should an exit order test for 'in position'

[zoltran]

Best practices question.

My code currently does not test for the existance of a position
It just tests the exit condition and fires the appropriate exitlong/short.

I notice with traceorders on, that this generates a minor err msg saying order ignored.

So would you recommend testing for the existance of a postion first?

For example

This

// LSMA exit
   if (Position.MarketPosition == MarketPosition.Long && Low[0] < (LinReg(25)[1] - 2*TickSize))
   {
    ExitLong("LSMA","");

 }



vs 

This 

// LSMA exit
   if (Low[0] < (LinReg(25)[1] - 2*TickSize))
   {
    ExitLong("LSMA","");

 }

[NinjaTrader_Ray]

imported post

Zoltran,

Good question.

Testing for a market position will be more efficient since the Exit() methods are not entered. On a simple strategy, the performance savings I suspect will truly be irrelevant. If you have a complex strategy with a lot more code, it may be come more relevant. Performance gain in my mind is irrelevant in real-time running, its the backtesting where performance can be noticed. Does a typical backtest take 10 seconds? Or does it take 10 minutes? Are you running optimization runs? These are the questions I would ask yourself to determine which approach to take.

For clarification, there is no harm in entering an exit method when flat since the method will return anyways.

Ray

[zoltran]

imported post

Related question.

I have a strat that dynamically updates a stop loss based on a Moving avg.

This can generate an update with every tick.... which could be a lot of updates.
Especially with something like the qqqq and a real tic/tic feed.

To mitigate this a bit, my logic uses the prior bars MA value,
So the stop price only changes once a bar


But what's the recommended best practice?

I could only update it once a bar on 'first tick' or once a minute etc?

[NinjaTrader_Ray]

imported post

For sure I would avoid updating the stop price on each incoming tick. Internally, NT will round the double value you pass in to a valid tick size and then ignore if the stop price == the new value. However, consistent redudant price changes within a bar can cost you money depending on how your brokerhandles price changes. Most only allow so many before they charge you.

From a performance standpoint, NT can handle ultra-high frequency order changes and cancellation on a tick by tick basis. This has been thoroughly tested. If changing on a per bar basis is all your strategy needs and you are running with CalculateOnBarClose = false, I would do something like:

if (FirstTickOfBar)
// Change stop loss here, remember to acces SMA(Period)[1] which is the value of the bar that just closed.

Ray