order cancellation

December 15th, 2009, 09:42 AM

Hi, Is it possible to create a script to cancel limit orders if they are not filled within a predetermined number of bars (for example 10 bars)? If so, how can I go about achieving that? This is all I have at the moment.

// Entry Condition: Submit a buy stop order one tick above the first 20 bar high.
if (Bars.BarsSinceSession > 20 && Close[0] >= highestHigh + TickSize)
{
// EnterLongLimit() can be used to generate buy orders.
EnterLongLimit(highestHigh+TickSize);
}

December 15th, 2009, 09:44 AM

Track the order with IOrder then use CancelOrder to cancel.

Code

                            

IOrder myorder = null;
int myorderbar = 0;

myorder = EnterLongLimit(highestHigh+TickSize);
myorderbar = CurrentBar;

if (myorderbar + 10 > CurrentBar)
  CancelOrder(myorder);

Typed from memory so check code first.

Mike

December 15th, 2009, 09:45 AM

thank you sir! much appreciated.

January 19th, 2010, 05:34 PM

kaywai

Hi, Is it possible to create a script to cancel limit orders if they are not filled within a predetermined number of bars (for example 10 bars)? If so, how can I go about achieving that? This is all I have at the moment.

// Entry Condition: Submit a buy stop order one tick above the first 20 bar high.
if (Bars.BarsSinceSession > 20 && Close[0] >= highestHigh + TickSize)
{
// EnterLongLimit() can be used to generate buy orders.
EnterLongLimit(highestHigh+TickSize);
}

From the NinjaTrader Help Guide https://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?CancelOrder

Code

private IOrder myEntryOrder = null; 
private int barNumberOfOrder = 0; 
 
protected override void OnBarUpdate() 
{    
    // Submit an entry order at the low of a bar 
    if (myEntryOrder == null) 
    {         
        myEntryOrder = EnterLongLimit(0, true, 1, Low[0], "Long Entry"); 
        barNumberOfOrder = CurrentBar; 
    } 
 
    // If more than 5 bars has elapsed, cancel the entry order 
    if (CurrentBar > barNumberOfOrder + 5) 
        CancelOrder(myEntryOrder); 
}

Hope that helps!

December 7th, 2010, 08:38 PM

kaywai

Hi, Is it possible to create a script to cancel limit orders if they are not filled within a predetermined number of bars (for example 10 bars)? If so, how can I go about achieving that? This is all I have at the moment.

// Entry Condition: Submit a buy stop order one tick above the first 20 bar high.
if (Bars.BarsSinceSession > 20 && Close[0] >= highestHigh + TickSize)
{
// EnterLongLimit() can be used to generate buy orders.
EnterLongLimit(highestHigh+TickSize);
}

My code snippet above is incorrect for NT 7. Have had to code cancel orders today into a strat with limit orders, so they cancel if not filled after one bar.

For NT 7 it should look this:

In you variables section you need,

Code

#region Variables
private IOrder                              entryOrderR         = null; 
private int                                     entryBar               = 0;

In the OnBarUpdate () section you need something like this example, change for your own setups.

Code

protected override void OnBarUpdate()
if (Position.MarketPosition == MarketPosition.Flat 
                    && Position.MarketPosition != MarketPosition.Short
                    && Close[1] > Open[1]
                    && GetCurrentBid() < Close [1] - 2 * TickSize                
                    )
                {
                    {
                        
                        
                        entryOrderR = EnterLongStopLimit(Close[1] + 1 * TickSize, Close[1]); 
                         entryBar = CurrentBar;
                        
                        
                    }
                    // If more than 1 bars has closed since, cancel the entry order. 
                    if (CurrentBar > entryBar + 1) 
                    {    
                    CancelOrder(entryOrderR); 
                    }
                }

                else if (Position.MarketPosition == MarketPosition.Flat
                         && Position.MarketPosition != MarketPosition.Long
                         && GetCurrentAsk() > Close [1] + 2 * TickSize
                         && Close[1] < Open[1]                    
                         )
                {
                    {
                        
                        entryOrderR = EnterShortStopLimit(Close[1] - 1 * TickSize, Close[1]);
                        entryBar = CurrentBar;
                        
                    }
                    // If more than 1 bars has closed since, cancel the entry order.
                    if (CurrentBar > entryBar + 1) 
                    {
                    CancelOrder(entryOrderR); 
                    }

In my earlier sample I had left out curly brackets from the CancelOrder(MyEntryOrder); call sample. I have added to this post for my own future reference and also so it may help others in the future.

December 8th, 2010, 04:52 AM

You don't need any code to cancel orders!
Just issue order without "live until canceled" (the simple one) and don't renew it.

Baruch

December 8th, 2010, 07:09 AM

baruchs

You don't need any code to cancel orders!
Just issue order without "live until canceled" (the simple one) and don't renew it.

Baruch

live until canceled only works for 1 bar.

December 8th, 2010, 07:58 AM

Quoting

live until canceled only works for 1 bar

Your wrong!
EnterLongLimit()

Baruch

December 8th, 2010, 08:55 AM

baruchs

You don't need any code to cancel orders!
Just issue order without "live until canceled" (the simple one) and don't renew it.

Baruch

Baruch - I need to manually cancel orders otherwise they don't expire until the close of the session. Also, sometimes one of my entry signals causes an "invalid order submitted" error which then terminates the strategy.

Can you post the code or attach a sample strategy that cancels an order after one bar closes?

December 8th, 2010, 09:40 AM

EnterLongLimit(Price);
Will be valid for 1 bar. Of course if you issue this order on each bar then until you stop doing it the order will exist.

Quoting

Also, sometimes one of my entry signals causes an "invalid order submitted" error which then terminates the strategy.

How do you want me to respond to it?
Baruch

order cancellation

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order cancellation