" fills set targets and stops for that specific entry.

The SampleOnOrderUpdate strategy Chris had linked can provide further direction for handling partial fills in a strategy using the OnExecutionUpdate method. You may use it for the basis of your works with modifications to have separate stop/target levels set by using separate Entry orders and separate Exit methods associated with each entry. I.E.You will have 3 sets of target/stop orders for each of your 3 entries in this case.

Please let us know if you have any additional questions.

**akuntysh** · 01-27-2020, 11:08 PM

Hello Jim,

I also had the same idea, but then I have faced the fact that the entry order has the same signal name in all its partial executions. If the order is executed in parts, there is no way to name the 1st part as "Entry1" and the 2nd part as "Entry2", since the name for the signal is provided once the order is sent via "EnterShort" method. So in all "Exit" methods (for all execution parts) I have to pass the same signal name, that was specified in "EnterShort" method and that all execution parts have.

Or do you mean to split the original entry order from the beginning in order to reduce the probability of it being filled in several parts? In this case, the only way to get 100% of confidence is to enter using 1 lot for each "EnterShort" method call, as even an order with 2 lots may be filled partially in theory, am I right?

Best regards,
Alexei

**NinjaTrader_ChrisL** · 01-28-2020, 11:46 AM

Hi akuntysh, thanks for your reply.

I'm not sure exactly what your strategy is doing without a code sample, but through my test, the SampleOnOrderUpdate strategy handles partial fills perfectly, see attached screen shot. Even if the order is partially filled it will have the same entry signal name, the Order object state contains a Partfilled state where you can still apply a stop to it. Please let me know if I can assist further after reviewing the SampleOnOrderUpdate strategy.

Best regards.

Attached Files

**akuntysh** · 01-29-2020, 06:29 AM

Hi Chris,

1. I have composed a short code sample as an example of what I mean:

Code:

protected override void OnBarUpdate()
{
    if (CurrentBar < 0 || State == State.Historical) return;

    if (Position.MarketPosition == MarketPosition.Flat){
        EnterLong(20,"Long");
    }
}

protected override void OnOrderUpdate(Order order, double limitPrice, double stopPrice, int quantity, int filled, double averageFillPrice, OrderState orderState, DateTime time, ErrorCode error, string comment){
    Print("Order ("+order.ToString()+") update: "+order.OrderState.ToString());    
}

protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time){
    Print("Execution of order: "+execution.Order.ToString());
    if (execution.Order.Name == "Long" && execution.Order.OrderState == OrderState.Filled){
        ExitLongStopMarket(0,true,20,price - 20 * TickSize,"SL","Long");
        ExitLongMIT(0,true,1,price + 5 * TickSize,"TP1","Long");
        ExitLongMIT(0,true,19,price + 30 * TickSize,"TP2","Long");
    }
}

2. Attached are two screenshots (how the trade has started and what has happened after the 1st target was hit) and the related log file. As you can see, the trade was executed in two parts; the strategy has set Stop Loss and two profit targets (TP1 and TP2) upon trade execution and once TP1 was hit - TP2 and SL were cancelled, even though the position had still a part of it left.

Best regards,
Alexei

Attached Files

**NinjaTrader_Jim** · 01-29-2020, 08:40 AM

Hello Alexei,

If you would like separate exit levels, I would recommend splitting your entry so each exit is tied to a specific entry. You would submit separate entry orders for "Entry1" and 'Entry2" that would then be associated with the exits for that "group." I.E. "Entry1" for 1 contract, and "Entry2" for 19 contracts. The entry orders can be at the same level. You would then submit additional exits so "Entry1" has a target/stop for 1 contract and "Entry2" has a target/stop for 19 contracts.

Please let me know if you have any questions.

**akuntysh** · 01-29-2020, 11:58 PM

Hello Jim,

I got your idea, and this would definitely work if I know in advance the exact amount of parts in which my entry order will be filled. But how do I know in advance that my entry order will be filled in exactly two parts with exactly this amount of lots (1 and 19) in order to split it correctly in trade entry code block?

The only idea that I have in relation to this is to execute each entry with 1 lot only, as even an entry with 2 lots may be filled in parts in theory. In other words, do you mean that if I want to enter a trade with 20 lots, I should do this? If I understand correctly, this is the only way to ensure that each trade will be executed in full (not in parts):

Code:

for (int i = 1;i <= 20;i++){
    EnterLong(1,"Long"+i.ToString());
}

Best regards,
Alexei

**NinjaTrader_ChrisL** · 01-30-2020, 08:47 AM

Hi Alexei, thanks for your reply.

I wouldn't recommend doing a loop to fill orders. In OnExecutionUpdate, you can check how much of an order has filled. The SampleOnOrderUpdate does this exactly:

Code:

if (execution.Order.OrderState == OrderState.PartFilled)
                    {
                        stopOrder = ExitLongStopMarket(0, true, execution.Order.Filled, execution.Order.AverageFillPrice - 4 * TickSize, "MyStop", "MyEntry");
                        targetOrder = ExitLongLimit(0, true, execution.Order.Filled, execution.Order.AverageFillPrice + 8 * TickSize, "MyTarget", "MyEntry");
                    }

The execution.Order.Filled property is how much of the order has filled in that instance.

Please let me know if you have any questions.

**akuntysh** · 01-30-2020, 12:29 PM

Hello Chris,

Jim's suggestion was to split the entry into parts with different names ("Enrty1", "Entry2", etc) to ensure that each part has its own related "Exit" orders that are related to this particular entry name specified in "fromEntrySignal" parameter of the "Exit" method.

If I do not make the loop with "Entry" method, then can you please advise me how I can predict in how many parts my entry order would be filled in order to correctly split it on separate unique entries in the trade entry block?

Best regards,
Alexei

**NinjaTrader_ChrisL** · 01-30-2020, 12:45 PM

Hi Alexei, thanks for your reply.

To split an order such that they can have different stops you would need to have different signal names for each group of orders. If you have one set of contracts that need stop loss value 'x' and another set of contracts that need stop loss value 'y', then you need to submit your orders separately with two different entry signals. In OnExecutionUpdate you can look at the signal name and apply the correct stops to each signal name using the execution.Order.Name property.

**akuntysh** · 01-31-2020, 12:06 AM

Hello Chris,

I think now I got it! Thank you for your patience!

Best regards,
Alexei

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Partial Fill + multiple "Exit" methods problem

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