On Execution Update

[stewarco]

Hello. I expect this info exists somewhere but I can't find it.
I have code where my Stops are entered in the OnExecutionUpdate. What appears to be happening is that with each partial fill I'm getting a stop submitted for the full order amount. Conceivably, I could have a stop associated with each partial fill but that causes problems for other parts of the code, so I'm just trying to submit a single stop following a complete fill based on the average fill price. My code looks like this:

protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
if (isBuyCont1)
{
enterPrice = execution.Order.AverageFillPrice;
buyCont1TrailPrice = enterPrice-stopSize;
if(execution.Order.OrderState==OrderState.Filled)
{
stopOrder = SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.StopMarket, execution.Order.Filled, 0, buyCont1TrailPrice, ocoSignal, stopSignal);

targetOrder = SubmitOrderUnmanaged(0,OrderAction.Sell, OrderType.Limit, execution.Order.Filled, enterPrice+targetSize,0,ocoSignal,targetSignal);
}
Sorry for the formatting. Does anything stick out as to why I might be getting multiple stops submitted when I get partial fills?
Thanks

[NinjaTrader_ChrisL]

Hello stewarco.

Thanks for the note.

One way I could see to prevent this would be checking the Filled property of the Order object for the correct quantity:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?order.htm

The error might be coming from a different part of your code since the snipped you posted submits the stop only if the OrderState is Filled and not PartFilled. I would advise you add prints at the top of your OnExecutionUpdate() method to print data about the Order object being evaluated.

I look forward to assisting further.

[stewarco]

follow up

Hi. Maybe I'm unclear about the meaning of "Filled".
My understanding is that Filled means the entire order has been filled, and so by making sure that Order.State = Filled, I would only be submitting a stop order once. Similarly, I thought I could try submitting the stop if Order.State <> PartFilled, i.e. only when it's complete.

Am I correct in that the Order info that gets passed to OnExecutionUpdate is the actual order, and not just the partial portion that has been executed?

[NinjaTrader_ChrisL]

Hello stewarco,

Thanks for the reply.

I tested the behavior myself and (if Orderstate == Filled) always results in just one Stop order. Checking (if Orderstate == PartFilled) results in the output that you are getting, multiple stops for each partial fill. I would need to see your full script to see if I can reproduce the output that you are getting. If you do not want to post it here, you may email platformsupport[at]ninjatrader[dot]com and paste the link to this thread in the body.

I look forward to your reply.

[stewarco]

Thanks

Ok thanks. I will try to tinker some more to see what’s going on. The problem I’m having is when I back test the code there are no partial fills, so I can’t replicate the issue except when I’m live which obviously is a tricky way to test. I guess I could just run it live in a simulation account?

[NinjaTrader_ChrisL]

Hello stewarco,

Thanks for the reply.

Sorry for not mentioning it earlier, but you can force the simulation account to get partial fills by going to Tools>Options>Trading> Check "Enforce partial fills".

Please let us know if you have any questions.