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bug with unmanaged orders and exit on close
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bug with unmanaged orders and exit on close
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.Tags: None
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Originally posted by NinjaTrader_Bertrand View Postdarckeen, is this a MultiSeries script and are you submitting orders to the primary series only at this point?
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primary instrument is SPY 5 minute
Code: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,"",""); }
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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.Josh P.NinjaTrader Customer Service
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