There is no market data available to drive the simulation engine.

[whitebelt]

I am trying to use ninjascript to buy at the highest high of the last 30 bars. Here's my code.

protected override void OnBarUpdate()
        {
             EnterLongStop(MAX(High,30)[0],"Long");
        }

I get an error that says "There is no market data available to drive the simulation engine."

Can someone tell me what's wrong?

Thanks.

[NinjaTrader_Bertrand]

Most likely due to the fact that you try this on a weekend where the market is closed. Have you tried this in the Strategy Analyzer?

http://www.ninjatrader-support.com/HelpGuideV6/BacktestAStrategy.html

[whitebelt]

but this works fine

EnterShortStop(MIN(Low,30)[0],"Short");

i am ultimately trying to replicate the following easylanguage code:

buy 1 contract at highest(high,30) stop;
sell 1 contract at lowest(low,30) stop;

but, instead of submitting stop orders before the trigger price is hit, i want to submit a market order when the trigger price is hit. can you show me how to do this? thanks.

[NinjaTrader_Bertrand]

Hi whitebelt, you can try this snippet -

 
if (CrossAbove(Close, MAX(High, 30)[1], 1))
{
EnterLong(DefaultQuantity, "");
}

This will send a market order long once the highest high of last 30 bars is broken to the upside, maybe you need to add some kind of tick offset to filter.

[whitebelt]

this snippet isnn't exactly doing what i want.

1) it appears to trigger only when the close is higher than MAX(high,30)
2) it only sends the order on the close of the bar

i want to send the order as soon as the MAX(high,30) is touched by the current bar.

can you show me how to do this?

[NinjaTrader_Bertrand]

Hi whitebelt, true in backtesting this is executed at the close of the bar, in realtime this will depend on the CalculateOnBarClose setting - http://www.ninjatrader-support.com/H...BarClose1.html

To simulate intrabar fills, you can review this reference sample - http://www.ninjatrader-support2.com/...ead.php?t=6652

[whitebelt]

lets step back for a minute. in backtesting, how do i simply backtest the following:

buy 1 contract at highest(high,30) stop;
sell 1 contract at lowest(low,30) stop;

[NinjaTrader_Bertrand]

Hi, you can use this -

 
double myLongStopTrigger = MAX(High, 30)[0];

EnterLongStop(myLongStopTrigger, "Long");

[whitebelt]

what about the short side? i read in an old thread that you can't have longs and shorts in the same strategy. is this still true?

what is the most efficient way to code this simple strategy (long and short side)?

[NinjaTrader_JoshP]

whitebelt,

You cannot have simultaneous long orders and short orders sitting at the market at the same time. You can have long and short orders in a single strategy just as long as they do not try to both enter at the same time.

Many people solve this simply by submitting whichever order the price is closest to. If the price gets closer to the other side they will cancel the first order and submit the new one. Note, this would only work if the prices are far enough apart to prevent constant flip flopping.

[whitebelt]

i don't get it. how do i get it to do what i want. it's a simple strategy. why doesn't this code work?

EnterLongStop(MAX(High,30), "Long");
EnterShortStop(MIN(Low,30, "Short");

[NinjaTrader_JoshP]

As stated, you cannot have simultaneous working orders in opposite directions.

if (Close[0] >= MAX(High,30)[0])
     // place an order
else if (Close[0] <= MIN(Low, 30)[0])
    // place a different order

[whitebelt]

your code won't do what i want to backtest. your code only buys or sells at the close of the bar. i want to buy or sell as as soon as price touches the trigger. i know you said that in live trading, your code will do that if i toggle a setting. however, i want to see the backtest performance statistics.

EnterLongStop(MAX(High,30), "Long");
EnterShortStop(MIN(Low,30, "Short");

i want it to do exactly this on the backtest and see the performance statistics.

[NinjaTrader_JoshP]

whitebelt,

As stated, you cannot place simultaneous orders in opposite directions. You need to choose which one you want to place to the market. If price moves then change the order. I cannot spec out this for you. The idea is just look at the latest price and look at if its closer to your long order or your short order. If price is closer to the long order place in the long order. If the price becomes closer to the short order, cancel the long order and place in the short order.

The gist of the idea. You will need to work out all the details yourself.

if (MAX(High, 30)[0] - Close[0] > Close[0] - MIN(Low, 30)[0])
     EnterLongStop(...);
else
     EnterShortStop(...);

[whitebelt]

to be frank, i am quite surprised that ninjatrader can't do this. your logic that one should not be permitted to enter simultaneous orders in opposite directions is flawed. real trading does allow you to put a buy stop and a sell stop at the same time. also, your suggested solution is not a perfect solution so it will affect the performance report.

this is a basic bracket strategy that i'm sure many users will need in one form or another. i think you guys need to fix this problem. please bring this thread to the attention of NinjaTrader's owner.

there are a lot of other good features in NinjaTrader, but i don't think i will do too much more with NinjaTrader unless this is fixed.