named exits

[sauer11155]

I have a strategy that generates two entries, each with it's own name, so that I can do partials. In backtesting this is fine. Today I ran these in realtime and it seems at the "first" profit target the whole position was closed instead of just the correct named one.

When I run a strategy in realtime in the Strategies tab, I see an option called "Stop & target submission" which can be either PerEntryExecution or ByStrategyPosition. I ran this in Sim mode today live using the Order Properties of "Set order quantity" to "account size" which is my way of position sizing based on price of stock (so that I take less shares of a $50 stock then I do of a $25 stock). In order for the profit taking to occur correctly, which stop and target submission setting should I then use?

Thanks.

[NinjaTrader_JoshP]

You are trying to handle scale outs so you will need to use PerEntryExecution. ByStrategyPosition lumps the whole position together and that is not what you want.

[sauer11155]

Ok let me see if this makes sense.

I have account size set to for instance $20,000
when it is set for by account position with 2 entries, it seems to enter two named entries at signal, each with $10,000

Now with using ByEntryExcecution, it will take profits (I have two profit taking exits based on percentage move) on the whatever amount of shares indicated by the named entry, at that named entry profit taking "distance"?

[NinjaTrader_JoshP]

Correct. Perhaps this scale out reference sample will be of value: http://www.ninjatrader-support.com/v...ead.php?t=3751

[sauer11155]

Thanks a lot Josh. I had read that link, but before I had tried applying a strategy live during the day, will read again for those possible parameters.

[sauer11155]

Ok one last question. It seems by using perentryexcecution that I will exit in the same quantities I entered, which might be an issue if a lot of partial fills? I have $1 minimum commissions, so fills in odd lot orders will then be more expensive?

[NinjaTrader_JoshP]

If you partial filled up an entry your stop/targets will amend to match up with that as well. But if your stop hits before your entry finishes up you will be left with no choice but to have a new stop resubmitted.

[sauer11155]

If you partial filled up an entry your stop/targets will amend to match up with that as well. But if your stop hits before your entry finishes up you will be left with no choice but to have a new stop resubmitted.

What I mean is, if I am filled total with 400 shares with named "Entry1", but the executions were
100 shares
100 shares
90 shares
90 shares
20 shares

would I then have those exact same qty's be working profit target orders for the targets named for "Entry1"? Or would I have working one order for 400 shares since all the partial fills would be getting into named position "Entry1".

When I look at a recent sim live order this seems to be the case. Granted I was using two entries with odd lot positions of 77 shares each. Just trying to get clear here because I am considering paying up to go live. I want to get any drawbacks clear.

[NinjaTrader_JoshP]

sauer11155,

I see what you mean. Unfortunately that is the case right now.

[sauer11155]

sauer11155,

I see what you mean. Unfortunately that is the case right now.

No problem, usually with MB on market orders I get one fill, but, I wanted to be clear. Thanks for the very fast and complete help.

[astrolobe]

You are trying to handle scale outs so you will need to use PerEntryExecution. ByStrategyPosition lumps the whole position together and that is not what you want.

If I want to scale out using Advanced Order handling and two targets, I know I should create one entry for each target. I also create a separate stop for each entry. If I use ByStrategyPosition, will this mess my separate stops up, by combining them into one stop, instead of the explicit stops that I created for each entry?
Or does this mean that my partial fills for each entry will amend the appropriate stop that I created, instead of spurning even more stops if I used the Per Entry Execution setting.

This is confusing, as the quote inserted here is suggesting PerEntryExecution for scale out, but other threads have suggested ByStrategyPosition, as there is a known bug with PerEntryExecution.

[NinjaTrader_Austin]

astrolobe, Josh's suggestion to use PerEntryExecution to scale out still stands.