combined P&L, multi instrument strategy

[staycool3_a]

Hi,

        if (Positions[0].GetProfitLoss(Close[0], PerformanceUnit.Currency) + Positions[1].GetProfitLoss(Close[0], PerformanceUnit.Currency) > 0.00 )          
            {
            ExitLong("","");
            ExitLong(1,"","");
               }

the above should be calculating the combined unrealized P&L of the two instruments in the strategy. Correct? It seems to be not doing that. it doesn't exit the positions. neither of the positions are exited.

[NinjaTrader_Bertrand]

calhawk01, in which BarsInProgress do you call that portion? You pass in Close[0] as reference price for both instruments in, that's likely where it breaks. I would first add in a print to see exactly when it triggers and what you calculate value wise.

[staycool3_a]

calhawk01, in which BarsInProgress do you call that portion? You pass in Close[0] as reference price for both instruments in, that's likely where it breaks. I would first add in a print to see exactly when it triggers and what you calculate value wise.

        if (BarsInProgress == 0 && BarsInProgress ==1 && Positions[1].MarketPosition == MarketPosition.Long && Positions[0].MarketPosition == MarketPosition.Long
            && Positions[0].GetProfitLoss(Close[0], PerformanceUnit.Currency) + Positions[1].GetProfitLoss(Close[0], PerformanceUnit.Currency) > 0.00)
            {
            ExitLong("PrimaryBuy","PrimarySell");
            ExitLong(1,"HedgeBuy","HedgeSell");
            }

i tried adding both barsinprogress. still doesnt work. please help!

[NinjaTrader_Bertrand]

I would not execute from both, as you would need to have the situtation then where both actually are called for the same timestamp, primary should be fine.

Also would pass in then Closes[1] for the second call to calculate the pnl based on the secondary instruments close price and not the primary as in your call.

[staycool3_a]

I would not execute from both, as you would need to have the situtation then where both actually are called for the same timestamp, primary should be fine.

Also would pass in then Closes[1] for the second call to calculate the pnl based on the secondary instruments close price and not the primary as in your call.

I'm having a hard time following your reply.

And i tried changing the secondary "close" to close[1].. the second hard position still did not exit. only the primary did.

can you please give me an example? ive been working on the for past 24 hours would really appreciate your help..

        if (BarsInProgress == 0 && BarsInProgress ==1 && Positions[1].MarketPosition == MarketPosition.Long && Positions[0].MarketPosition == MarketPosition.Long
            && Positions[0].GetProfitLoss(Close[0], PerformanceUnit.Currency) + Positions[1].GetProfitLoss(Close[1], PerformanceUnit.Currency) > 0.00)
            {
            ExitLong("PrimaryBuy","PrimarySell");
            ExitLong(1,"HedgeBuy","HedgeSell");
            }

Did not work..

[koganam]

I'm having a hard time following your reply.

And i tried changing the secondary "close" to close[1].. the second hard position still did not exit. only the primary did.

can you please give me an example? ive been working on the for past 24 hours would really appreciate your help..

        if (BarsInProgress == 0 && BarsInProgress ==1 && Positions[1].MarketPosition == MarketPosition.Long && Positions[0].MarketPosition == MarketPosition.Long
            && Positions[0].GetProfitLoss(Close[0], PerformanceUnit.Currency) + Positions[1].GetProfitLoss(Close[1], PerformanceUnit.Currency) > 0.00)
            {
            ExitLong("PrimaryBuy","PrimarySell");
            ExitLong(1,"HedgeBuy","HedgeSell");
            }

Did not work..

• "BarsInProgress == 0 && BarsInProgress ==1" is an impossible condition, and means that your filter will always be identically false.
• Close based on BarsArray[1] is Closes[1], not Close[1].

You can try this:

if (BarsInProgress == 0 
&& Positions[1].MarketPosition == MarketPosition.Long 
&& Positions[0].MarketPosition == MarketPosition.Long 
&& Positions[0].GetProfitLoss(Close[0], PerformanceUnit.Currency) + Positions[1].GetProfitLoss([B][COLOR=Red]Closes[1][0][/COLOR][/B], PerformanceUnit.Currency) > 0.00)

[staycool3_a]

• "BarsInProgress == 0 && BarsInProgress ==1" is an impossible condition, and means that your filter will always be identically false.
• Close based on BarsArray[1] is Closes[1], not Close[1].

You can try this:

if (BarsInProgress == 0 
&& Positions[1].MarketPosition == MarketPosition.Long 
&& Positions[0].MarketPosition == MarketPosition.Long 
&& Positions[0].GetProfitLoss(Close[0], PerformanceUnit.Currency) + Positions[1].GetProfitLoss([B][COLOR=Red]Closes[1][0][/COLOR][/B], PerformanceUnit.Currency) > 0.00)

Still doesnt work i feel like pulling my hair out... below is the entire strat

        protected override void OnBarUpdate()
{
    
  [B]          if (BarsInProgress == 0 
            && Positions[1].MarketPosition == MarketPosition.Long 
            && Positions[0].MarketPosition == MarketPosition.Long 
            && Positions[0].GetProfitLoss(Close[0], PerformanceUnit.Currency) + Positions[1].GetProfitLoss(Closes[1][0], PerformanceUnit.Currency) > 0.00)        
            
            {
            ExitLong("","");
            ExitLong(1,"","");
            }[/B]
    
            
         if (Positions[0].MarketPosition == MarketPosition.Flat && Positions[1].MarketPosition == MarketPosition.Flat && Close[0] > 0)
            {
            EnterLong(0,PrimaryQuantity, "PrimaryBuy");
            }
        
        if (Positions[1].MarketPosition == MarketPosition.Flat && Close[0] < (Positions[0].AvgPrice-hedge))
            {
            EnterLong(1,HedgeQuantity, "HedgeBuy");
            }
            

}

i've tried moving the bolded at the end and at the beginning..

[koganam]

Still doesnt work i feel like pulling my hair out... below is the entire strat

        protected override void OnBarUpdate()
{
    
  [B]          if (BarsInProgress == 0 
            && Positions[1].MarketPosition == MarketPosition.Long 
            && Positions[0].MarketPosition == MarketPosition.Long 
            && Positions[0].GetProfitLoss(Close[0], PerformanceUnit.Currency) + Positions[1].GetProfitLoss(Closes[1][0], PerformanceUnit.Currency) > 0.00)        
            
            {
            ExitLong("","");
            ExitLong(1,"","");
            }[/B]
    
            
         if (Positions[0].MarketPosition == MarketPosition.Flat && Positions[1].MarketPosition == MarketPosition.Flat && Close[0] > 0)
            {
            EnterLong(0,PrimaryQuantity, "PrimaryBuy");
            }
        
        if (Positions[1].MarketPosition == MarketPosition.Flat && Close[0] < (Positions[0].AvgPrice-hedge))
            {
            EnterLong(1,HedgeQuantity, "HedgeBuy");
            }
            

}

i've tried moving the bolded at the end and at the beginning..

Is that the entirety of your OBU handler? If so, you are missing a CurrentBars check to be sure that you have valid data. There should be an entry in your log about the error. Look up "CurrentBars" in the NT Help.

ref: http://www.ninjatrader.com/support/h...urrentbars.htm

[staycool3_a]

Is that the entirety of your OBU handler? If so, you are missing a CurrentBars check to be sure that you have valid data. There should be an entry in your log about the error. Look up "CurrentBars" in the NT Help.

ref: http://www.ninjatrader.com/support/h...urrentbars.htm

i added

        if (CurrentBars[0] <= BarsRequired || CurrentBars[1] <= BarsRequired )
        return;

but it did not make any difference. it's still not executing the exit order for the secondary data series! it enters the trade but doesnt want to exit it.

NT support can you please advise?

[staycool3_a]

i added

        if (CurrentBars[0] <= BarsRequired || CurrentBars[1] <= BarsRequired )
        return;

but it did not make any difference. it's still not executing the exit order for the secondary data series! it enters the trade but doesnt want to exit it.

NT support can you please advise?

the only thing that does work is ''flatten all position'' feature. but that shuts the strategy down. any way to keep the strategy going?

[staycool3_a]

Output:

5/2/2014 10:00:00 AM Ignored PlaceOrder() method at 5/2/2014 10:00:00 AM: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='HedgeSell' FromEntrySignal='HedgeBuy' Reason='SignalName does not have a matching FromEntrySignal to exit'

But the signalname does match...

 if (Positions[1].MarketPosition == MarketPosition.Flat && Close[0] < (Positions[0].AvgPrice-hedge))
            {
            EnterLong(1,HedgeQuantity, "HedgeBuy");
            }

is my entry

[staycool3_a]

finally got it working.. the issue was the Exit command

the correct one is

 ExitLong(PrimaryQuantity,"PrimaryCombined","PrimaryBuy");
            ExitLong(1,HedgeQuantity,"HedgeCombined", "HedgeBuy");

question:

Positions[1].GetProfitLoss(GetCurrentBid(1), PerformanceUnit.Currency)

gives the unrealized P&L based on current bid on secondary instrument. correct?

[NinjaTrader_Bertrand]

Glad you got it working calhawk01, that is correct for GetCurrentBid(1).