Unmanaged Orders: Where is "fromEntrySignal" parameter in SubmitOrder() method?

[ChiTrader2000]

Hello,

I am trying to convert my NinjaTrader code to use only unmanaged orders, and I need an exit order to be associated with the proper entry order when I am scaling in and scaling out of positions.

Where is "fromEntrySignal" parameter in SubmitOrder() method?

Some of the overloads of the managed order exiting methods like "ExitShort" have their last parameter as "string fromEntrySignal". This allows me to match up every exit with every entry when scaling in and out.

Thanks in advance!

ChiTrader2000

[NinjaTrader_JoshP]

It is called unmanaged because it does not use any signal tying etc. You need to keep track of everything through your code.

[ChiTrader2000]

NinjaTrader_Josh, or anybody else who can help...

I don't mind keeping track of this in my code, just so long as I can force the NinjaTrader backtester to visually associate the proper entries and exits, even when I am scaling in and scaling out.

Both the backtest results grids and the backtest results charts need to visually associate the proper entries and exits.

Is it possible, in code, to cause unmanaged orders to achieve these visual entry-exit associations in the NinjaTrader backtester when scaling into and out of positions, or will all the backtest results for all unmanaged orders always have wrong entry-exit mismatch associations, irregardless of the code I write?

Thanks in advance,

ChiTrader2000

[NinjaTrader_Ray]

Is it possible, in code, to cause unmanaged orders to achieve these visual entry-exit associations in the NinjaTrader backtester when scaling into and out of positions, or will all the backtest results for all unmanaged orders always have wrong entry-exit mismatch associations, irregardless of the code I write?

I don't believe it is possible. I believe that entries and exists are visually matched by first in first out basis...I believe...Will check on this further.

[ChiTrader2000]

NinjaTrader_Ray,

Thanks a lot for the quick reply.

I really hope that NT7 provides some way for me to achieve the following at the same time:

#1) Place Entry LimitOrders both above and below the market at the same time,

and...

#2) Associate the exit orders with the proper entry orders in the NT7 backtest grids and charts.

Currently, #1 is only possible with Unmanaged Orders, and #2 is only possible with Managed Orders. What should I do to achieve my goal of doing both #1 and #2 at the same time?

If it is absolutely not possible with the current NT7 beta, could your team either:

A) Allow the NT strategy programmer to conditionally relax the constraint that disallows Managed Entry LimitOrders from being placed above and below the market at once, perhaps via a Strategy property like "AllowEntryOrdersOnBothSidesOfTheMarketAtOnce = true;",

or...

B) Support entry-exit matching of Unmanaged Orders.

Thank you very much for considering my request.

Without a solution to this problem I am going to once again be stuck with making my traders backtest Buys and Sells in separate backtest runs as I needed to in NT 6.5, since scaling in and out and entry-exit matching is absolutely critical to our organization.

It is a very common trading tactic to enter a position on a breakout on either side of the market, and it is also very common to scale in and out of positions. Making what I am asking for possible in NT7 should make a lot of NT users quite happy.

Thanks again,

ChiTrader2000

[Aussie2]

Unmanaged orders

Just for the record I was able to program multiple entries and exits using unmanaged orders and still achieve your second goal (#2)

I did this by introducing a text variable called say EntrySignalType and ExitSignalType to record the appropriate signal name for the trade. I could print this to the OutputWindow along with Trade Profit/Loss to evaluate signal performance when Optimising, and also print onto the Optimiser Chart.

[chtangwin]

Hi Aussie,

Just found out your post while researching unmanaged order issues. Would you mind sharing how you are doing this? I am able to generate unmanaged order correctly in NT7, but in market analyzer, the trade, chart are all shown wrong (orders are matched incorrectly)?

Thanks.

[chtangwin]

I don't believe it is possible. I believe that entries and exists are visually matched by first in first out basis...I believe...Will check on this further.

Hi Ray,

Would you be able to find update on this? I am having the same issue as ChiTrader2000,
and would appreciate if there is a solution, e.g. to match orders using signalName, etc.

Thanks.

[NinjaTrader_Bertrand]

chtangwin, the unmanaged approach would not provide any NT signal tracking unfortunately (matching by signal names) as you were used to from the managed approach.

[chtangwin]

Hi Bertrand,

Thanks very much for the reply. I understand it is not supported, but is there a solution? I can code everything myself if this is needed. Without a solution, essentially strategy analyzer is not usable at its current form.

Would you please check the developers and see what we can do?

Thanks.

[NinjaTrader_Bertrand]

We checked with development, this is unfortunately not possible as there's no tracking so could not line them up.

[chtangwin]

Hi Bertrand,

Thanks very much for the update. This is sad. Here I am, just trying to test a simple breakout strategy, and could not find a way to have it back-tested, even in NT7.

Like ChiTrader2000 said:

Without a solution to this problem I am going to once again be stuck with making my traders backtest Buys and Sells in separate backtest runs

I am sure this is a common requested feature. While researching this issue in the support forum, I found quite a few questions on this topic.

Would you please suggest a solution so that we can test a simple breakout strategy like this, i.e. to enter both long stop and short stop at the same time?

I envision the following possible solutions:

1. Use unmanaged orders. The order part is working now, but chart, trades, PnL are wrong.

So is it possible for NT to support customized chart, trade, PnL class in strategy analyzer? Just like the way custom optimizer is being supported. I am a programmer, and could code everything is needed. But to do this, I need an interface/mechanism to plug into strategy analyzer.

2. Running multi-strategies in stratege analyzer. Is it supported in NT7?

3. If (2) is not feasible, can I create a composite strategy class to make it work inside strategy analyzer? That is, the class has 2 sub-strategy as member variables, and route OnBarUpdate() call to each of them.

Please please consider this request. I am sure a lot of users will thank you if this is supported, or at least point a solution/workaround to enable us to implement this feature ourselves. Without it in place, I am not able to use NT7.

I would appreciate if you have any suggestions for a solution.

Thanks.

[NinjaTrader_Bertrand]

chtangwin, thanks for your feedback and suggestion - you could work with NT's signal tracking for this in the managed mode, however this would mean you're working again in the managed environment where the order handling rules are valid and working. As there's no tracking done, I would unfortunately not have a workaround for achieving the same in unmanaged mode.

I'm not exactly sure what you mean by running MultiStrategies in the Analyzer - strategies generally would not cross communicate between each other.

[TakisTakis]

I already mentioned this here http://www.ninjatrader.com/support/forum/showpost.php?p=178201&postcount=9 being able to open positions in both sides of the market in a reasonable way is something that is offered by other platforms too, that have way less capacities than NT. It would be a pitty to offer all these extras you offer and not being able to do the simplest of things: relax the managed rules.

Unfortunately, I do not have the option to do seperate backtests, so I am left with no solution than use other platforms for such strategies. This is really a pitty.

Please, pass this high up in your feedback list.

Kind Regards

TakisTakis

[NinjaTrader_Bertrand]

TakisTakis, we have noted the kind feedback provided - currently we're focused on stabilizing NT7 beta further and will revisit our list once we roll it into production. Thanks for your testing and input.