Guys
could anybody indicate why i get the following message (see attached) in my script:
1.
"Failed to Call ...."
I suspect it might have to do with a missing DataSeries I should report in the Initialize() method, but I am unable to figure it out;
2.
"An entry() method..Please search on the term Internal Order Handling.."
I suspect I am doing something wrong when placing my stop-loss, maybe because using ExitLongStop rather than Set() but this is what is advised in the tutorial, please could you help me solve this?
could anybody indicate why i get the following message (see attached) in my script:
1.
"Failed to Call ...."
I suspect it might have to do with a missing DataSeries I should report in the Initialize() method, but I am unable to figure it out;
2.
"An entry() method..Please search on the term Internal Order Handling.."
I suspect I am doing something wrong when placing my stop-loss, maybe because using ExitLongStop rather than Set() but this is what is advised in the tutorial, please could you help me solve this?
Code:
#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Strategy;
#endregion
namespace NinjaTrader.Strategy
{
[Description("")]
public class PPPP : Strategy
{
#region Variables
private IOrder entryOrderLong = null;
private IOrder stopOrderLong = null;
private IOrder entryOrderShort = null;
private IOrder stopOrderShort = null;
private double stopLoss = 0;
private double AccBalNew = 0;
private double AccountSize = 100000;
private double Riskf = 1;
private double Psize = 0;
private double priorTradesCumProfit = 0;
private double slippage = 3;
#endregion
protected override void Initialize()
{
CalculateOnBarClose = true;
ExitOnClose = false;
}
protected override void OnBarUpdate()
{
#region Long Stop-Loss Adj
//ADJUST STOP LOSS
if (Position.MarketPosition == MarketPosition.Long && stopOrderLong != null)
{
if(Close[0] < Close[1] && Low[0] < Low[1])
{
stopOrderLong = ExitLongStop(0, true, stopOrderLong.Quantity, Low[0]-slippage*TickSize, "New Stop-Loss", "Long");
}
}
#endregion
#region Short Stop-Loss Adj
//ADJUST STOP LOSS
if (Position.MarketPosition == MarketPosition.Short && stopOrderShort != null)
{
if(Close[0] > Close[1] && High[0] > High[1])
{
stopOrderShort = ExitShortStop(0, true, stopOrderShort.Quantity, High[0]+slippage*TickSize, "New Stop-Loss", "Short");
}
}
#endregion
#region Long Entry
if (Position.MarketPosition == MarketPosition.Flat && entryOrderLong ==null)
{
if(Close[0] >MAX(High,5)[1])
{
stopLoss = High[0] - Low[0] + slippage * 2 * TickSize;
PositionSize();
entryOrderLong = EnterLongStop(0, false, (int)Psize, High[0]+slippage*TickSize,"Long");
}
}
#endregion
#region Short Entry
if(Position.MarketPosition == MarketPosition.Flat && entryOrderShort ==null)
{
if(Close[0] < MIN(Low,5)[1])
{
stopLoss = High[0] - Low[0] + slippage * 2 * TickSize;
PositionSize();
entryOrderShort = EnterShortStop(0, false, (int)Psize, Low[0]-slippage*TickSize,"Short");
}
}
#endregion
}
protected override void OnOrderUpdate(IOrder order)
{
#region Reset Long Entry
if (entryOrderLong != null && entryOrderLong == order)
{
if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
{
entryOrderLong = null;
}
}
#endregion
#region Reset Short Entry
if (entryOrderShort != null && entryOrderShort == order)
{
if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
{
entryOrderShort = null;
}
}
#endregion
}
protected override void OnExecution(IExecution execution)
{
#region Long Stop-Loss & Partial Fill Reset
if (entryOrderLong != null && entryOrderLong == execution.Order)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
{
stopOrderLong = ExitLongStop(0, true, execution.Order.Filled, Low[0]-slippage*TickSize, "Stop-Loss", "Long");
}
if (execution.Order.OrderState != OrderState.PartFilled)
{
entryOrderLong = null;
}
}
#endregion
#region Reset Long Stop-Loss & Target Profit
if ((stopOrderLong != null && stopOrderLong == execution.Order))
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
stopOrderLong = null;
}
}
#endregion
#region Short Stop-Loss & Partial Fill Reset
if (entryOrderShort != null && entryOrderShort == execution.Order)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
{
stopOrderShort = ExitShortStop(0, true, execution.Order.Filled, High[0]+slippage*TickSize, "Stop-Loss", "Short");
}
if (execution.Order.OrderState != OrderState.PartFilled)
{
entryOrderShort = null;
}
}
#endregion
#region Reset Short Stop-Loss & Target Profit
if ((stopOrderShort != null && stopOrderShort == execution.Order) )
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
stopOrderShort = null;
}
}
#endregion
}
#region PositionSizeFunction
//POSITION SIZING ONLY FOR DIRECT RATES
void PositionSize()
{
priorTradesCumProfit = (double)Performance.AllTrades.TradesPerformance.Currency.CumProfit;
AccBalNew = AccountSize + priorTradesCumProfit;
Psize = Math.Round(AccBalNew * Riskf / 100 / stopLoss);
//For fixed amount stopLoss to be defined as variable e.i. 50 pips = 50, then use formula: Psize = Math.Round(AccBalNew * Riskf / 100 / (stopLoss) / TickSize);
Print("");
Print("New Account Balance: "+AccBalNew);
Print("Time: "+Time[0]);
Print("CumProfit: "+priorTradesCumProfit);
Print("Position Size: "+Psize);
}
#endregion
#region Properties
[Description("Account Balance (US$)")]
[Category("Parameters")]
[Gui.Design.DisplayNameAttribute("\t\t\t\tAccount Balance (USD)")]
public double AccBal
{
get { return AccountSize; }
set { AccountSize = Math.Max(0, value); }
}
[Description("Risk Factor (%)")]
[Category("Parameters")]
[Gui.Design.DisplayNameAttribute("\t\t\tRisk Factor (%)")]
public double RiskF
{
get { return Riskf; }
set { Riskf = Math.Max(0, value); }
}
[Description("Slippage(Pips)")]
[Category("Parameters")]
[Gui.Design.DisplayNameAttribute("\t\t\t\tSlippage(Pips)")]
public double Slippage
{
get { return slippage; }
set { slippage = Math.Max(0, value); }
}
#endregion
}
}
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