Quick Position Management Question.

[alabell]

I like to be very aggressive with certain of my risk management methods.

I'm not a huge fan of buying stock by shares; I would rather put on equally sized positions in dollars and then win/lose a certain % or SD on my trade.

In a certain way -- in fully discretionary trading -- this is fairly easy to do, although discipline can be a factor.

When I trade automated, I like to set up a formula for my position sizing and risk management before I begin running my strategies for the day.

2 questions arise:

1. I have created a user defined method to convert my position size from shares into dollars. So if I want to trade 30,000 dollar lots in most stocks for the day, I simply calculate:

$30,000 / Close[0] and then round the number of shares to the nearest hundred. It looks like this in theory:

double dollarsToShares(int dollars, double stockprice)

{
double shareCount = Math.Floor((dollars/stockprice)/100)*100;
return shareCount;
}

I would then use:

EnterLong(shareCount, basicLongStrategy); or
EnterShort(shareCount, basicShortStrategy); .


Unfortunately I am having trouble using the calc in my EnterCommands because it is defined as a double, while I believe the EnterCommands require Int. I am sure that there is an easy fix for this, I just haven't found it yet.

2. In the interest of becoming more disciplined, I would like to code a line or two that says: "If Position Size = Max Position Size, reject any/all attempts to enter opening orders in that specific security. Basically, I find that my success rate goes way down when I attempt to fight positions by sizing up as they go against me. I recognize that this is also probably easy to code, but would appreciate if someone could point me in the right direction of the documentation I might refer to in order to accomplish this. I am also wondering if it will be easy/hard to override such piece of code, which in general, I do not want to do, ever.

Thanks in advance for any help and regards to all.

[NinjaTrader_Bertrand]

alabell, you can try casting the shareCount to an int :

EnterLong((int)shareCount, basicLongStrategy);

This would really need to be coded into your strategy, so basically set the shares used to your maxSize if the sharecount would exceed this #. From the UI we would not offer a position / risk management limitation imposed on all order entry, but this item is already on our list of feedback received for future consideration.

[alabell]

Thanks Bertrand;

A couple of questions:

1. Lets say I had a $20.15 dollar stock and i wanted to buy 30k in the name.

how would I turn my math floor calc into an int variable so that it would buy a correct amount and then round it to the nearest 100 shares ( i assume odd lots are rejected by most brokerages when using ninjatrader, correct?)

and

2. You wrote:

"From the UI we would not offer a position / risk management limitation imposed on all order entry, but this item is already on our list of feedback received for future consideration."

Please explain.

Is there no way for me to code my automated strategies to say "if i have 30k in one stock and i try to manually buy more above my self imposed max limit, reject the order" or perhaps just a way to disable all orders that are not a part of my automated strategy platform...so basically I would be saying disable discretionary and semi-automated trading, but allow automated trading to run as coded.

Thanks for the help.

Andrew

[NinjaTrader_Bertrand]

Andrew, you would need to custom code your position size rounding here then, or for example use to select the position for the strategy ByAccountSize :

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

Unfortunately there's no such option available per default, you could only code a size limitation directly into your strategy, however the strategy instance would only know about it's own orders and executions, not your manual ones.