Multiple instruments

[greed999]

Recently Bertrand explained method that allows to access last close price:
protected override void OnBarUpdate()
{
if (Closes[0][0]!=0) Print(sec1name+" "+Closes[0][0]);
if (Closes[1][0]!=0) Print(sec2name+" "+Closes[1][0]);
}

Is it possible to specify instrument for SubmitOrder command?

Is there a possibility to calculate profit/loss for either first or second instrument separately?

Would this command GetAtmStrategyUnrealizedProfitLoss() show summary results for both instruments?

If it wouldn't what should i use in case I need summary position?

[NinjaTrader_Bertrand]

greed999, you can SubmitOrder to another BarsInProgress / instrument as well - first though it needs to be Add()ed to the script in the Initialize().

For the PNL for several instruments, you can work with Positions - http://www.ninjatrader.com/support/h.../positions.htm

Thanks,

[greed999]

Thank you for your assistence again, Bertrand. I have added second instrument in initialize section:
Add(sec2, PeriodType.Minute, 1);

Still don't get it, how can I submit order for secong instrument?

http://www.ninjatrader.com/support/helpGuides/nt7/submitorder.htm?zoom_highlightsub=SubmitOrder

This is link to SubmitOrder syntax. Separate instruments are not mentioned. Could you be so kind to provide an example?

[NinjaTrader_Bertrand]

greed999, the SubmitOrder() overload has a BarsInProgress paramter, if you set this for example 1 : you're submitting to the first added instrument, the secondary series for the script.

protected override void OnBarUpdate()
{
// Entry condition
if (Close[0] > SMA(20)[0] && entryOrder == null)
entryOrder = SubmitOrder(1, OrderAction.Buy, OrderType.Market, 1, 0, 0, "", "Enter Long");
}

[greed999]

So... my entry procedure might look like this:
private void FirstOrder()
{
entOrdInstrument1 = SubmitOrder(0, OrderAction.Buy, OrderType.Market, 1, 0, 0, "", "Enter Long First Instrument");
entOrdInstrument2 = SubmitOrder(1, OrderAction.Buy, OrderType.Market, 1, 0, 0, "", "Enter Long Second Instrument");
}

Considering that first instrument is to be defind during the strategy launch and that second instrument has been defined in initialize section:

protected override void Initialize()
{
CalculateOnBarClose = false;
TraceOrders=true;
Unmanaged = true;
Add(sec2, PeriodType.Minute, 1);
}

and sec2 is defined lets say this way:
sec2="TF 09-11"

How does it look?

[NinjaTrader_Bertrand]

Looks good to me greed999.

[greed999]

Can you please tell, if it is necessary to somehow define TickSize for each of the additional instruments?

What should I do to define price range for security 2?
Will that do?
MyPrice2=Closes[1][0]+2*TickSize;

Thanks in advance,
Alex

[NinjaTrader_Bertrand]

Yes Alex, you would want to store the ticksize of your other BIP's in a variable, so you can add it later in antother BIP context.

[greed999]

How can I get value of the TickSize for each of my instruments then?
It didn't work when I had tried to access it as an array

[NinjaTrader_RyanM1]

Hi greed999,

You can access TickSize from other series by defining the BarsInProgress context:

#region Variables
private double 	myTickSizeInstrument0;
private double 	myTickSizeInstrument1;	
#endregion

protected override void OnBarUpdate()
{
if(BarsInProgress == 0)
	myTickSizeInstrument0 = TickSize;
				
				
if(BarsInProgress == 1)
	myTickSizeInstrument1 = TickSize;	
}

[greed999]

You have helped me a lot, Ryan. Good example and very useful!
Yet another question on the subject if I may?
What do you think about this code as a condition to close positions
(bearing in mind that tProf0 is a predefined profit target in currency)

if (Positions[1].GetProfitLoss(Closes[1][0],PerformanceUnit.Currency)+
Positions[2].GetProfitLoss(Closes[2][0],PerformanceUnit.Currency) > tProf0)
{
/// leave market
}

[NinjaTrader_RyanM1]

Looks OK from here, that you're adding together PNL on instruments 1 and 2. You may want to include a market position checks there, so that you're only accessing these values when there is a position.

if (Positions[1].MarketPosition != MarketPosition.Flat &&
 Positions[2].MarketPosition != MarketPosition.Flat) 
{
     if (Positions[1].GetProfitLoss(Closes[1][0],PerformanceUnit.Currency)+
        Positions[2].GetProfitLoss(Closes[2][0],PerformanceUnit.Currency) > tProf0)
	{
	/// leave market
	}
}

[hana_maui]

Dear Customer Support,


I have a multi instrument strategy which submits entry order when the Positions[pair_no].MarketPosition for that instrument is Flat.
This works fine when I select Entries per direction == 1;

But when I select Entries per direction == 2;
Entriy Handling == AllEntries;

Then the strategy submits entry for the second position despite the Positions[pair_no].MarketPosition for that instrument is not Flat (either Long or Short).

Is there anything wrong with my setting on the OrderHandling?


Would appreciate your assistance.

[NinjaTrader_Bertrand]

Hi Hana, would you see the same if you switch to EntriesPerDirection = 1 but with Unique entry handling? Then of course please name your entry signals uniquely as well in this context.

Thanks,