Trailing stop gets cancelled upon reversal

[alex.nt]

Hi,

I run a simple reversal strategy. It appears that trailing stop works incorrectly.

CL 12-12, 2min chart, Replay Mode 11/2/2012 8:12:ish AM

protected override void Initialize()
{
SetTrailStop(CalculationMode.Ticks, 6.0);
TraceOrders = true;

CalculateOnBarClose = true;
Add(PeriodType.Minute, 1);
}

protected override void OnBarUpdate()
{
if (Historical)
{
return;
}

if (BarsInProgress == 0)
{
bool longCond = GetCurrentBid() > High[1]
&& Position.MarketPosition==MarketPosition.Flat
&& CONDITION1);
if (longCond)
{
EnterLong(1, 1, "Long");
}

bool shortCond = GetCurrentAsk() < Low[1]
&& Position.MarketPosition==MarketPosition.Flat
&& CONDITION2);
if (shortCond)
{
EnterShort(1, 1, "Short");
}
}
}

Here is the chart

http://screencast.com/t/roK7f9eZzpjC

Here are the traces:
11/2/2012 8:16:08 AM Entered internal PlaceOrder() method at 11/2/2012 8:16:08 AM: BarsInProgress=1 Action=SellShort OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Short' FromEntrySignal=''
11/2/2012 8:30:00 AM Entered internal PlaceOrder() method at 11/2/2012 8:30:00 AM: BarsInProgress=1 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Long' FromEntrySignal=''
11/2/2012 8:31:00 AM Amended trail stop order: Order='cf7bb64dee8441e9bb67f794aabdb9da/Replay101' Name='Trail stop' State=Accepted Instrument='CL 12-12' Action=Sell Limit price=0 Stop price=86.81 Quantity=1 Strategy='HeikenAshi1' Type=Stop Tif=Gtc Oco='b97a62d6b60b4dc0bcbd17cace4788f2-1725' Filled=0 Fill price=0 Token='cf7bb64dee8441e9bb67f794aabdb9da' Gtd='12/1/2099 12:00:00 AM'
11/2/2012 8:31:00 AM Cancelled expired order: BarsInProgress=0: Order='cf7bb64dee8441e9bb67f794aabdb9da/Replay101' Name='Trail stop' State=Accepted Instrument='CL 12-12' Action=Sell Limit price=0 Stop price=86.81 Quantity=1 Strategy='HeikenAshi1' Type=Stop Tif=Gtc Oco='b97a62d6b60b4dc0bcbd17cace4788f2-1725' Filled=0 Fill price=0 Token='cf7bb64dee8441e9bb67f794aabdb9da' Gtd='12/1/2099 12:00:00 AM'


What am I doing wrong?

Thanks.

[NinjaTrader_Joydeep]

Hello alex.nt,
Thanks for your note.

You are submitting the orders on the secondary series. The Set() method works only for orders submitted on the primary series and not on the secondary series.

Please use the Exit() codes to exit the strategy if you are using a Multi series strategy and submitting the orders on the secondary series.

[alex.nt]

In fact, I changed the code so now (everything else remained the same)

if (longCond)
{
EnterLong(PositionSize);
}

if (shortCond)
{
EnterShort(PositionSize);
}

The result remains the same!

Any ideas?

[NinjaTrader_Joydeep]

Hello alex.nt,
To assist you further may I know the exact scenario you are facing. Can you please let me know the exact steps to replicate the scenario.

I look forward to assisting you further.