Order Rejection warning window

[ryarom]

Hi, everyone.
I am developing very simple market making strategy using unmanaged order functionality in NT7.
Everything is working fine when testing on Market Replay. However, when connected to real-time IB order rejection windows start popping up: "can't modify order when in it is filled". Even before i modify the order i check if it fills or not, still have this problem. I don't mind to have this order rejection, but those warning windows slow down significantly the performance and some time freeze the whole computer.
Can you please make this warning windows OPTIONAL in the next beta release. Otherwise, I can't use NT for this strategy.
I was also trying to avoid modify through cancel/submit, but on the fast moving market it creates so many new orders in one direction, that IB reject them, even ignoring my cancellations.

[NinjaTrader_Jason]

Hello ryarom,

Can you please tell me how these pop up messages are displayed. Send me a screenshot of such an error if possible.

If these are TWS pop up windows, you can suppress them by enabling 'Run-time pop up handling' in the IB connection.

http://www.ninjatrader.com/webnew/support_interactivebrokers.htm

[ryarom]

This is not IB's message window, this is NT7 warning window.
Where should i send the screenshot?

[zweistein]

You can write your own code to suppress the NT Message windows.
I have done so and I send the content to the log, but I check every 30 s for the existence of a NT Message and then I close it.

Regards

Andreas

www.zweisteintrading.eu


P.S. I would re-think the order logic. The IB warnings make sense and your code should avoid those situations.

[NinjaTrader_Jason]

Hello ryarom,

I will forward your suggestion to have an option to suppress such windows by default to our development team.

Thank you for your feedback.

[NinjaTrader_JoshP]

ryarom,

If you do not want NT to do any error handling you can use this:

RealtimeErrorHandling = RealtimeErrorHandling.TakeNoAction

Please be aware that you should only use this with extreme caution. Using this means you have to self program logic for all error handling. Should you not provide error handling yourself it could have extreme negative impact on your trading account should things go awry with your orders.

[ryarom]

Thanks, everyone for your input.
RealtimeErrorHandling = RealtimeErrorHandling.TakeNoAction option is not helping. It just allows to run the strategy if order is rejected. But windows are still popping up.

About new logic of order handling? I don't see any more choices: cancel/resubmit will create big number of orders in one derection in fast moving market, causing appearing another warning windows ( "too many orders in one direction) and modify orders will create many popup windows. So i want to go with the latter, since it less messages to the server and if there is option to suppress those windows.

I will appreciate any suggestions

[NinjaTrader_JoshP]

Right, but the strategy continues to run despite being informed so it won't stop you from trading. If this was not what you were looking for, can you please clarify? Thank you.

I am not sure what you mean by "new logic of order handling"? Can you please clarify this as well? Thanks.

[ryarom]

Strategy continue to run, but hundreds of warning windows make the program freeze, sometimes even the whole computer.
So i can't turn off the strategy, performance and position numbers in the strategy tab become wrong.

[NinjaTrader_JoshP]

ryarom,

If you are getting hundreds of popups this is probably indicative of some improper strategy logic that needs to be reprogrammed as zweistein has pointed out. Removing the popups does not remove the underlying issue of your strategy simply sending improper orders constantly.

[ryarom]

Dear Josh,
I put the depth on both sides, meaning on bid side i have 5 orders one tick apart and on the other (ask side) one tick apart. On execution event and market data (bid or ask change) event i reconstruct my order book. Since the order book can be swept, but execution event is coming one by one , and even if I check:
if ( (book[idx] == null) ||( (book[idx].OrderState == OrderState.Filled || book[idx].OrderState == OrderState.Cancelled
|| book[idx].OrderState==OrderState.PendingCancel || book[idx].OrderState==OrderState.Rejected)))
{ book[idx]= SubmitOrder}
else
{
ChangeOrder(book[idx],......)
}
the order have been already filled, but this check above didn't catch that, So changeorder causes PopUp window to appear.

Hundreds windows appears because strategy works 12 hours unattended. Can you please advise how can i implement this the other way. I tried to use cancel and submitnew instead of change the orders, but as i said before, it dramatically increases the number of messages and also causing huge number of orders even if i try to cancel them. In both ways computer freezes, but in case of change it is more stable but still performance is terrible.
As i also said this happens in the fast moving market, but no problem when i use it in MarketReplay.

[ryarom]

Josh, sorry.
Any comments on my previous post?

[NinjaTrader_JoshP]

ryarom,

With such logic you would definitely run into a lot of inflight execution issues. All I can suggest is for you to reconsider trying to resubmit orders so close to the market. With inflight executions you would definitely get those popups. I put your request for disabling the popups on our feedback list, but there is currently no way you can disable them.