OnExecution Partial Fill

[kiss987]

Hello

I rely on the OnExecution event to know when my position is closed. My question is:

a. Since for the same order can be several OnExecution events (in case of a partial fill) how do I know at the OnExecution event that all parts were filled and my order is completely executed? For example, if I have an exit order with a size of 10 and it was executed with partial fills of 6, 3 and 1, in that order, I want to know at the last execution of 1 that it was the last one.

b. In case I have several partial fills how do I know my FINAL average fill price?
In the example above if the price was 10, 11 and 9 then the average price is (6 X 10 + 11 X 3 + 1 X 9) / 10 = 10.2

Thanks

[NinjaTrader_Jim]

Hello kiss987,

Thanks for your inquiry.

OnExecution() contains an IExecution that also contains an IOrder representing the associated order. The Execution object can tell you the quantity of the execution filled.

You can detect if the underlying order reaches OrderState.PartFilled in OnExecution(), and you can see if the underlying order's IOrder.Filled property equals the IOrder.Quantity property to represent a partial fill closing a position.

Once you see that the IOrders Filled property matches the Quantity property, the AvgFillPrice property will reflect the final average fill price for that order.

I've included documentation links to the IExecution IOrder documentation so you can reference the properties used to create this logic.

IExecution - https://ninjatrader.com/support/help...iexecution.htm

IOrder - https://ninjatrader.com/support/help...t7/?iorder.htm

Please let me know if you have any additional questions.

[kiss987]

Thank you

You mean that once the Filled value reaches the target (10 in my example), the AvgFillPrice value will be set to the final value (10.2 in the example)?

[NinjaTrader_Jim]

Hello kiss987,

Yes, once the Order object's Filled property equals its Quantity property, the AvgFillPrice will represent the average fill price for the all of the order's fills.

Please let us know if we can be of further help.