How to get the fill price of a signalName?

[zacharydw00]

I need to get the fill price for signalName "BuyMktT2" and "BuyMktT3". Position.AvgPrice will not give the correct price if "BuyLmt1" and "BuyLmt2" are filled. I have read; SamplePriceModification, SampleOnOrderUpdate, SampleScaleOut, and help sections; IOrder, OnPositionUpdate(), OnExecution(), and Client class. But, I haven't found any examples to fit this exact case. How do I set BuyMktT2Fill to the fill price of signalName "BuyMktT2", or should I not use a variable? Is there a ?.AvgFillPrice client class I should use, if so, how? Please include any information as to what may need to be added to the Variables and Initialize() sections. Below is an excerpt of my strategy.
Thanks!


#region Variables
private int stoplosstk = 40; // Default setting for Stoploss
private int target1 = 4; // Default setting for Target1
private double target2 = 8; // Default setting for Target2
private int target3 = 11; // Default setting for Target3
private double BuyMktT2Fill = 0; // Fill price of "BuyMktT2"
private double BuyMktT3Fill = 0; // Fill price of "BuyMktT3"
#endregion

protected override void Initialize()
{
SetProfitTarget("BuyMktT1", CalculationMode.Ticks, Target1);
SetProfitTarget("BuyMktT2", CalculationMode.Ticks, Target2);
SetProfitTarget("BuyMktT3", CalculationMode.Ticks, Target3);
SetProfitTarget("BuyLmt1", CalculationMode.Ticks, 5);
SetProfitTarget("BuyLmt2", CalculationMode.Ticks, 6);
SetStopLoss("", CalculationMode.Ticks, Stoplosstk, false);

Add(PeriodType.Tick, 150); // Add a 150 TICK Bars object to the strategy

CalculateOnBarClose = true;
}

// LONG Condition 1
{
SetStopLoss(CalculationMode.Ticks, stoplosstk); // Resets the STOPLOSS to the original value
EnterLong(1,6, "BuyMktT1"); // Sold at 4 ticks profit from entry
EnterLong(1,2, "BuyMktT2"); // Sold at 8 ticks profit from entry
EnterLong(1,2, "BuyMktT3"); // Sold at 10 ticks profit from entry
}

// LONG Condition 2 - Extra contracts on 3pt candle
{
SetStopLoss(CalculationMode.Ticks, stoplosstk); // Resets the STOPLOSS to the original value
EnterLongLimit(1,5, Close[0] - 3 * TickSize, "BuyLmt1"); // Sold at 5 ticks profit from entry
EnterLongLimit(1,5, Close[0] - 4 * TickSize, "BuyLmt2"); // Sold at 4 ticks profit from entry
DrawDiamond("BuyLmtDiamond" + CurrentBar, false, 0, Low[0] + -16 * TickSize, Color.Green);
}

// Checks if OnBarUpdate() is called from an update on 150 TICK Bars
if (BarsInProgress == 1)
{
// If a long position is open, allow for stop loss modification to breakeven
if (Position.MarketPosition == MarketPosition.Long)
{
// If 150 tick price is greater than BuyMktT2 entry price + 7 ticks, set stoploss to breakeven
if (High[0] >= BuyMktT2Fill + 8 * TickSize) <<<--- HERE IS WHERE I NEED HELP !!!!!
{
SetStopLoss(CalculationMode.Price, BuyMktT2Fill); // set stoploss to b/e
}
}
}

[NinjaTrader_Josh]

zacharydw00,

You can only get individual fill prices if you use IOrder objects. Please see the Help Guide article on IOrder for more information.

[zacharydw00]

Is this how to go about getting the fill price of "BuyMktT2"?

#region Variables
private IOrder entryMktT2Order = null;

protected override void OnBarUpdate()
{
EnterLong(2, "BuyMktT1");
entryMktT2Order = EnterLong(2, "BuyMktT2");
entryMktT3Order = EnterLong(2, "BuyMktT3");

Will entryMktT2Order.AvgFillPrice contain the EnterLong fill price for "BuyMktT2" only?

[NinjaTrader_Josh]

Yup, but remember before you can access any properties you need to check for null reference.

if (entryMktT2Order != null)
     Print("Fill Price: " + entryMktT2Order.AvgFillPric);

[zacharydw00]

And..... to make sure I understand the process, entryMktT2Order will equal null until the order is filled and the next OnBarUpdate is processed?

Also what if entryMktT2Order was capturing a Limit order, on a 5 minute bar strategy with Calculateonbarclose=True?

For example:
OnBarUpdate()
entryMktT2Order = EnterLongLimit(2, "BuyMktT2");

Is the order data passed to entryMktT2Order after the bar closes(next time OnBarUpdate is processed) or as soon as the order is filled?

[NinjaTrader_Josh]

The IOrder is null until you set it to something. The moment you do entryMktT2Order = EnterLongLimit(2, "BuyMKT2") it takes on the order. It does not need to wait for another OnBarUpdate() event. It also does not need to wait for the order to fill. You can use the IOrder the moment you set it and check for order status and watch it through the whole process.