NT's Internal Order Handling Issue?

[crmcwi]

Guys,

I have a strategy that onBarUpdate() determines the market position before trading so as to exit any opposite position first. However, during a backtest a long trade was ignored because a short was open, or so I believe. Here's the trace order output:

3/17/2009 1:23:00 AM Entered internal PlaceOrder() method at 3/17/2009 1:23:00 AM: Action=Buy OrderType=Limit Quantity=0.02M LimitPrice=1.3014 StopPrice=0 SignalName='LongX' FromEntrySignal=''
3/17/2009 1:23:00 AM Ignored PlaceOrder() method at 3/17/2009 1:23:00 AM: Action=Buy OrderType=Limit Quantity=0.02M LimitPrice=1.3014 StopPrice=0 SignalName=LongX' FromEntrySignal='' Reason='An Enter() method to submit an entry order has been ignore. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.'

My OnBarUpdate() code is this:
if (Position.MarketPosition == MarketPosition.Short) {
if (someCondition) // long entry signal
{
exitOrder = ExitShort(Position.Quantity, "XShrtOnLongX", "ShortX");
if (stopOrder != null)
CancelOrder(stopOrder);
entryOrder = EnterLongLimit(simLotsTraded, GetCurrentBid(), "LongX");

As you can see, it should exit before entering and ususally does. However this time it did not. How can I deal with this?

[NinjaTrader_Bertrand]

crmcwi, please try entering code to confirm the order reached indeed 'cancelled' state (confirmed) before you place the opposing order.

[crmcwi]

Good idea Bertrand, but let me ask you something that only an experienced NT coder would know.

Can I or should I use a while() loop to wait for the cancelling?

In pseudo code, it might be something like:

While (stopOrder.OrderState != OrderState.Cancelled) {
do something like increment a counter;
}

the reason I ask is becuase I thought NT should do this in the background and if this should typically be done, it should be documented, yes?

[NinjaTrader_Bertrand]

I don't think you would need a loop for this, as it's all event based - just make sure you received the confirmed cancelled orderstate - this is also a good preparation to take the strategy live as order confirmations would take a bit longer in real life than possibly on the internal Sim101.

[crmcwi]

Ok, thanks Bertrand,

But I'm still confused. My code goes like this:

ExitOrder = .....
if stopOrder !=null, cancelOrder (stopOrder)

EntryOrder = ....


the problem is that the EntryOrder is ignored because the stop order exitorder isn't filled.

If I just put a condition to the EntryOrder = , won't the code just process the condition, calculate that the stopOrder is not null, and then proceed past the EntryOrder? In other words, don't I have to make the code wait for the stopOrder to be filled?

[NinjaTrader_Bertrand]

You want to wait for the fill confirmation in the OnOrderUpdate(), this way you know it's updated / received before you issue your following entry.

http://www.ninjatrader-support2.com/...ead.php?t=7499