Scaling out positions strategy orders

[gg80108]

My exit order gets rejected as if there is no contract but there is one left. I enclosed a traceorders and a picture of the chart

[NinjaTrader_JoshP]

gg80108,

You will need to scale-in before you can scale-out. This is expected behavior when you try to attach multiple exit orders to a single entry. Scaling-in allows for multiple entry signal names that can allow for multiple exits to be attached to each part of the overall entry.

[gg80108]

gg80108,

You will need to scale-in before you can scale-out. This is expected behavior when you try to attach multiple exit orders to a single entry. Scaling-in allows for multiple entry signal names that can allow for multiple exits to be attached to each part of the overall entry.

yes, Know what u are talking about,, different signal names.. I first tried that in 6.5 but first scale out always cancelled all the orders.. I put in an a support issue that said NT7 is better will fix this.


but

Enclosed is my Strategy from today,, It was connected to zen data in sim mode and every thing entered and exited as designed.. I always saw my Strategies exit in zen data sim mode,, so when I tried to replay test,, ooo bad news since the runner positions didn't exit right.

I did a Replay of today and Strategy failed to exit the final contract.. that little red text was written by my code when it placed the stop order to exit the final contract but the order failed, with the no position to exit..
It might work ,if I recode it but this is curious.

[NinjaTrader_JoshP]

I would suggest you use TraceOrders = true. Remember when you are using replay that fills can be different than fills during live trading as you are using a simulated fill algorithm.

[gg80108]

I would suggest you use TraceOrders = true. Remember when you are using replay that fills can be different than fills during live trading as you are using a simulated fill algorithm.

On my first post, is an attachment of a trace log,, I have always determined what was going on from the tracelog, so I already have TraceOrders = true in my code....

Different fills are ok and a fact of trading life,,,, but totally rejecting a stop order when in Replay mode isn't a different fill its no fill ever ,, just isn't acceptable at all, no way, no time and makes this Replay just a game and not a serious trading evaluation tool......

[NinjaTrader_JoshP]

gg80108,

We have already discussed the reason orders are rejected from those original traces. You need to scale-in to scale-out.

[gg80108]

gg80108,

We have already discussed the reason orders are rejected from those original traces. You need to scale-in to scale-out.

Ok, changed code to scale-in to scale-out. Enclose a good trade on chart before the enter and no exit..

I was backtesting with 03-10 contract... I had trace orders on but the output window was full and didn't print a recent message..... That output window needs to be about 100x the capacity , since you now are making it easy to test against big files and it can fill fast...

Also the contract type and value needs to be added to the log so one can tell between , if I am running the same strategy against the same contract two different time frames(charts)

There should have been around 500 trades except it quit at 78,, also the close out at the end of the day didn't work either..

Enclosed is the trade log of the 78 times it did work..

Here is a curious thing,, take a look at the picture with the Strategies window. As soon as I open it the output window has some initialization statements that kick off (that I recognize from on of the strategies) before I even add a strategy..

[gg80108]

Traded 270 times successfully then entered but NT cancelled the profit target and stops,,, nothing interesting in the output window. The output window did show the strategy moving the trailing stops as indicated by my drawtext red TLOt1 -3 the 3 is for 3 contracts which their should have only been 1 contract left at this point if NT had not cancelled my profit order for the first two contracts and left me with totally no stops.

[NinjaTrader_JoshP]

gg80108,

You've attached only the logs, but I would not be able to diagnosis the scenario without the TraceOrders output for this moment in time. I suggest you remove extraneous messages so you do have room in the Output Window for the relevant trades. Or you could try decreasing the backtest length or clearing the window at times when there are no problems. Since it seems like you are using replay files it should be easier for you to reproduce the issue.

Here is a curious thing,, take a look at the picture with the Strategies window. As soon as I open it the output window has some initialization statements that kick off (that I recognize from on of the strategies) before I even add a strategy..

This is expected. When you bring up the Strategies selection dialogue window it triggers the Initialize() methods of strategies.

[gg80108]

gg80108,

You've attached only the logs, but I would not be able to diagnosis the scenario without the TraceOrders output for this moment in time. I suggest you remove extraneous messages so you do have room in the Output Window for the relevant trades. Or you could try decreasing the backtest length or clearing the window at times when there are no problems. Since it seems like you are using replay files it should be easier for you to reproduce the issue.

This is expected. When you bring up the Strategies selection dialogue window it triggers the Initialize() methods of strategies.

Ya annoying I run out of space in the Output Window.. I'll clean it up!

Here is another interesting tidbit... Don't hold me to this but I think I noticed that it only gets this problem on the same trades twice in the data then only with a 2 range chart, so far.. I ran an 89 tick all the way through with no failures..

If i already have some recorded daily data files but then I use the NT7 download to get a big range of data, on the replay does it us the big range or the individual files? I noticed that it seems to use the individual daily files since my daily files are about 06:00AM till 16:00PM and the charts pause for a while ..

Don

[NinjaTrader_JoshP]

Don,

Replays will always use your replay files and not the database data for playback so no matter what you download into a chart it wouldn't matter because the replay data file is what is played instead.

[gg80108]

Don,

Replays will always use your replay files and not the database data for playback so no matter what you download into a chart it wouldn't matter because the replay data file is what is played instead.

So what does this "Download Replay Data" used for? This seemed to be a way to get a big replay file,, no??

[NinjaTrader_JoshP]

gg80108,

That downloads a single day's replay file at a time, yes. That would be what is used when you play a replay.

[gg80108]

One can download a big range in the Historical Data Manager.
When I load a chart and tell it to load 40 days, does this come from this historical data?
Any other use for this data??
Be nice if I could turn it into Replay data??
When I download I can select Tick, Minute or DAY.. If I just do Tick,, can I make tick,minute,range,vol, etc form Tick data?

[NinjaTrader_JoshP]

gg80108,

Historical Data Manager downloads data for charts, not replay files. When you tell a chart to load 40 days that is the same data seen in the Historical Data Manager. You cannot change this into replay data as replay data can only be made through real-time recording or downloaded through the Download Replay Data utility.

If you want to make different bar types from tick data you would need to download it, export it, reimport and check the build minute/daily bars from it. Volume/range/sec bars are already built from tick data so there is nothing explicit to do there.