In my strategy, my entry signal tells me to enter a buy at the top of the bar that just closed, ie this is a BUYSTOP order. If the price moves up to that entry price over the next bar, then all is well. But if the price does not move there, my understanding is that for managed orders, this BUYSTOP order automatically gets cancelled. Is this correct?
If this is the case, then in OnBarUpdate I want to detect that the order was not filled, and resubmit it at the high of the new bar that just closed. How do I do that? How can I tell if the order was not filled?
In my class I am using the managed approach to submit orders, and I have a private method like this:
In my Strategy class I have a const string definition for LONG_ENTRY_NAME. Also, I have a private Order variable called longEntry, and I implement OnOrderUpdate to save longEntry:
In the code above, I will know that the order did not fill in OnOrderUpdate, but I don't know if this is called before or after OnBarUpdate. If OnOrderUpdate is called after OnBarUpdate, I will not know that the order was not filled until after OnBarUpdate is called, and then it is too late for me to resubmit the order.
Please tell me how to implement this.
NOTE: I don't think using a test for MarketPosition.Flat would quite work - what happens if the order gets filled and stopped out in the same bar?
If this is the case, then in OnBarUpdate I want to detect that the order was not filled, and resubmit it at the high of the new bar that just closed. How do I do that? How can I tell if the order was not filled?
In my class I am using the managed approach to submit orders, and I have a private method like this:
PHP Code:
private void enterBuyStop(int quantity, double entryPrice, int stopTicks, int takeProfitTicks) {
SetStopLoss(LONG_ENTRY_NAME, CalculationMode.Ticks, (double)stopTicks, false);
SetProfitTarget(LONG_ENTRY_NAME, CalculationMode.Ticks, (double)takeProfitTicks);
EnterLongStopMarket(quantity, entryPrice, LONG_ENTRY_NAME);
}
PHP Code:
namespace NinjaTrader.NinjaScript.Strategies
{
public class MyStrategy: Strategy
{
private const string LONG_ENTRY_NAME = "Long Entry";
private Order longEntry = null;
private void enterBuyStop(int quantity, double entryPrice, int stopTicks, int takeProfitTicks) {
SetStopLoss(LONG_ENTRY_NAME, CalculationMode.Ticks, (double)stopTicks, false);
SetProfitTarget(LONG_ENTRY_NAME, CalculationMode.Ticks, (double)takeProfitTicks);
EnterLongStopMarket(quantity, entryPrice, LONG_ENTRY_NAME);
}
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
// Assign Order objects here
// This is more reliable than assigning Order objects in OnBarUpdate, as the assignment is not guaranteed to be complete if it is referenced immediately after submitting
if (order.Name == LONG_ENTRY_NAME)
longEntry = order;
if (longEntry != null && longEntry == order) {
// Reset the longEntry object to null if order was cancelled without any fill
if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
{
longEntry = null;
}
}
}
}
}
Please tell me how to implement this.
NOTE: I don't think using a test for MarketPosition.Flat would quite work - what happens if the order gets filled and stopped out in the same bar?
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