Intrabar Logic

[djkiwi]

Hi guys, was hoping with some basic help on intrabar logic:

What I'm trying to do is use some commands basic on the current bar using some sort of THEN statement:

For example I am doing the following based on 10 tick Renko Bars:

1. If Ask crosses 10 ticks below the close of previous bar

AND THEN

2. If Ask crosses above the Close of the previous bar and ask volume is > than a specified number

3. THEN if ask increases another 5 ticks and ask volume is than a specified number.

Trigger Order

I am struggling with the logic of THEN so multiple conditions are satisfied one after the other before an order is actioned. In the above example should only work if 1 is triggered first then action 2 and if two is triggered then action 3. I'm ok with:

if and else commands but not

if and Then

Can you please help me on this one:

Thanks
DJ

[NinjaTrader_RyanM1]

Hello djkiwi,

You will have to code a sequence. A common approach is using bool flags and user variables. A sample for sequences with user variables is available here.

http://www.ninjatrader-support2.com/vb/showthread.php?t=15417

An example with bool flags looks something like this:

#region Variables
private bool goSecondCond = false;
private bool goThirdCond = false;
#endregion

if (yourFirstCondition)
goSecondCond = true;
			
if (goSecondCond && yourSecondConditions)  
goThirdCond = true;

if (goThirdCond && yourThirdConditions)
//place orders

You then need something later on that resets these back to their initial values as false.

[djkiwi]

Orders Going nuts

Thanks Ryan, that is exactly what I'm looking for although when it triggered the order it started going nuts and kept triggering orders! I only want it to process one order per bar you see. So what happens here is once gosecondcond 2 is triggered then it processes the ATM Strategy. I found this firsttickofbar as per the manual but that doesn't seem to work. Also I found this in another post, that doesn't help either:

&& GetAtmStrategyMarketPosition("TF2") == MarketPosition.Flat

Any ideas on this one? Thanks. DJ

Here is some of my code:

// LONG ENTRIES

}
if (orderIdL.Length == 0
&& atmStrategyIdL.Length == 0
&& GetAtmStrategyMarketPosition("TF2") == MarketPosition.Flat
&& FirstTickOfBar


&& Open[0] > Open[1]
&& Close[1] > Open[1]
&&_ADXVMA_Alertsv01_5_1_Hurley2(5, true).Signal[0] ==1
)

goSecondCond=true;

//Second Condition

if(goSecondCond
&&Close[0] < Close[1] - PrevBarsPlusTicks * TickSize

)

{

atmStrategyIdL = GetAtmStrategyUniqueId();
orderIdL = GetAtmStrategyUniqueId();
orderBarL = CurrentBar;
AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Limit, Close[1] - prevBarsPlusTicks * TickSize,0, TimeInForce.Day, orderIdL, "TF2", atmStrategyIdL);


}

[NinjaTrader_Brett]

Hello,

Do you have any logic that cancels that ATM Strategy entry? As this is the only reason with the code provided here that you would get multiple entried at in a row E.I. go nuts.

As when the ATM Strategy is run its gets generated an atmStrategyIDL that will have an ID in it. The only time thist length would be 0 is if you have reset it. What code are you using to reset it?

[djkiwi]

Reset a strategy

Hi Brett, I'm not sure how to reset it. I though that the firsttickof bar would do the trick. Can you please tell me how to reset it . Thanks. DJ

[NinjaTrader_RyanM1]

DJ - I would work first from the dedicated sample we have on this. It's built into the platform. Click Tools > Edit NinjaScript > Strategy > SampleAtmStrategy.

Work as close to the sample as you can without changing the structure. There is a lot of internal logic there that is needed for it to work properly. The final step in this sequence, before placing orders, should be checking the orderIdLength and AtmStrategyId.Length. Currently, your condition for placing the orders does not include this.

[djkiwi]

Latest Code - PROBLEM SOLVED

NOTE: PROBLEM SOLVED LATEST CODE PRESENTED FOR OTHERS HAVING SAME PROBLEM WITH MULTIPLE CONDITIONS AND CANCELING ORDERS

Hi Ryan, actually I have been through that sample code many times trying to get to the bottom of it. My code was derived from some of the excellent work of MrTicks. I have also looked at the thread below as well and tried to incorporate those things mentioned.

http://www.ninjatrader.com/support/forum/showthread.php?t=34213&highlight=mrticks

In post 8 MrTicks talks about inserting the following Code into the program. You mention set COBC to true although my strategy needs to be set to false. Mind you when set to true it still went nuts I had orders of over 200 sometimes.

private bool tradeLong = false;
private bool tradeShort = false;

I've also looked at this part and added it but it made things even worse:

http://www.ninjatrader.com/support/forum/showthread.php?p=211943#post211943

To try and get this to work I have simplified the strategy to very basic for now to get to the bottom of it. So this strategy simply places Long orders based on a 5 tick pullback then the price exceeds the previous close (as per Second and third conditions) and shorts the opposite. The problem is even after all this work it is still going nuts as am I.

Please find the code below and would greatly appreciate your comments on how to solve this mystery:

Thanks
DJ

[NinjaTrader_Bertrand]

Glad to hear you found the culprit and thanks for sharing the code here.

[djkiwi]

Market Position Flat Issue

Thanks Bertrand, unfortunately the joy didn't last for now at least. I have managed to stop the 200 pending orders but now the problem is it is triggering new orders once I'm in the trade. If you look at the code below I do have the right code to stop this happening:

&& GetAtmStrategyMarketPosition("TF2") == MarketPosition.Flat in line 104

and

&& GetAtmStrategyMarketPosition("TF2") == MarketPosition.Flat - in line 150

Any ideas on this one? Thanks. DJ

[NinjaTrader_RyanM1]

I looked through the code you submitted.

You have order placement methods that do not use this market position check you posted.

You will have to debug this. Print all values for the conditions you have before placing orders.

You have order placement in these conditions:
if(goLongThirdCond && Close[0] > Close[1])


if(goShortThirdCond && Close[0] < Close[1])

[djkiwi]

Intrabar Issues

Hi Ryan, can you please elaborate on this. It is getting me in the order ok. When looking at the output screen I am seeing:

1. GetAtmStrategyMarketPosition() method error: AtmStrategyId 'TF2' does not exist (Note: Josh said to put the getatm in instead of this: (Position.MarketPosition == MarketPosition.Flat) because I'm in an ATM strategy.

Why do you think it is doing this when I am in the ATM strategy?

2. Print statements

Also when I insert the print statements do I put them as per the code below? The reason I ask is I am getting this on the output screen:

***** out of memory exception: too much data to print, all output is deleted *****979
0
False
796.5
797.5
True
True
**NT** GetAtmStrategyMarketPosition() method error: AtmStrategyId 'TF2' does not exist
False
796.5
797.7
False
False
**NT** GetAtmStrategyMarketPosition() method error: AtmStrategyId 'TF2' does not exist
0

3. Code with print statements giving above output?

// SHORT ENTRIES

if (FirstTickOfBar) {
tradedShort = false;}



//Print(Position.MarketPosition);
Print(tradedShort);
Print(Open[0]);
Print(Open[1]);
Print(goShortSecondCond);
Print(goShortThirdCond);


if (orderIdS.Length == 0
&& atmStrategyIdS.Length == 0
&& GetAtmStrategyMarketPosition("TF2") == MarketPosition.Flat
&& Position.MarketPosition == MarketPosition.Flat

&& tradedShort == false

&& Close[1] < Open[1]
&& Open[0] < Open[1]

)

Thanks. DJ

[NinjaTrader_RyanM1]

The issue you reported was with orders placed undesirably. To debug this then, you must look at the values for the conditions used in order placement.

You mentioned that you're using a market position check, but this condition is not used for order placement. It's only the state of your goLongThird and a bullish bar that determines whether you're placing an order. You have to track these variables any place you need to identify what may be happening.

If it's too complicated to sort out what is happening with the code, then simplify it. Do a two step sequence and only move to a third when you've verified everything works as you expect.

If you're getting too much output, try running with COBC = true or reducing the number of print statements.

[djkiwi]

Order Issues

Thanks Ryan, well this is the part I'm struggling with:

"You mentioned that you're using a market position check, but this condition is not used for order placement. It's only the state of your goLongThird and a bullish bar that determines whether you're placing an order"

My understanding was once the third condition was satisfied it then uses the ATM strategy in line 150 for order placement:

AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Limit, Close[1] - prevBarsPlusTicks * TickSize,0, TimeInForce.Day, orderIdL, "TF2", atmStrategyIdL);

Once in the trade I'm still not clear why this won't work and trades are triggered once I'm in the trade...

GetAtmStrategyMarketPosition(atmStrategyIdL) == Cbi.MarketPosition.Flat). Maybe I need to put this market condition check after I'm in the trade somewhere?

I tried to following this advice you gave to mr ticks in post 17:

http://www.ninjatrader.com/support/f...hlight=mrticks.

You suggested mr ticks to put the following in. If you could look at my line 304 I am missing the second line here: the atmstragetystoptarket part. Is this the issue? Thanks for your patience. DJ

// You can change the stop price
if (GetAtmStrategyMarketPosition(atmStrategyId) != MarketPosition.Flat)
AtmStrategyChangeStopTarget(0, Low[0] - 3 * TickSize, "STOP1", atmStrategyId);

[NinjaTrader_RyanM1]

There's unfortunately no shortcut here to simplifying and debugging. I'm not aware of a one-line change you can make to have the strategy perform the way you want.

I would start over, working from the sample and do a two step sequence, making sure to manage the states of all your bool variables to create the sequence you like. If you change the structure a lot from the sample then this can break all the internal logic that's necessary for it to work.

[djkiwi]

Redo

Hi Ryan, let me try and start again and see when it happens. One other thing I noticed when doing these print statements is the output window lags. I removed my strategies and it was still rattling off stuff hours later. Is there a way to reset it?

I did see this...

ClearOutputWindow()

So does it mean you have to run a program to reset it each time? Thanks. DJ