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NinjaTrader specific order-handling methods

would like in this article of this series I like to go on methods of NinjaTrader that Event -controlled are called by the NT API when processing an order. Specifically, these are the methods ...

• OnExecution ( IExecution execution )
• OnPositionUpdate ( IPosition position )
• OnOrderUpdate ( IORD order )

The methods Initialize () and OnBarUpdate () I will not explain. This should be a standard component of any strategy. Interesting at this point is perhaps that I mean Entries and Exits have outsourced their own methods to make the code more readable and maintainable . Both methods are in accordance with the conditions, if a signal is present or already Trade was received calls from OnBarUpdate () out.

But back to the event methods that I have overridden in any strategy to implement the strategies of my own needs better. I will again the crucial post code and if necessary add more explanations:















OnExecution is the main method if I Stops or would like to set limits . Only here I can be 100% pure be sure that the order was executed. What is the position I find out about execution.Order.Filled , as even a partial - Fill is treated with. Accordingly, I must object in order . Check Since I consider myself to each order an appropriate Order object in the code, these tests are rather trivial. In NinjTrader Help Guide or in the forum, there are other examples of this.











here can be reset or initialized variables accordingly after each position change . Thus, here, for example, be quite simply a change of Entries . I would like for a long act signal only Short , I can here in Long -case bool ' Scheme variable prove true and the corresponding Short variable with false . The opposite case is analogous. Output as little 'treats', I leave my current position here still Chart as text string with .


























This, perhaps the most interesting and probably most important method is to pay very much attention. I must admit, I initially I simply ignored until repeated errors in my Stops and Limits occurred and unwanted orders were issued. Why was that? Well, if I go with my own Exit triggers per Market -Order from the Trade , but in addition Stop - Orders activated in the market have, I have to cancel this first . I can hammer out is indeed about CancelOrder ( IORD ) using the API, but if and when my Stop order canceled really, I only know when I put it in OnOrderUpdate check. Only when the test was successful (see commented code), I really should go out by Market order. I usually notice it, and my strategy will work without the above implementation. However, I had occasionally the case that I had run in fast phases of the market TimedExit and then stop by my order was back in the opposite direction in the market. This is rare but leads to undesirable results.

Furthermore, I can OnOrderUpdate another Rejection - handling for orders install, to but more in general merchandise.

Best regards
darth trader

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UserDefinedMethods.cs - Methods

After last part of the variables of the class UserDefinedMethods.cs were discussed, following 's centralized methods that I use in my strategies .

the methods I post including my internal description so that a further statement does not seem necessary. Where it makes sense, I will comment further:
























































Here is noted after each shift in the status and ausgewertet.Die in the next method in the previous post mentioned variables order feed and feed data used in this regard.





















can also be implemented in other technical methods. In my case these are so far only the methods isUpGap () and isDownGap () . On their implementation is here, however, refrained from Trivialitätsgründen.

Best regards
darth trader

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UserDefinedMethods.cs - Variables

Since we're on the subject, I would gladly enter the class UserDefinedMethods.cs get a little closer.

These NT-standard class is upper class of all strategies that can review the user or use. Ausgdrückt the inheritance code in a separate class by the following construct:






The user can in this class global method for all classes and thus implement strategies. But beware, as shown in the last post is here because of C # specific (for example, inheritance rules), but also from general object-oriented principles, an increased risk of errors in programming. In my last post, I mentioned trades that were not sold. This was fortunately an error that had no major consequences, but surely you should watch what you do here.

What methods or testing are in my opinion, in this upper class, and where it makes sense to manage variables or methods might be more likely in subclasses? Since I am not a C # expert, but I really know anything about object-oriented methodologies, I would first schonmal point out that I was not always maintained the principle of data encapsulation . Important to me personally at this point that the code is stable and easy to change and fast. Programmatically Viewed from the perspective or even architecturally aspects, there are certainly more elegant methods, but that should not continue to be relevant here.

Ok, back to the tests that I have stored in the class UserDefinesMethod.cs . Gladly I am open to other suggestions or ideas.

Restrict Trading Hours:








Depending on your taste, you can additionally required parameter declaration in the superclass installed or in the strategy itself I chose the latter, to not always have the option of restrict the trading hours, as it sometimes is just disturbing simply zuzumüllen the parameter range.

Global Order Entry and Exit objects:





has almost every strategy in my entry, stop and target orders. Therefore I have decided to include them in with a superclass.

restrictions on the visibility of the variables (here: protected ) indicates that the variables are inherited as well, as per sub-class are present and may be overridden.

instance variables, to store the connection status to the order server and server price:




So that should be enough for now. The central methods of the class UserDefinedMethods.cs be discussed in part two.

Best regards
darth trader

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Troubleshooting - isnewday ()

Before the next weeks with more specific issues is a mistake short quiz. Today I started trading the same strategy at 3 markets, which I tried hei0t habs. By a code change, only one market was trading, although signals available for all three were. 2 markets had I acted schonmal parallel with a strategy, but 3? Should it be because, or at least with this code:

code from the strategy to determine if a new day has begun. It is a variable schonGetradet (back), so that I can ensure that every day is definitely just a trade run:












code UserDefinedMethods . cs to manage in a top class central methods that can use all the strategies. Here is the called by the subclass Method isnewday () implemented:
















Where is the error and why is only one market traded and not all 3 signals, which it yesterday and today was the same strategy? There can

The resolution is the next day, who would like to advise :-)

Best regards
darth trader


and RESOLUTION UPDATE:

Gerd is right newDay is a class variable and an instance variable. Therefore, it exists only once. In addition, it is declared private and will not therefore inherited with. A declaration of

protected int = -1 newDay

could solve the problem. However, I have chosen the safer option and my code was changed back to this ...

if (ToDay (Time [0])! = Today (Time [1])) {... }

... to avoid further errors at first.

for advanced in terms of programming: Certainly there are situations in which the error variation from the top of more than one strategy may be called, but sure it is not. Keyword is "thread safety", because the above code is not synchronized (vorr. in C #, it is similar to Java :-)