EntriesPerDirection in Multi-Instrument strategy

[AnotherTrader]

My strategy has the code within OnBarUpdate()

[FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][COLOR=blue][FONT=Verdana]for[/FONT][/COLOR][COLOR=black][FONT=Verdana]([/FONT][/COLOR][COLOR=blue][FONT=Verdana]int[/FONT][/COLOR][COLOR=black][FONT=Verdana] i = [/FONT][/COLOR][COLOR=purple][FONT=Verdana]0[/FONT][/COLOR][COLOR=black][FONT=Verdana]; i < instruments; i++)[/FONT][/COLOR][/COLOR][/SIZE]
[COLOR=#0000ff][SIZE=2][COLOR=#282828][FONT=Verdana] { [/FONT][/COLOR][/SIZE]
[SIZE=2][COLOR=#282828][FONT=Verdana]  if(Positions[i].MarketPosition == MarketPosition.Flat)[/FONT][/COLOR][/SIZE]
[SIZE=2][COLOR=#282828][FONT=Verdana]             EnterLong(i, shares,"MyStrategy LONG");[/FONT][/COLOR][/SIZE]
[SIZE=2][COLOR=#282828][FONT=Verdana]  }[/FONT][/COLOR][/SIZE][/COLOR][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT]

If I have EntriesPerDirection = 1, does this mean the long entry for only my first instrument will be executed?

Or does it mean that only one long entry per instrument will be executed?

[The above for NT 6.5]

[NinjaTrader_RyanM1]

Hello AnotherTrader,

EntriesPerDirection is based on the signal name of the entries, and works closely with EntryHandling property.

If set to 1 it only allows one entry per signal name with unique handling.

[AnotherTrader]

Hello AnotherTrader,

EntriesPerDirection is based on the signal name of the entries, and works closely with EntryHandling property.

If set to 1 it only allows one entry per signal name with unique handling.

So, in my example, the only entry would be the long entry for my first instrument (i.e. the one with BarsInProgress = 0)?

[NinjaTrader_RyanM1]

Yes, that's correct. EntriesPerDirection is based on rules in the whole strategy, and not per instrument.

[AnotherTrader]

Yes, that's correct. EntriesPerDirection is based on rules in the whole strategy, and not per instrument.

... and so I guess if I set EntriesPerDirection equal to the number of instruments, then there could be an entry for each instrument?

[NinjaTrader_RyanM1]

That's one way to do it. You can also leave it at 1 but set EntryHandling to unique entries. You can then tag your entries as unique with something like this:


for(int i = 0; i < instruments; i++)
{
if(Positions[i].MarketPosition == MarketPosition.Flat)
EnterLong(i, shares,"MyStrategy LONG" + i);
}

[AnotherTrader]

Thanks! That worked really well.

[AnotherTrader]

Am continuing to work through this, and have the following code incorporated:

 
for(int i = 0; i < instruments; i++)
{ 
if(Positions[i].MarketPosition == MarketPosition.Flat)
EnterLong(i, shares,"MyStrategy LONG" + i);
}

If I am working with daily bars for 3 instruments (so OnBarUpdate() gets evaluated for BarsInProgress = 0, 1 and 2), and if I evaluate the above code during BarsInProgress = 1, i.e. ...

 
If(BarsInProgress == 1)
{
for(int i = 0; i < instruments; i++)
{ 
if(Positions[i].MarketPosition == MarketPosition.Flat)
EnterLong(i, shares,"MyStrategy LONG" + i);
}
}

... it seems that the entry happens on the same day for instruments 1 and 2, but on the next day for instrument BIP = 0 (I guess as OnBarUpdate() has already been evaluated for instrument BIP = 0?).

Any suggestions as to how I can get instrument BIP = 0 to enter on the same day?

[NinjaTrader_RyanM1]

What are the three time frames you're using?

[AnotherTrader]

What are the three time frames you're using?

All instruments use just daily bars.

[NinjaTrader_RyanM1]

Do you get better results when using if (BarsInProgress == 0) for your condition?

You also might want to try this in 7 as multi series strategies have changed since 6.5. I'm getting 3 entries on the same day with 7 using a similar setup.