problems with ChangeOrder() in Unmanaged mode

[sidlercom80]

Hi everyone, i've detected a problem in unmanaged mode (SIM101 no Replay). It happens that as you can see in the picture the TPorder (can also be the SL order) is not selected correctly. I only use the OnOrderUpdate() method and calculate the positions myself.from the logic it should be logically that an order size of 10 long (position: 10, TP: 5) is sent by limit. at the first partialfill 2 are executed (position now: 2, TP: 2), at the second partialfill 1 is executed (position now: 3, TP now: should be 3 it stays at 2!!!). As shown in the picture, the position size for the TP is calculated correctly (PartFill TP: 3). How is it possible that Print("PartFilled TP: " + positiontotalTP); and right after that ChangeOrder(TPL, positiontotalTP, targetPrice, 0); is called and the positiontotalTP are not correctly taken over? the problem does not always occur, possibly in 10 percent of cases.





Video good Fill: https://youtu.be/ozd8gCMzlUs
Video bad Fill: https://youtu.be/h0zmBF-HdY0

[sidlercom80]

have added a print statement to every ChangeOrder() that affects this order. Here you can clearly see that the order size should be changed to 5 pieces.

Print("1positiontotalTP: " + positiontotalTP);
ChangeOrder(TPL, positiontotalTP, targetPrice, 0);
Print("2positiontotalTP: " + positiontotalTP);

[NinjaTrader_Jim]

Hello slidercom08,

I just wanted to share that I have been able to reproduce these symptoms and I am currently looking into the matter.

I will follow up with more information as it becomes available.

[NinjaTrader_Jim]

Hello sidlercom80,

After testing with my Unmanaged OnOrderUpdate example, I was seeing some issues handling partial fills when SubmitOrderUnmamanged gets called multiple times before the order object for the target/stop orders get assigned.

I have made modifications to add a bool to ensure the target/stop orders only get submitted once. After making these changes, I am not seeing any ill behavior with partial fills. I have enabled the Control Center's Tools > Options > Trading > Force partial fills property to reproduce partial fills consistently.

Please test this strategy to confirm it is not having any issues with partial fills. I would then suggest using it as a guide to model your strategy.

We look forward to assisting.

[sidlercom80]

Hello sidlercom80,

After testing with my Unmanaged OnOrderUpdate example, I was seeing some issues handling partial fills when SubmitOrderUnmamanged gets called multiple times before the order object for the target/stop orders get assigned.

I have made modifications to add a bool to ensure the target/stop orders only get submitted once. After making these changes, I am not seeing any ill behavior with partial fills. I have enabled the Control Center's Tools > Options > Trading > Force partial fills property to reproduce partial fills consistently.

Please test this strategy to confirm it is not having any issues with partial fills. I would then suggest using it as a guide to model your strategy.

We look forward to assisting.

Hi _Jim, I have found almost the same solution as you that I am testing. I will get back to you as soon as I have also tested your solution. I noticed an error in your script, or an unneeded entry, can you please check, thanks:

[NinjaTrader_Jim]

Hello sidlercom80,

It is intended. I try to separate what we would handle in OnExecutionUpdate (following SampleOnOrderUpdate) in a separate method so the code structure looks similar. Since the an execution can be a fill/part fill, I only check for that before calling my InlineExcutionUpdate method.