Entry at open

[tjendra]

Hi, when I was running live trading, I was getting some entry on market open. It seems like the order was pending from yesterday close and it execute on market open. If I shut off the strategy, and load up the strategy before market open, would the strategy still hold this pending order?

The other weird thing is I close the strategy and restart it again during the middle of a trading session, and it doesn't show the entry at open anymore, which means the entry was incorrect to begin with.

Also, I have CalculateOnBarClose = true set. So should it wait for the opening bar to finish calculating before entry? If so, how can it enter on the open?

[NinjaTrader_JoshP]

If you shutdown NinjaTrader and restart you will see different results. Rerunning calculations historically will not necessarily be the same as if it were evaluated in real-time. http://www.ninjatrader-support.com/H...TimeVsBacktest

If you shutdown Ninja you may or may not get that market open order depending on the order type you submitted and if you had "immediately submit" selected in Tools->Options->Strategies->NinjaScript.

[tjendra]

If you shutdown NinjaTrader and restart you will see different results. Rerunning calculations historically will not necessarily be the same as if it were evaluated in real-time. http://www.ninjatrader-support.com/H...TimeVsBacktest

If you shutdown Ninja you may or may not get that market open order depending on the order type you submitted and if you had "immediately submit" selected in Tools->Options->Strategies->NinjaScript.

What about this 2 queries then?

1. Is it possible that the order was pending from yesterday close and it execute on market open. If I shut off the strategy, and load up the strategy before market open, should the strategy still be holding this pending order?

2. Also, I have CalculateOnBarClose = true set. So should it wait for the opening bar to finish calculating before entry? If so, how can it enter on the open?

[NinjaTrader_JoshP]

1. The last sentence in my previous response. There is no mapping back to prior states. Leave NT running.

2. See same sentence earlier. If the order was already placed on the prior bar and active it will fill on the open of the next bar. If the order was only placed on the opening bar then it will fill on the following bar.

[tjendra]

1. The last sentence in my previous response. There is no mapping back to prior states. Leave NT running.

2. See same sentence earlier. If the order was already placed on the prior bar and active it will fill on the open of the next bar. If the order was only placed on the opening bar then it will fill on the following bar.

So if I choose "Wait until Flat" selected in Tools->Options->Strategies->NinjaScript, then that entry on open wouldn't occur?

Also, I had "Cancel strategy orders on strategy termination" checked. Shouldn't that cancel any pending orders when I shutdown NT?

[NinjaTrader_JoshP]

tjendra,

WaitUntilFlat means no trades will be made till the strategy is in a flat state.

Cancel orders will cancel all orders on strategy stop.

If you want that order at market do not shutdown the strategy. If you stop your strategy it will start up in a fresh new state. It will NOT know of anything it did beforehand.

[tjendra]

tjendra,

WaitUntilFlat means no trades will be made till the strategy is in a flat state.

Cancel orders will cancel all orders on strategy stop.

If you want that order at market do not shutdown the strategy. If you stop your strategy it will start up in a fresh new state. It will NOT know of anything it did beforehand.

I did not want that order. In fact I am confused why that order was entered, that's why this query in the first place. Coz I stop the strategy so that it will start up in a fresh new state like you said. And I got CalculateOnBarClose = true set, so why did it enter on market open? Shouldn't it at least wait until the first bar of the market open closes?

[NinjaTrader_Bertrand]

tjendra, did you check the TraceOrders output where it originated from?

[tjendra]

tjendra, did you check the TraceOrders output where it originated from?

Where do I check this TraceOrder output?
And what do you mean by "Where it originated from?"

[NinjaTrader_JoshP]

tjendra,

When you start your strategy again it goes through all the historical data and calculates out everything one more time. If you want to start fresh on a new day I suggest you run your strategies with ExitOnClose = true so even if you stop your strategy, as it calculates it historically it will know that at the end of the session everything should be flat.

See this tip for how to use TraceOrders: http://www.ninjatrader-support2.com/...ead.php?t=3627
Output will show up in the Output Window.

[tjendra]

tjendra,

When you start your strategy again it goes through all the historical data and calculates out everything one more time. If you want to start fresh on a new day I suggest you run your strategies with ExitOnClose = true so even if you stop your strategy, as it calculates it historically it will know that at the end of the session everything should be flat.

See this tip for how to use TraceOrders: http://www.ninjatrader-support2.com/...ead.php?t=3627
Output will show up in the Output Window.

I did have ExitOnClose = true set as well.

Given that I have ExitOnClose = true set, stop the strategy so that it will start up in a fresh new state and CalculateOnBarClose = true set, the entry on market open shouldn't have happened right?

I can't trace back using the traceorder since it was a live order, but from the log tab (attach pic), you can see that there was entry on market open (9:30:06 AM) on the IYR.

[NinjaTrader_JoshP]

tjendra,

That is correct provided you have proper session ends set up. ExitOnClose goes off of chart session end times. You need to ensure you have a proper session end time for it to cancel your orders. You will also want to be using Day for your Time in force settings.

[tjendra]

tjendra,

That is correct provided you have proper session ends set up. ExitOnClose goes off of chart session end times. You need to ensure you have a proper session end time for it to cancel your orders. You will also want to be using Day for your Time in force settings.

I have the session set up as 9:30am to 4pm EST, that should be correct right? I also had "Exit on close seconds" set to 30, and on my chart it showed it exited at close too. So there shouldn't be any pending orders.

Beside I did the 3 things mentioned previously as well. So there shouldnt be any chance of a strategy entering at market open isn't it?

I'm just wondering if it is a bug, as it is actually the 3rd time that this happened to me during live trading.

[NinjaTrader_JoshP]

tjendra,

I am not following you. In the beginning you clearly said the order was not placed if you stopped the strategy and started anew. Is this not the behavior you are looking for and the behavior you are getting?

[tjendra]

tjendra,

I am not following you. In the beginning you clearly said the order was not placed if you stopped the strategy and started anew. Is this not the behavior you are looking for and the behavior you are getting?

Josh, I am trying to figure out why a market open order was entered by my strategy when it shouldn't be entered at all given I did all the things you previously mentioned correctly.

In the beginning, I clearly said "when I was running live trading, I was getting some entry on market open" in post #1. This entry was not suppose to happen.