why position always return flat？

[snowbig]

Hi,

I am doing backtest with CL. I am using 5 min bar as primary bar and I enable intrabar trade feature by adding a smaller granularity time frames, such as 1 min bar. something like this:

protected override void Initialize()
 {
      BarsRequired = 20;
      Add(PeriodType.Minute, 1); 
      SetStopLoss(CalculationMode.Price, 500);
      SetProfitTarget(CalculationMode.Ticks, 1000);
      CalculateOnBarClose = false;
}

and I try to enter trade with condition judgement at 5min bars and send trade cmd to secondary bars, like this:

PrintWithTimeStamp ("BarNo: " + CurrentBar + " at: " + BarsInProgress + " " + Positions[0].MarketPosition + " " + Positions[1].MarketPosition);
            if (BarsInProgress == 0) {
                   bool Condition = Close[1] < ParabolicSAR(BarsArray[0], 0.02, 0.2, 0.02)[0];
                   if (Condition) {
                     if (Position.MarketPosition == MarketPosition.Flat) {
                           EnterShort(1, DefaultQuantity, "sell");
                      } 
                } else {
                      if (Position.MarketPosition == MarketPosition.Flat) {
                        EnterLong (1, DefaultQuantity, "buy");
                      }
                } 
            } else if (BarsInProgress == 1) {
                  if (Position.MarketPosition != MarketPosition.Flat) {
                      if (FirstTickOfBar) {
                         SetStopLoss (CalculationMode.Price, ParabolicSAR(BarsArray[0], 0.02, 0.2, 0.02)[0]);
                       }
                   }
            }

but 1). the print statement I added will print "xx:xx:xx at 1 flat flat" even if the time scope has trades and is not flat.
2) there are a lots of strange trades which only last 1 5min bar and triggered by preset stop-loss order, but I am not sure why the stop-loss price is not same with my print. and the strange thing is the stop-loss price is same with entry price in such weird trades, please see my attached pic for sample.

[NinjaTrader_Joydeep]

Hello snowbig,
Your strategy is sending orders at every bar. Thus it is returning the position as flat. Please modify your coding logic so that it does not send orders on every bar.

Also you have appended the stop as

SetStopLoss(CalculationMode.Price, 500);

Here the stop order price is $500, which may be unrealistic depending on what instrument you are testing on.

Please refer to this sample code which demonstrates a intrabar backtesting

http://ninjatrader.com/support/forum/showthread.php?t=6652

[snowbig]

Your strategy is sending orders at every bar. Thus it is returning the position as flat. Please modify your coding logic so that it does not send orders on every bar.

what did you mean? changing CalculateOnBarClose from false to true? I have done it, no improve here. could you introduce more details why I have to this? whether it means i have to allow sending orde on every bar at live trading and stop it at backtest?
I also shared my code, could you have a try?

Here the stop order price is $500, which may be unrealistic depending on what instrument you are testing on.

where are the limitation from? I didn' find such statements from help guide.

Please refer to this sample code which demonstrates a intrabar backtesting
http://ninjatrader.com/support/forum...ead.php?t=6652

[/QUOTE]

my code was written just by refering this thread, but no help at all.

[NinjaTrader_Joydeep]

Hello snowbig,
I did backtested your code. You need to make sure the stop/target price are valid price.

Please use the below code in the Initialize section of the strategy to find out the exact reasons for the order being such.

TraceOrders = true;

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

For more debugging tips please refer to this post.

http://www.ninjatrader.com/support/forum/showthread.php?t=3418

[snowbig]

Hello snowbig,
I did backtested your code. You need to make sure the stop/target price are valid price.

Please use the below code in the Initialize section of the strategy to find out the exact reasons for the order being such.

TraceOrders = true;

http://www.ninjatrader.com/support/h...raceorders.htm

For more debugging tips please refer to this post.
http://www.ninjatrader.com/support/f...ead.php?t=3418

Hi, I added TraceOrders like what you said, but it has no help at all.

I still couldn't understand why "SetProfitTarget(CalculationMode.Price, 1000);" brings such ridiculous result.

Setting the profit to 1000 is a invalid price? could you explain why it is? is it the bug of backtest?

[NinjaTrader_Joydeep]

Hello
Calculation mode price will set an limit order with a price of $1000. You are backtesting the code on an instrument with a price of 1.2XXX

If you replace the code as below then can you backtest it properly.

SetProfitTarget(CalculationMode.Ticks, 10);   //10 tick target

Same logic for the stop order too.

I look forward to assisting you further.

[snowbig]

Hello
Calculation mode price will set an limit order with a price of $1000. You are backtesting the code on an instrument with a price of 1.2XXX

If you replace the code as below then can you backtest it properly.

SetProfitTarget(CalculationMode.Ticks, 10);   //10 tick target

Same logic for the stop order too.

I look forward to assisting you further.

thank your clarification very much.

The explanation in user manual really misled me (I am not a native speaker) to treat the meaning of 2nd parameter as the profit target amount in currency when the calucation mode is chosen as Price.
It spent me two days to root cause this issue...

anyway, I would suggest there is a warning or alert to tell user how to locate such issue. when I set it to 1000, there is no any alert except strange order execution and backtest result.

thanks for your help again.

[snowbig]

sorry, I have another question about SetStopLoss() & SetProfitTarget().

is there a way to make them to be filled at intrabar at backtest?

from the my trading log, the enter order can be filled at intrbar after using a smaller interval time data series. but it seems all exit orders (I did not explicitly call ExitXXX() instruction to exit, I am using SetProfitTarget() and SetStopLoss() to exit) are executed at the edge of my primary bar.

[NinjaTrader_Joydeep]

Hello snowbig,
In backtest the calculations are always done at the end of the bar (Calculation on bar close = true). However you can use an multi series strategy to submit the orders on a higher granularity bar series which will replicate what you are trying to achieve.

This sample code essentially demonstrates the process

http://ninjatrader.com/support/forum/showthread.php?t=6652

[snowbig]

Hello snowbig,
In backtest the calculations are always done at the end of the bar (Calculation on bar close = true). However you can use an multi series strategy to submit the orders on a higher granularity bar series which will replicate what you are trying to achieve.

This sample code essentially demonstrates the process
http://ninjatrader.com/support/forum...ead.php?t=6652

Hi, Joydeep

Please be aware that I have followed this and the discussion above are all based on this.

now I am asking why SetProfitTarget and SetStopLoss are all executed at the end of primary bar but not at the intrabar?

[NinjaTrader_Joydeep]

Hello snowbig,
Thanks for the clarification.

Yes, Set() methods will be for the primary series only.

Please use the Exit() methods with to exit your positions. Please make sure you are submitting the orders to the higher granularity bar by using the specific overload.

ExitLongStop(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double stopPrice, string signalName, string fromEntrySignal)

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

ExitLong(int barsInProgressIndex, int quantity, string signalName, string fromEntrySignal)

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

[snowbig]

ok, got you.

I still have problem on backtest. I run a strategy which is very similar with the above one and get a lots of weird trade log in which some order entry's time is behind order exit.

did you know why it happens?

[NinjaTrader_Joydeep]

Hello snowbig,
To assist you further can you please send a toy NinjaScript code* replicating the behavior to support[AT]ninjatrader[DOT]com

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.