Limit order issue (Strategy shuts down)

[NinjaTrader_JoshP]

Yes. You would want to check for Working or Accepted states. Or if your original is in a terminal state then place a limit order.

[stefy]

How can I do it? Which methods do I need to check the states?

Thank you

[NinjaTrader_JoshP]

Please review the Help Guide article on IOrder objects. http://www.ninjatrader-support.com/H...V6/IOrder.html

[stefy]

For the time being I decided to use EnterStop orders to avoid such problems.
I just tried to run the strategy and I get in the Log that Enter() methods have been ignored and "A SellShort stop order placed at '04/01/2008 15.00.00' has been ignored since the stop price is greater than or equal to close price of the current bar".
Obviously it can happen that the stop price from bar[1] is higher than the stop price in bar[0].
How could I work around this?

Thank you

[NinjaTrader_JoshP]

stefy,

You simply have to submit at a price level that is valid. In real-time this is generally not an issue if you don't submit stop losses so close to your entry price. In backtesting it is more difficult to control these scenarios because you do not know what is going to happen on the next bar.

If you are just going to use a regular stop order I suggest you use the SetStopLoss() method for that order instead.

[stefy]

But I need to backtest my strategy somehow.
I'm using just EnterLongStop and EnterShortStop, the exits and stop losses are just handled as common market orders.

if (conditions)
{
// Entry Long Condition
EnterLongStop(DefaultQuantity, uplimit, "LongStop");

// Entry Short Condition
EnterShortStop(DefaultQuantity, lowlimit, "ShortStop");
}

Thank you

[NinjaTrader_JoshP]

stefy,

There is no way around this. You just simply have to submit at a valid price. You can program logic that checks to see if your order is rejected. Then if it is just resubmit or whatever you would like. If you want an order to be guaranteed to submit just submit them as market orders.

[stefy]

At the end of my code in OnBarUpdate, I should write something like:

if (order.OrderState == OrderState.Rejected)
//I enter without any conditions
{EnterLong}

Is the above correct?

Thank you

[NinjaTrader_JoshP]

No. You need to access the correct IOrder object. Then you need to use the correct method call for EnterLong with the paranthesis. EnterLong().

When working with IOrders it is best to work from within the OnOrderUpdate() method. Please see the Help Guide example. There is also a reference sample available showing you some more examples on using OnOrderUpdate().

[stefy]

So far I did this:

Variables region

private IOrder EntryOrderL = null;
private IOrder EntryOrderS = null;

OnBarUpdate()

{
if (EntryOrderL == null)

{
EntryOrderL = EnterLongStop(0, true, DefaultQuantity, MaxRange, "LongStop");
}

if (EntryOrderS == null)

{
EntryOrderS = EnterShortStop(0, true, DefaultQuantity, MinRange, "ShortStop");
}
}

protected override void OnOrderUpdate(IOrder order)
{
if (EntryOrderL != null && EntryOrderL.Token == order.Token)
{
Print(order.ToString());
if (order.OrderState == OrderState.Rejected)
{
EnterLong(DefaultQuantity, "Long");
EntryOrderL = null;
}
}

if (EntryOrderS != null && EntryOrderS.Token == order.Token)
{
Print(order.ToString());
if (order.OrderState == OrderState.Rejected)
{
EnterShort(DefaultQuantity, "Short");
EntryOrderS = null;
}
}
}

In the backtest, it takes just two trades at the beginning of the period (one entry, one exit).
I simply want to input StopLimit orders and, if they are rejected (for the reason that the Stop price is higher/lower than the close price) I want to substitute them into Market orders. It seems to me the only way to have a backtest quite close to reality.
What do I need to change in the code?

Thank you

[NinjaTrader_JoshP]

Hi stefy,

The reason you are only taking one trade is because your entry condition is for the IOrder objects to be null. That is fine, but you do not reset your objects to null. You only reset them from a rejected state. You will also want to reset them in a cancelled or filled state as well.

[stefy]

Following your suggestion, I edited the code as follows:

private IOrder EntryOrderL = null;
private IOrder EntryOrderS = null;

OnBarUpdate()

{
if (EntryOrderL == null)

{
EntryOrderL = EnterLongStop(0, true, DefaultQuantity, MaxRange, "LongStop");
}

if (EntryOrderS == null)

{
EntryOrderS = EnterShortStop(0, true, DefaultQuantity, MinRange, "ShortStop");
}
}


protected override void OnOrderUpdate(IOrder order)
{
if (EntryOrderL != null && EntryOrderL.Token == order.Token)
{
Print(order.ToString());
if (order.OrderState == OrderState.Rejected)
{
EnterLong(DefaultQuantity, "Long");
}
if (order.OrderState == OrderState.Filled || order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Rejected)
{
EntryOrderL = null;
}
}

if (EntryOrderS != null && EntryOrderS.Token == order.Token)
{
Print(order.ToString());
if (order.OrderState == OrderState.Rejected)
{
EnterShort(DefaultQuantity, "Short");
}

if (order.OrderState == OrderState.Filled || order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Rejected)
{
EntryOrderS = null;
}
}
}

Now I got more trades executed, but in the Log file I keep on getting the same error code Enter() methods have been ignored and SellShort stop order has been ignored since the stop price is greater than or equal to close price of the current bar.

Thank you

[NinjaTrader_JoshP]

Right. Isn't that what your code is trying to address? When you submit an invalid price you will still get that message, but now you will be able to submit a market order in response. Also, I am not sure if submitting an order at an invalid price is rejected or not. It may be a Cancelled state.

[stefy]

No, there is something wrong clearly, for some currencies I get zero trades (instead of the normal few hundreds), for other currencies I get many less trades. It basically stops to trade at some point (depending on the currency).

Maybe if I attach a sample of the code it can be easier to explain?

Thank you

[NinjaTrader_JoshP]

If it does not trade you need to debug it slowly. Take it step by step. Start simple and then slowly introduce layers of complexity. Print out values for the IOrder object. Maintain the use of TraceOrders = true. Go through one line at a time till you figure out what is breaking.