Multi-instrument script problem

[tradetree]

I have single instrument scripts I have programmed (not from the wizard, but by hand). They work just as I expect. I then created a multi-instrument script. This works just as I expect, but only for certain trading combinations. I have 3 instruments:
1) The base instrument - BarsArray[0]
2) The long instrument - BarsArray[1]
3) The short instrument - BarsArray[2]

This configuration works just as expected. The base is used just for signals, the long is for going long, the short for going short. Note that I exit the long and go short at the same bar (and vice/versa).

Then I wanted to have this configuration:
1) The base instrument - BarsArray[0]
2) The long instrument - BarsArray[1]
3) The 2nd long instrument - BarsArray[2]

So I used the same code but changed the EnterShort for the BarsArray[2] instrument to an EnterLong. The same for the exit. In that case I never can enter the BarsArray[1] instrument long! I speculate that it is not until the bar actually closes that I get the buy/sell so it thinks there are two positions long at the same time? I believe it is something like this. Any thoughts?

If I change in the strategies window under "Order Handling", "entries per direction" from 1 to 2, it appears to work. Why is this?

[NinjaTrader_Austin]

tradetree, in the future, please post only one new thread for a question. I'll answer your query here, and let the other thread go.

If your script works once you change the entries per direction to a larger number, that implies your script is trying to enter long/short with two contracts at once.

Can you post the code you're using so we can see what could be going on?

[tradetree]

I didn't try and create multiple threads, must be when I tried to edit the message it posted a new thread. Anyway, I have proprietary code but I think I can strip it down to the raw trading actions. My issue has to do with the basics of long/short/flat with 3 instruments involved. Maybe I'll create a simple strategy for test purposes.

[NinjaTrader_Brett]

Hello,

Also, you may If you add TraceOrders = True in the Initialize Method you will be able to trace the orders to see what is happening.

http://www.ninjatrader-support.com/HelpGuideV6/TraceOrders.html

If an orders getting rejected due to the EntriedPerDirectionCap it will be listed here.

Let me know if I can be of further assistance.

[tradetree]

I created a simple EMA crossing file and added my instruments. I created a chart with 6E 12-10 for Daily, 400 days. I put parameters into my strategy of ExitOnClose=false, Dual_long_instrument=6E12-10, Dual_short_instrument=ES 12-10. All else defaults. This does what I expect, I think.

If I enter "URTY" for the Dual_long_instrument, there are no transactions. Now this may be because I have trade access to futures like 6E, but not equities like URTY? I am using Kinteticks free EOD for URTY data. If this is the problem, why is there no error output?

[NinjaTrader_JoshP]

tradetree,

To see what data you actually have available, please pull up a chart of URTY separately and take a look. I suggest you add debugging prints to see where exactly your code is running into. Adding a generic Print() line at the top of OnBarUpdate() will help you see what is processed.

[tradetree]

Ok, that was helpful. I discovered I had different trading hours for the two, so I put them both to Equities RTH. URTY also only goes back for 290 days. Yet I still don't get any trades. There is another strange thing that has now come up. If you look at the code I posted, the "Add" uses the BarsPeriod.BasePeriodType for the Interval. I print this out and it is set to "Minute" even though all instruments are set to "Day" in the chart. I even went into the debugger and checked it manually, and it is "Minute." Right on the chart the instruments are printed out as "Daily". How does this make sense?

[tradetree]

I overrode BarsPeriod.BasePeriodType to be PeriodType.Day, and I got the trades. So is this a bug?

[NinjaTrader_Brett]

Hello,

Thanks for your note.

This is expected Unfortunately is that during Initialize BarsPeriod.BasePeriodType is not populated with a value at this point as the Initialize is just running.

http://www.ninjatrader.com/support/helpGuides/nt7/barsperiod.htm

There is a note on this page not to use this in Initialize.

As of currently The only way to do this would be to add a parameter to your strategy and set this manually.

Let me know if I can be of further assistance.

[tradetree]

Well if I access this after initialize will it work? Do I have to perform the Add only in Initialize? If that is the case then I clearly can't do it after Initialize. Is this true for BarsPeriod.Value as well? I could swear it worked for the Value field...

[NinjaTrader_Bertrand]

tradetree, unfortunately dynamic Add()ing is not supported, it may or may not work - the Add() is done in Initialize() only, so adding an input to set it manually as Brett suggested would be a good approach.