Over fill with ToTime(DateTime.Now)

[pms123]

Hi,

I had the following strategy in place (CalculateOnBarClose = false which was working as expected:

// Condition set 1
if (Position.MarketPosition == MarketPosition.Flat
&& CrossAbove([SOME DATA OF AN INDICATOR])
&& BarsSinceExit() > 2 || BarsSinceExit() == -1)
{
EnterLong(Quantity, "");
}

// Condition set 2
if (Position.MarketPosition == MarketPosition.Flat
&& CrossBelow([SOME DATA OF AN INDICATOR])
&& BarsSinceExit() > 2 || BarsSinceExit() == -1)
{
EnterShort(Quantity, "");

I have added the following line to both condition sets so that the conditions shall only be met at or after 9 o'clock a.m. and before or at 4:30 o'clock p.m.:

&& ToTime(DateTime.Now) >= 90000 && ToTime(DateTime.Now) <= 163000)

The strategy waits perfectly until 9 o'clock to take action but then 2 strange things happen:

- The strategy continues to trade if the conditions are met after 4:30 o'clock p.m
- At 09:00:01, an over fill happens on 3 of the 4 products I`m trading

These over fills never happened before I added the time line to the condition sets.

According to the logs, it seems that the strategy is fired for all 4 products at 09:00:01 even if the other conditions are not met.

Prior to the over fill message, I can see this entry:

A Set() method to submit an exit order at '08.10.2014 09:15:00' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

I found the following:

Set() methods that generate orders to exit a position will be ignored if:

· A position is open and an order submitted by an enter method (EnterLongLimit() for example) is active and the order is used to open a position in the opposite direction

· A position is open and an order submitted by an exit method (ExitLongLimit() for example) is active

-> I have indeed "SetProfitTarget("", CalculationMode.Ticks, Ticks);" in my strategy.

I though "Position.MarketPosition == MarketPosition.Flat" would prevent such scenarios (entering another position before the other position is flat) as it seems to have done before I added the time condition.

Can you point me in the right direction?

Thank you

Philipp

[NinjaTrader_CalH]

pms123,

Are you shutting the strategy down overnight?

Do you use ExitOnClose set to false or true?

How are you verifying that the strategy is placing trades after 4:30PM?

[pms123]

Hi,

Thank you for the quick feedback.

Yes, I shut down the strategy at night.
I don't use ExitOnClose at all.
I haven't done anything manually and I have successful orders (entry and exit) in my records from after 4:30PM.

Thanks
These are shown on the chart aswell

[NinjaTrader_CalH]

pms123,

Can you please send me the strategy so that I can test this on my end?

You can find the strategy in (My) Documents -> NinjaTrader 7 -> bin -> Custom -> Strategy

You can send the strategy to platformsupport [at] ninjatrader [dot] com

Put ATTN Cal in the subject and reference this thread in the body