Strategy Analyser -> Orders.Name = Close Position

[mtthwbrnd]

To keep track of orders I tag them with a unique (string) ulong. But when I look at the "Orders" tab of the "strategy analyser" the "Name" column contains entries "Close Position" in addition to my numbered orders.

I enter all of my orders like this:
EnterShort(i, orderQuantity, orderNumber.ToString());
orderNumber = orderNumber + 1;

Where are the "Close Position" orders coming from and how can I get rid of them?

Thanks,
Matthew.

[NinjaTrader_Bertrand]

Matthew, this would be expected if you reverse the position with the Enter() methods, one contract would close the existing position, the other one take you the intended way then...

[mtthwbrnd]

Thanks, that makes a bit of sense.

If I have a variable called int positionIWant, which may have a different value and be long or short for each call of OnBarUpdate, how can I use the EnterLong, EnterShort functions to enter the orders?

Whenever I try to do it I end up with a hell of a mess of code, so I thought I would ask because someone must have done this already.

thanks,
Matthew.

[mtthwbrnd]

To make my question more specific, what do I write below in the function "adjustPositionTo" such that the actual positions will mirror/track the variable positionIWant.

Thanks,
Matthew.

#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.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

namespace NinjaTrader.Strategy
{
[Description("Enter the description of your strategy here")]
public class testAdjustPosition : Strategy
{
#region Variables
int timeCounter = 0;
#endregion

protected override void Initialize()
{
CalculateOnBarClose = true;
}


void adjustPositionTo(int newPosition) {
// what do I write here to change the position to newPosition
}

protected override void OnBarUpdate()
{
int positionIWant = (int) (100000 * Math.Sin(timeCounter*2*Math.PI/60));
adjustPositionTo(positionIWant);
}

#region Properties
#endregion
}
}

[mtthwbrnd]

oops, forgot to increment the timeCounter, OnBarUpdate shoud read:

protected override void OnBarUpdate()
{
int positionIWant = (int) (100000 * Math.Sin(timeCounter*2*Math.PI/60));
adjustPositionTo(positionIWant);
timeCounter = timeCounter + 1;
}

[NinjaTrader_Bertrand]

Matthew, sorry not sure I follow you here - is this calcuating the positon size you want to Enter()?

[mtthwbrnd]

The adjustPositionTo(int i, int newPosition, string id) funciton in the program below illustrates what I want to acheive (it appears to work but I have not tested it rigorously).

It adjusts the positions held to the required positions, which in reality of course would not be a sine wave! But does it have to be this complicated in order to acheive this? Have I missed something simple?

#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.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

namespace NinjaTrader.Strategy
{
    [Description("Enter the description of your strategy here")]
    public class testAdjustPosition : Strategy
    {
        #region Variables
        int timeCounter = 0;
        int positionIWant;
        int prevPositionIWant;
        public enum positionSetting {Short=-1, Neutral, Long};
       #endregion

        protected override void Initialize()
        {
            CalculateOnBarClose = true;
        }

        
        void adjustPositionTo(int i, int newPosition, string id) {            
            // have not used id.
            // does this need to be this complicated to acheive what it does?
            Position current = Positions[i];
            int side = 0;
            switch (current.MarketPosition)
            {
                case MarketPosition.Short : { side = -1; break;}
                case MarketPosition.Flat : { side = 0; break;}
                case MarketPosition.Long : { side = 1; break;}
            }
            positionSetting currentSide = (positionSetting) side;
            int delta = newPosition - side*current.Quantity;
            positionSetting direction = positionSetting.Neutral;
            if (delta < 0) direction = positionSetting.Short;
            if (delta > 0) direction = positionSetting.Long;
            if (delta == 0) direction = positionSetting.Neutral;
            bool changingSides = current.Quantity < Math.Abs(delta);
            
            if( ((currentSide == positionSetting.Neutral) || (currentSide == positionSetting.Short)) 
                && (direction == positionSetting.Short) ) { EnterShort(Math.Abs(delta)); }
            if( ((currentSide == positionSetting.Neutral) || (currentSide == positionSetting.Long))
                && (direction == positionSetting.Long) ) { EnterLong(Math.Abs(delta)); }
             
    
               if( (currentSide == positionSetting.Short) && (direction == positionSetting.Long) ) {
                if ( Math.Abs(delta) > current.Quantity ) {  
                    ExitShort(current.Quantity ); 
                    EnterLong(Math.Abs(delta) - current.Quantity );
                } else {
                    ExitShort(Math.Abs(delta));
                }
            }
            if( (currentSide == positionSetting.Long) && (direction == positionSetting.Short) ) {
                if ( Math.Abs(delta) > current.Quantity ) { 
                    ExitLong(current.Quantity ); 
                    EnterShort(Math.Abs(delta) - current.Quantity);
                } else {
                    ExitLong( Math.Abs(delta)); 
                }
            }
        }
        
        protected override void OnBarUpdate()
        {
            prevPositionIWant = positionIWant;
            positionIWant = (int) (100000 * Math.Sin(timeCounter*2*Math.PI/60));

            adjustPositionTo(0, positionIWant, timeCounter.ToString());
            timeCounter = timeCounter + 1;
            
            int side = 0;
            switch (Position.MarketPosition)
            {
                case MarketPosition.Short : { side = -1; break;}
                case MarketPosition.Flat : { side = 0; break;}
                case MarketPosition.Long : { side = 1; break;}
            }
            Print(prevPositionIWant + ", " + Position.Quantity*side); 
        }

        #region Properties
        #endregion
    }
}

This is the output:

0, 0
10452, 10452
20791, 20791
30901, 30901
40673, 40673
49999, 49999
58778, 58778
66913, 66913
74314, 74314
80901, 80901
86602, 86602
91354, 91354
95105, 95105
97814, 97814
99452, 99452
100000, 100000
99452, 99452
97814, 97814
95105, 95105
91354, 91354
86602, 86602
80901, 80901
74314, 74314
66913, 66913
58778, 58778
49999, 49999
40673, 40673
30901, 30901
20791, 20791
10452, 10452
0, 0
-10452, -10452
-20791, -20791
-30901, -30901
-40673, -40673
-49999, -49999
-58778, -58778
-66913, -66913
-74314, -74314
-80901, -80901
-86602, -86602
-91354, -91354
-95105, -95105
-97814, -97814
-99452, -99452
-100000, -100000
-99452, -99452
-97814, -97814
-95105, -95105
-91354, -91354
-86602, -86602
-80901, -80901
-74314, -74314
-66913, -66913
-58778, -58778
-49999, -49999
-40673, -40673
-30901, -30901
-20791, -20791
-10452, -10452
0, 0

[NinjaTrader_Bertrand]

Matthew, the output you posted seems to align well - still not sure why you would need this - are you trying to programmatically sync strategy vs accounts positions? NinjaTrader 7 will have an option to do this automatically for you at startup. For 6.5 you could work with WaitUntilFlat and then just take the next entry signal...