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Auto order cancel


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Auto order cancel

  #1 (permalink)
ttiller
Pawleys Island SC
 
Posts: 3 since Aug 2016
Thanks Given: 2
Thanks Received: 1

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

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  #2 (permalink)
 
rleplae's Avatar
 rleplae 
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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

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  #3 (permalink)
ttiller
Pawleys Island SC
 
Posts: 3 since Aug 2016
Thanks Given: 2
Thanks Received: 1



rleplae View Post
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.

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  #4 (permalink)
 
rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
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ttiller View Post
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 + " "
			);
		}
	}

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  #5 (permalink)
 
rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
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This might be helpful for you :


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  #6 (permalink)
ttiller
Pawleys Island SC
 
Posts: 3 since Aug 2016
Thanks Given: 2
Thanks Received: 1

Thanks! This helps a lot!




rleplae View Post
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 + " "
			);
		}
	}


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Last Updated on December 4, 2016


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