bug with unmanaged orders and exit on close

[darckeen]

I've found that if an entry order is palced on the last bar of session when being flat with managed orders disabled and exit on close enabled, the entry order executes on the close of the of the last bar of the session resulting in a possition held over night.

[NinjaTrader_Bertrand]

darckeen, is this a MultiSeries script and are you submitting orders to the primary series only at this point?

[darckeen]

darckeen, is this a MultiSeries script and are you submitting orders to the primary series only at this point?

Yup its a multisereis single instrument strategy, the entry order is submitted to the primary bar series but on the secondary series update.

[NinjaTrader_Bertrand]

If you submitted to the primary series the end of session handling should've caught it - would you mind sending me your script for testing and looking into here?

Thanks

[darckeen]

primary instrument is SPY 5 minute

 
protected override void Initialize()
{
CalculateOnBarClose = true;
this.ExitOnClose = true;
this.Unmanaged = true;
Add("SPY",PeriodType.Minute,30);
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
DateTime bartime = (DateTime)Times[BarsInProgress][0];
if (bartime.Hour == 16 && BarsInProgress == 1) SubmitOrder(0,OrderAction.Buy,OrderType.Market,100,0,0,"","");
}

[NinjaTrader_JoshP]

darckeen,

This is expected. You have both bars of the same instrument and as such ExitOnClose is only applicable to the primary series of the instrument. Since the secondary series is processed after the primary, you are submitting the order from the secondary which means the ExitOnClose logic was already done and over with at the time you submitted the order. This further means the order goes in after the fact and so as such you will indeed be in a position overnight with this strategy logic.

[yeshe]

Hello

by searching for an answer i ran into this thread.

(unmanaged approach)
my question is when exit on close was the reason for executing how to track it in OnExecution(IExecution execution):
if (execution=ExitOnCLose)???

tx

[NinjaTrader_PatrickH]

Hello yeshe,

Thank you for your post.

The code would be the following:

if(execution.Name == "Exit on close")