Object-Oriented Order Management

[Tradewinds 12]

This thread is dedicated to Object-Oriented Order Management in TradeStation. I'll start by listing the different OrderStates that can be retrieved using OO in EL. I'm not sure that any of this can be done with the procedural programing in EL. I've looked through the Reserved Words, and haven't seen any way to retrieve the following order status info except through OO.

 

OrderState

Indicates the state of an order as it is being processed.

 

Namespace: tsdata.trading

 

Enumerated Values

 

Canceled 9

Cancelpending 10

Expired 12

Filled 8

Partiallyfilled 6

Partiallyfilledurout 7

Queued 5

Received 4

Rejected 11

Sendfailed 3

Sending 1

Sent 2

unsent 0

 

So, with OOP in EL, I can have the code check for whether the order was sent, received, rejected or filled. I don't think I can do any of that except with OOP.

[Tradewinds 12]

You can also retrieve the current Price Style for an order. Here is the list:

 

PriceStyle

Lists the types of auto price settings for an order.

 

Namespace: tsdata.trading

 

Enumerated Values

Name Value

 

HitOrTake 5

HitOrTakePlus 6

IfTouchPlus 9

Improve 2

Join 1

None 0

ParentPlus 7

Shave 4

Split 3

StopPlus 8

 

An IfTouch order will allow you to place a Market order that does not execute unless the price touches a certain price. HitOrTake executes a market order immediately I believe.

[Tradewinds 12]

Here is an even longer list of Order Status States that can be checked with OO. I'm quite sure that none of this is available through reserved words. In other words, if you want to be able to have you code check for these conditions, you'll need to use OO. I have no idea what a "BigBrotherRecall" is.

 

Namespace: tsdata.trading

 

Enumerated Values

Name Value

 

BigBrotherRecall 34

BigBrotherRecallRequest 33

BracketCancelled 28

BracketFilled 29

Broken 1

Canceled 2

CancelRequestRejected 20

CancelSent 16

Change 3

ChangeRequestRejected 23

ConditionMet 26

Dead 5

Dispatch 4

ExpirationCancelRequest 30

Expired 6

FillCorrected 17

Filled 7

OptionAssignment 27

OptionExcercise 31

OrderStatusMessage 14

OSOOrder 32

PartialFillAlive 9

PartialFillUROut 8

Queued 22

Received 0

Rejected 13

Replaced 15

ReplaceSent 25

Sending 19

Sent 11

StopHit 24

TooLateToCancel 10

TradeServerCanceled 18

UnSent 21

UROut 12

[Tradewinds 12]

Here is some code that should exit a current long order.

 

 

var: tsdata.trading.order OrdrInfo(Null);
var: xLng(False), xShrt(False), QtyOpen(0);

{If there is a signal to exit a long position or exit a short position, first
get the Quantity of orders currently open.  Don't need to get the qty open
unless there is a reason to exit, so make it conditional.
For this code to work, the OrderTicket1 and PositionsProvider1 must
be dragged from the toolbox into the code editor.}

If xLng or xShrt then QtyOpen = PositionsProvider1.Position[0].Quantity;

// if there is a signal to exit a long, 
//  and no other order has been placed this bar,
// and the Qty open is greater than 0, then close the long.

If xLng and xLngFired = False and QtyOpen > 0 then begin
xLngFired = True;  // Immediately set the xLngFired variable to true
OrderTicket1.SymbolType = 0; // Set security type to Future
OrderTicket1.Symbol = "Symbol";  // Set symbol for order to current symbol on chart
OrderTicket1.Quantity = QtyOpen;  // Set order qty to the qty of orders open to exit the position
OrderTicket1.Action = 2; // Set the order to a SELL order
OrderTicket1.Type = 2; // Set order type to Market
OrdrInfo = OrderTicket1.Send();  // Send the order
End;

// At end of the bar reset the status of whether an order was sent on this bar or 
// not back to False

If Barstatus(1) = 2 then begin
xLngFired = False;
xShrtFired = False;
End;

[UrmaBlume 10]

These new order objects in TS finally give the developer of automated systems a way around the faulty TS Trade Manager.

 

The bad news about them is that they can't be used in a strategy and thus can't be used in back testing/optimization. The good news is that as they are used in an indicator you can also plot from the same code that executes your trades which you can't do from a strategy.

 

These objects plus the new PSP's add tremendous power and versatility for the astute TS user. The only remaining item to put TS at the top of the heap is a sub-second time stamp.

[Tradewinds 12]

The bad news about them is that they can't be used in a strategy and thus can't be used in back testing/optimization. The good news is that as they are used in an indicator you can also plot from the same code that executes your trades which you can't do from a strategy.

 

Yes, thank you for that. Personally, I would rather execute trades intrabar instead of waiting for the next bar for a strategy to send the order. I'm wondering if there might be some way to get the data needed to determine the profitability even without the backtesting. I'll probably be looking into the subsecond issue at some point. It seems that I've seen functions for millisecond timers.

[UrmaBlume 10]

Yes, thank you for that. Personally, I would rather execute trades intrabar instead of waiting for the next bar for a strategy to send the order. I'm wondering if there might be some way to get the data needed to determine the profitability even without the backtesting. I'll probably be looking into the subsecond issue at some point. It seems that I've seen functions for millisecond timers.

 

You can get reasonable accuracy backtesting/optimizing with intra bar executions using easy language and then re-write the strategy into an indicator using the order objects.

 

The issue with the millisecond timers is that they can only activate an event - they can't store data with any time granularity that is sub 1 minute.

 

This time stamp business is really a shame as one of TS's strongest points is their great data base - 6 mos tick data, continuous contracts even at tick level, more than a decade of 1 minute and higher data and all the great new indexes that go far beyond tick and trin.

[Tradewinds 12]

I've had trouble with this line:

 

QtyOpen = PositionsProvider1.Position[0].Quantity;

 

This seems to be better at getting the current quantity of your open order:

 

var: Ticker(" "), AccntNum(" ");

 

Once Begin // Run once per load

AccntNum = GetaccountID();

Ticker = Getsymbolname;

End;

 

QtyOpen = GetPositionQuantity(Ticker, AccntNum);

[Tradewinds 12]

I've had trouble with this line:

 

QtyOpen = PositionsProvider1.Position[0].Quantity;

 

If the account has no open positions, PositionsProvider1.Position[0].Quantity will return an error during trading and shut your indicator down. Which is really stupid, but that's the way it is. But I've found a way to deal with that situation by first checking for any open positions.

 

If PositionsProvider1.Count <> Null then

Value3 = PositionsProvider1.Position[0].Quantity else value3 = 0;

 

So, if there are no open positions, the code doesn't try to retrieve a quantity. That avoids the error msg, and sets Value3 to 0.