How are trailing stops handled in NT6?
Today I wrote my own trailing stop logic since I need to send notifications via email every time the stop gets bumped up and when it finally gets hit. As in the past I have used SampleOnOrderUpdate as a template to handle my own stops - which works fine on many of my existing strategies.
Now, the 'hand rolled' trailing stop logic is that for each new high the stop gets bumped up so that the stop always is xx ticks away from the highest high since the trade was taken. As soon as a new high is being ticked I simply deduct the stop distance from the highest high and re-assign the stop. It works fine and I have gone through my chart by hand to double check. So far so good...
Now, the problem is that I see divergences from new 'handrolled' strategy to my baseline strategy which uses a vanilla NT trailing stop via SetTrailStop(). As a matter of fact I see instances where mathematically the stop should have gotten hit but wasn't. So it seems that the default NT implementation seems to work differently. Reading up on the subject matter I learned that many platforms have different ways of handling trailing stops - some FX systems for instance only 'upgrade' the stop once every 15 pips. For the record btw - I'm using this with index futures.
So the question that goes out to you guys is - how exactly do your trailing stops work?
I would like to emulate your logic as closely as possible.
Thanks,
Michael
Now, the 'hand rolled' trailing stop logic is that for each new high the stop gets bumped up so that the stop always is xx ticks away from the highest high since the trade was taken. As soon as a new high is being ticked I simply deduct the stop distance from the highest high and re-assign the stop. It works fine and I have gone through my chart by hand to double check. So far so good...
Now, the problem is that I see divergences from new 'handrolled' strategy to my baseline strategy which uses a vanilla NT trailing stop via SetTrailStop(). As a matter of fact I see instances where mathematically the stop should have gotten hit but wasn't. So it seems that the default NT implementation seems to work differently. Reading up on the subject matter I learned that many platforms have different ways of handling trailing stops - some FX systems for instance only 'upgrade' the stop once every 15 pips. For the record btw - I'm using this with index futures.
So the question that goes out to you guys is - how exactly do your trailing stops work?
I would like to emulate your logic as closely as possible.Thanks,
Michael
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