if (Math.Abs(MyDivergencePrice(days,pctchange,symbol1,symbol2).difference[0]) > pctchange){ qty1 = value / Closes[0][0]; qty2 = value / Closes[1][0]; lqty1 = Convert.ToInt32(qty1); lqty2 = Convert.ToInt32(qty2); if (Positions[0].MarketPosition == MarketPosition.Flat && Positions[1].MarketPosition == MarketPosition.Flat) { if (MyDivergencePrice(days,pctchange,symbol1,symbol2).primary[0] < MyDivergencePrice(days,pctchange,symbol1,symbol2).secondary[0]){ EnterLong(0,lqty1,"Long"); EnterShort(1,lqty2,"Short"); } else { EnterLong(1,lqty2,"Long"); EnterShort(0,lqty1,"Short"); } } }
Announcement
Collapse
Looking for a User App or Add-On built by the NinjaTrader community?
Visit NinjaTrader EcoSystem and our free User App Share!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
See more
See less
Partner 728x90
Collapse
NinjaTrader
Pairs Trading Execution Issue
Collapse
X
-
Pairs Trading Execution Issue
I'm attempting a simple pairs trade strategy to enter two symbols the same day and exit the same day. I'm getting a few times where entry/exit happens different days and I'm not sure how. Please see code below and assist. Thanks.
Code:Last edited by wallabee13; 03-10-2018, 09:11 AM.Tags: None
-
Hello wallabee13,
Is this in real-time or historical?
Are the instruments using the same session template?
Have you enabled TraceOrders to ensure the orders are being submitted at the same time?
Have you added prints to OnOrderUpdate to see if the orders are reaching accepted / working / filled states?Chelsea B.NinjaTrader Customer Service
Latest Posts
Collapse
Topics | Statistics | Last Post | ||
---|---|---|---|---|
Started by Harry, 05-02-2018, 01:54 PM
|
10 responses
3,203 views
0 likes
|
Last Post
by tharton3
Today, 08:52 AM
|
||
Started by cre8able, Yesterday, 01:16 PM
|
3 responses
11 views
0 likes
|
Last Post
by cre8able
Today, 08:28 AM
|
||
Started by ChartTourist, Today, 08:22 AM
|
0 responses
6 views
0 likes
|
Last Post
by ChartTourist
Today, 08:22 AM
|
||
Started by LiamTwine, Today, 08:10 AM
|
0 responses
2 views
0 likes
|
Last Post
by LiamTwine
Today, 08:10 AM
|
||
Started by Balage0922, Today, 07:38 AM
|
0 responses
5 views
0 likes
|
Last Post
by Balage0922
Today, 07:38 AM
|
Comment