Auto order cancel

December 2nd, 2016, 07:21 AM

Does anyone know of a way to automatically cancel a pending order at a price point with the ATM or a strategy?

Example: entry is pending to enter on a stop limit order short. However if the market rises to a certain price then we want to cancel the entry.

Thanks

December 3rd, 2016, 10:26 AM

You can use CancelOrder().
If a strategy has created an order, then it is aware of the context and can cancel the order.

If not, then the strategy can't 'watch' pending orders, and then would have to know when to cancel the order
using CancelOrder() at what level for long and short, you could read the DB directly for outstanding orders

December 3rd, 2016, 01:04 PM

rleplae

You can use CancelOrder().
If a strategy has created an order, then it is aware of the context and can cancel the order.

If not, then the strategy can't 'watch' pending orders, and then would have to know when to cancel the order
using CancelOrder() at what level for long and short, you could read the DB directly for outstanding orders

So since the order would be manually entered, I would need to write a strategy to cancel it correct.

December 3rd, 2016, 01:10 PM

ttiller

So since the order would be manually entered, I would need to write a strategy to cancel it correct.

Straight forward, a strategy can only cancel what i has 'started'.

Code

  private IOrder myEntryOrder = null;
  myEntryOrder = EnterLongLimit(0, true, 1, Low[0], "Long Entry");
  CancelOrder(myEntryOrder);

In your case you would not have the IOrder object.

You can however in a bit more advanced way, iterate through all the orders
as follows :

Code

		
		for (int i=0; i < NinjaTrader.Cbi.Globals.Accounts.Count; i++ ) {
		for (int j=0; j < NinjaTrader.Cbi.Globals.Accounts[i].Positions.Count; j++ )
		{
			Print(""
				+NinjaTrader.Cbi.Globals.Accounts[i].Name +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Positions[j].Instrument.FullName +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Positions[j].MarketPosition +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Positions[j].Quantity +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Positions[j].AvgPrice
			);
		}
		
		for (int j=0; j < NinjaTrader.Cbi.Globals.Accounts[i].Orders.Count; j++ ) 
		if (NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].Filled == 0 && NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].OrderState.ToString() != "Cancelled")
		{
			Print(""
				+NinjaTrader.Cbi.Globals.Accounts[i].Name +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].Instrument.FullName +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].OrderAction + " "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].Quantity +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].OrderType + " "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].LimitPrice + " "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].StopPrice + " "
			);
		}
	}

December 3rd, 2016, 01:39 PM

This might be helpful for you :

Strategy Position and Account Position

Here is my strategy that does what you ask. After a manual entry, start the strategy. You have to enter the date and time when you want the strategy to become effective. This is a bother, but necessary for tailstop flexibility. It will exit when …

December 4th, 2016, 04:10 PM

Thanks! This helps a lot!

rleplae

Straight forward, a strategy can only cancel what i has 'started'.

Code

  private IOrder myEntryOrder = null;
  myEntryOrder = EnterLongLimit(0, true, 1, Low[0], "Long Entry");
  CancelOrder(myEntryOrder);

In your case you would not have the IOrder object.

You can however in a bit more advanced way, iterate through all the orders
as follows :

Code

		
		for (int i=0; i < NinjaTrader.Cbi.Globals.Accounts.Count; i++ ) {
		for (int j=0; j < NinjaTrader.Cbi.Globals.Accounts[i].Positions.Count; j++ )
		{
			Print(""
				+NinjaTrader.Cbi.Globals.Accounts[i].Name +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Positions[j].Instrument.FullName +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Positions[j].MarketPosition +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Positions[j].Quantity +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Positions[j].AvgPrice
			);
		}
		
		for (int j=0; j < NinjaTrader.Cbi.Globals.Accounts[i].Orders.Count; j++ ) 
		if (NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].Filled == 0 && NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].OrderState.ToString() != "Cancelled")
		{
			Print(""
				+NinjaTrader.Cbi.Globals.Accounts[i].Name +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].Instrument.FullName +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].OrderAction + " "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].Quantity +" "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].OrderType + " "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].LimitPrice + " "
				+NinjaTrader.Cbi.Globals.Accounts[i].Orders[j].StopPrice + " "
			);
		}
	}

Auto order cancel

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Auto order cancel