Multi timeframe stop loss level

[kucharek]

Hi,

I am coding a system which checks setup conditions on 15-minute (BarsArray[0]) but opens and manages position on 5-minute (BarsArray[1].

Please find the screenshot attached which shows few opened and closed positions.

Please check first two positions:
- 83 333 @ 1,2691 - entry time 15:50 exit time 16:00
- 83 333 @ 1,2690 - entry time 16:00 exit time 16:00

15:50 5-minute bar is a bar with long upper tail with its high at above 1,2710. This bar is a part of 16:00 15-minute bar.

I see here that second position was opened at 16:00 but closed at 15:50 which means that stop loss level is associated with 15-minute time frame and not with 5-minute time frame. Am I right?

Is this expected behavior on backtest?

[NinjaTrader_Joydeep]

Hello kucharek,

- 83 333 @ 1,2690 - entry time 16:00 exit time 16:00

I see here that second position was opened at 16:00 but closed at 15:50 which means that stop loss level is associated with 15-minute time frame and not with 5-minute time frame. Am I right?

The second position was opened at 16:00 and was closed on the same bar only.

Please send me your log and trace files for today so that I may look into what occurred.

You can do this by going to the Control Center-> Help-> Mail to Support.

Please reference the following ticket number in the body of the email:665034

I look forward to assisting you further.

[kucharek]

Hi,

I have send Mail to Support. Looking forward to hearing from you.

[NinjaTrader_Joydeep]

Hello,
I replied to your email yesterday. Did you received it?

I am reproducing the content of the email below.

Both the five minute bar series and the 15 minute bar series updates at 16:00. Thus if the orders are exited at 16:00 it is not an anomaly.


To be sure, you can further filter your code with the BarsInProgress property.

if (BarsInProgress == 1) //when 5 minute bars updates

{

//entry and exit codes

}

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?barsinprogress.htm

Please refer to this sample code which demonstrates how to enter on one timeframe and exit on another timeframe.

http://ninjatrader.com/support/forum/showthread.php?t=5787

Please let me know if I can assist you any further.

[kucharek]

Hi.

Thank you for your feedback. I did not receive your e-mail.

I have filtered the code using BarsInProgress property.

Please find below my code regarding BarsInProgress == 1 (5-minute). This is the only code regarding 5-minute time frame in the strategy.

if (BarsInProgress == 1 && High[0] >= poziom_C && nizszy_TF)
{
PozycjaSHORT();			
EnterShortStop((int)PsizeSHORT, Lows[1][0] - 1 * TickSize, "EntryShort");
SetStopLoss("EntryShort", CalculationMode.Ticks, (int)StoplossSHORT, false);
SetProfitTarget("EntryShort", CalculationMode.Ticks, tp_short * (int)StoplossSHORT);

Please note that "Entries per direction" is set to 1. Also, I am entering and exiting position only in 5-minute time frame. I do not use 15-minute for managing positions.

Please note that 16:00 5-minute bar does not reach 1,2702 price level so it shall not be possible to close this position on that bar. Also, it looks like I have more than one position opened at the time which shall also not be possible.

Please clarify and support? What I could do wrong?

P.S. Please find attached second example which shows 2 positions being active at the same time.

[NinjaTrader_Joydeep]

Hello kucharek,
Unfortunately the code snippet is not enough and I need a bit more information.

Please send a toy code* to support[AT]ninjatrader[DOT]com depicting the scenario.

Please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

I look forward to assisting you further.

*The "toy" just means something that is a stripped down version that isn't necessarily the whole logic. It makes things easier to rout out.

[kucharek]

Hi,

Thanks. I have just send you an e-mail.