Stop Loss Multi Time Frame

[dave1992]

This may well be something I've misunderstood about multi instrument.

I have a 60 min primary strategy, and add a 1min series. I open a position in the 1min, with a stoploss set, and the next time the 60 min fires, it cancels my stoploss as being expired - the position is still open.

How do I resolve this? I can understand positions/orders might be relative to a series, but if that's the case, why does the 60 min series see the stop loss?

thanks
Dave

[NinjaTrader_Bertrand]

Dave, what kind of StopLoss order are you using? The Set() or Exit() methods? If the Exit() methods are not set to liveUntilCancelled, they would expire on the next OnBarUpdate() call, which is default behavior in NT.

[dave1992]

Hi,

I'm using SetStopLoss. I'm using enter long/short, and exit long/short. I'm not sure what it would have to do with exit methods?

[NinjaTrader_JoshP]

dave1992,

Can you please turn on TraceOrders = true in Initialize() and provide us with the output? Then can you also provide us with snippets of your exact method calls? Thank you.

[dave1992]

Here is the output for one day (a slight aside - is there some reason why exit on close doesn't seem to get logged by trace orders?)

02/02/2010 09:00:00 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=0.874 Currency=0 Simulated=False
02/02/2010 09:16:00  6A: Long Entry
02/02/2010 09:16:00 Entered internal PlaceOrder() method at 02/02/2010 09:16:00: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
02/02/2010 10:00:00 Cancelled expired order: BarsInProgress=0: Order='NT-00007/Backtest' Name='Stop loss' State=Working Instrument='6A 06-10' Action=Sell Limit price=0 Stop price=0.874 Quantity=1 Strategy='tt1' Type=Stop Tif=Gtc Oco='NT-00004' Filled=0 Fill price=0 Token='dc3f3a74f05c462fbe19bb7cff6b8b14' Gtd='01/12/2099 00:00:00'
02/02/2010 17:29:00  6A: Exit 
02/02/2010 17:29:00 Entered internal PlaceOrder() method at 02/02/2010 17:29:00: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''

here are my method calls
EnterShort();
EnterLong();
ExitShort();
ExitLong();
SetStopLoss(CalculationMode.Price, stop);

[NinjaTrader_JoshP]

dave1992,

It is unclear what is happening from the traces. Would you mind attaching a stripped down version of your strategy that demonstrates this behavior and we can analyze it here? Thank you.

ExitOnClose orders are not generated by any explicit user code so that is why it doesn't show.

[dave1992]

OK, it's a pretty simple strategy though

        protected override void Initialize()
        { 
            Add(PeriodType.Minute, 1); 
            
            TraceOrders = true;
        }

    
        protected override void OnBarUpdate()
        {
            

            if (BarsInProgress == 1) {
                    if (Position.MarketPosition != MarketPosition.Flat && Time[0].Hour == 15 && Time[0].Minute == 16) {
                    ExitShort();
                }

                if (Time[0].Hour == 13 && Time[0].Minute == 16) {
                    SetStopLoss(CalculationMode.Price, Close[0]+50*TickSize);
                    EnterShort();
                }
                return;
            }

                    
        }

[NinjaTrader_Bertrand]

Dave, thanks, I could unfortunately not reproduce, I only get a cancelled SetStopLoss as the session end, which is expected. Is this on beta 14?

[dave1992]

Yes, beta 14.

Could I please see your output?

thanks
Dave

[hatori]

Cancelled expired order NT 7 B14

I just found the same bug what Dave wrote.

On multi timeframe strategy both the target and the stop cancelled with the "Cancelled expired order: BarsInProgress=1..."
message , and left the open position unprotected.

Regards,
Hatori.

[NinjaTrader_JoshP]

Thanks. We are looking into something at this point in time.

[NinjaTrader_Bertrand]

Guys, thanks for your reporting efforts, we were finally able to reproduce here and this will be fixed with our next beta round, please recheck your scripts then. Thanks

[tomtom]

Whew, spent several hours last night trying to debug the same problem. Hope this is fixed soon!

Thanks,
Tom