Would like to build a strategy for backtesting that involves long and short trades. I'd like to do something as simple as place two entry limit orders, one long and one short, each a certain distance from the current price, and have one cancel the other upon being filled. However, NinjaTrader will not allow long and short limit orders to exist simultaneously, and ignores the second order placed. This is strange and frustrating because this is something a live trader can do manually, so this impossibility in NinjaTrader seems like an unnatural limitation.
When NT ignores the second order the log reflects this, saying "Please search on the term 'Interal Order Handling Rules' in the Help Guide for detailed information", but this search doesn't turn up anything in either the platform's Help or the Help Guide PDF.
I would run separate strategies for long and short, but my trading strategy would require that values and variables be shared between the strategies, which I understand also isn't possible. A workaround that would wait for a signal from the data stream to place one order or another is problematic with volatility and getting limit orders into the "queue" as early as possible, especially with backtesting and its low granularity of those signals.
Is there a better, more effective way to circumvent this long-and-short simultaneous limit order thing ?
When NT ignores the second order the log reflects this, saying "Please search on the term 'Interal Order Handling Rules' in the Help Guide for detailed information", but this search doesn't turn up anything in either the platform's Help or the Help Guide PDF.
I would run separate strategies for long and short, but my trading strategy would require that values and variables be shared between the strategies, which I understand also isn't possible. A workaround that would wait for a signal from the data stream to place one order or another is problematic with volatility and getting limit orders into the "queue" as early as possible, especially with backtesting and its low granularity of those signals.
Is there a better, more effective way to circumvent this long-and-short simultaneous limit order thing ?
Comment