Exit on Close

[edidi0807]

Just got a feedback from NT that if I am running 3 strategies at a time, what would happened when exit on close is enabled.

For example, I have 3 strategies.
A is long 1 ES
B is long 1 ES
C is short 1 ES

What would happened under the current context when market closes is
2 sell market and 1 buy market will be submitted simultaneously.

It is quite costly if I submit one buy and one sell market order together, paying the large bid-ask spread.

Is there a way to avoid such stupid move?

Thanks.

[NinjaTrader_Bertrand]

Welcome to our forums - yes you could create a MultiSeries strategy that would internally trade those 3 signals, so you don't split them up into individual strategies. This way you have a cumulative strategy position then, and ExitOnClose would then only submit the needed one short exit to bring this flat.

[edidi0807]

However it is too complicated when the strategies will have contradiction when combining.
I would like to know if Flatten All function would allow me to do so.

[NinjaTrader_Bertrand]

You could also use the FlattenAll, however please set the ExitOnClose in the strategies to 'false' then.

[edidi0807]

Will it change the next day calculation if i set 'exit on close' to false?

[NinjaTrader_Bertrand]

Yes, then those positions coming from historical data would be still open provided no other exits have triggered. You could work with Historical in your strategies to disable any historical trades to be shown / kept opend if you restart (for the scripts for realtime trading execution).

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

This way even with ExitOnClose = false you would not have any open historical positions when starting on the next day / session.

[edidi0807]

I just read some thread about Flatten All
Flatten All means at that time the strategies will be also disabled.

Then is it possible if I set time for Flatten All before the exit on close time?
Then it can square the position in the way I want and the calculation next day won't be affected?

Thanks

[NinjaTrader_Bertrand]

Correct, FlattenAll would disable your running scripts as well. Have never tried your imagined setup, but believe it should do it, thus you could leave the ExitOnClose on true.