Stop Loss Order Modification

[John833]

Hi Josh, I was looking at one of your posts (dated 09-07-2007) about submitting stop loss orders using default values offset from the entry order average fill price, and moditfying the order when a certain profit level has been reached.

I’ve incorporated the following code into my script which is faily much the same as yours. I have found a couple of issues which I hope you could shed some light on….

1) In my script which I have incorporated SetStopLoss, within the entry conditions I have BarSinceExit() > 1, and this works without problem with other exit conditions, except for SetStopLoss. After a SetStopLoss has been executed, another entry can be executed immediately in the same bar without waiting for the next bar.
Is this an issue with SetStopLoss, and is there a way around this?

2) I have also noticed in the output window that the nested SetStopLoss code loops quite intensively, and although it works, my PC performance has taken a hit! Are there inefficiencies in the code I have not seen?


Thanks in advance….


if (Position.MarketPosition == MarketPosition.Flat)
{
SetStopLoss("", CalculationMode.Ticks, FixedStop, true);
}


elseif (Position.MarketPosition == MarketPosition.Long)
{

if (High[0] > Position.AvgPrice + 10 * TickSize)
{
SetStopLoss("", CalculationMode.Price, (Position.AvgPrice - 20), true);
}


if (High[0] > Position.AvgPrice + 40 * TickSize)
{
SetStopLoss("", CalculationMode.Price, (Position.AvgPrice + 18), true);
}


if (High[0] > Position.AvgPrice + 65 * TickSize)
{
SetStopLoss("", CalculationMode.Price, (Position.AvgPrice + 50), true);
}

if (High[0] > Position.AvgPrice + 100 * TickSize)
{
SetStopLoss("", CalculationMode.Price, (Position.AvgPrice + 80), true);
}

[NinjaTrader_Ben]

Hello,


For 1. You will need to debug it. See what the value of BarsSinceExit() is after it closes you out of the trade.

For 2. Depending on your intent with your modification of Position.AvgPrice you may want to use something like Position.AvgPrice + 80 * TickSize.

Also, reverse the ordering of the if statements. Right now you will submit 4 order modifications to get to your last SetStopLoss.

Then use else if's:

else if (Position.MarketPosition == MarketPosition.Long)
{
if (High[0] > Position.AvgPrice + 100 * TickSize)
SetStopLoss(“”, CalculationMode.Price, (Position.AvgPrice + 80 * TickSize, true);
else if (High[0] > Position.AvgPrice + 65 * TickSize)
SetStoploss(“”, CalculationMode.Price, (Position.AvgPrice + 50 * TickSize, true);

……etc.
}

[John833]

thanks Ben, thats helpful...

[John833]

This could be a very silly question, but if I am not mistaken by reversing the ordering of the if statements as you suggest would still mean that there will still be 4 order modifications to get the last SetStopLoss, so is there any advantage?

[NinjaTrader_Ben]

Hello,


You want to reverse the order so that the toughest condition to meet is tested first. This is necessary because your easier conditions would evaluate to true and the tougher conditions would never be reached since you are would be using else if's.

When the tough conditions are not met they will not submit orders and will move on to the more relaxed conditions. Ultimately when one condition is finally evaluated to true it will place the single order modification and then you will be kicked out of the else-if and no further orders will be placed on this run.

[John833]

Thank you very much, I'll give this a go....