Exit and reverse position

[imagineer]

Hi,

I have been having trouble of using EnterStopLimit orders to exit and reverse position at the same time. Let say DefaultQuantity = 1, after my strategy pyramiding the positions (say current position = long 2 contracts), a sell signal occurs to warrant a short position, I use
EnterShortStopLimit(0, true, DefaultQuantity, Low[0], Low[0], "sell");
to trigger a short position. I expect NT will close out the 2 lots and short 1 lot. However, when I looked at the execution log, NT just closed out 1 lot and sold 1 lot...effectively ended up with a flat position rather than a short position. Is it a bug or is there any ways to get around the issue?
thx.

[NinjaTrader_Bertrand]

imagineer, this is correct all Enter() method should reverse if needed. Is this happening for both your strategy and account positions? If you see a mismatch only in the account position, you would need to ensure proper synching at strategy startup - http://www.ninjatrader-support.com/H...tPosition.html

[imagineer]

I have only back-tested the strategy and didn't trade it live. I found the issue through the chart and execution report in the strategy analyzer. Please help.

[NinjaTrader_Bertrand]

imagineer, please print the actual position from the strategy to the output window to debug this further - http://www.ninjatrader-support.com/H.../Quantity.html

Then post the outputs here...

[imagineer]

Hi Bertrand,

I copy the main code for your reference below. The output is attached as you suggested. I really appreciate your help.


protected override void Initialize()
{
SMA(Fast).Plots[0].Pen.Color = Color.Orange;
SMA(Slow).Plots[0].Pen.Color = Color.Green;
TraceOrders = false;
Add(SMA(Fast));
Add(SMA(Slow));
ExitOnClose = true;
CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{Print(Position.MarketPosition.ToString() + " " + Position.Quantity.ToString());
tryToBuyJustTriggered = false;
tryToSellJustTriggered = false;

if (CrossAbove(SMA(Fast), SMA(Slow), 1))
{
TryToBuy();
tryToBuyJustTriggered = true;
}
else if (CrossBelow(SMA(Fast), SMA(Slow), 1))
{
TryToSell();
tryToSellJustTriggered = true;
}

if (entryOrder != null) // amend orders
{
if ((entryOrder.Action==Action.Buy || entryOrder.Action==Action.BuyToCover) && tryToBuyJustTriggered==false) TryToBuy();
else if ((entryOrder.Action==Action.SellShort || entryOrder.Action==Action.Sell) && tryToSellJustTriggered==false) TryToSell();
}

}

private void TryToBuy()
{
if (Position.MarketPosition==MarketPosition.Short)
{
if (stopOrder != null)
{
CancelOrder(stopOrder); //opposite entry orders will be ignored if stop not canceled first
}
orderQty = Position.Quantity + DefaultQuantity;
}
else orderQty = DefaultQuantity;

entryOrder = EnterLongStopLimit(0, true, orderQty, High[0] + TickSize, High[0] + TickSize, "buy");
}


private void TryToSell()
{
if (Position.MarketPosition==MarketPosition.Long)
{
if (stopOrder!=null)
{
CancelOrder(stopOrder); //opposite entry orders will be ignored if stop not canceled first
}
orderQty = Position.Quantity + DefaultQuantity;
}
else orderQty = DefaultQuantity;

entryOrder = EnterShortStopLimit(0, true, orderQty, Low[0] - TickSize, Low[0] - TickSize, "sell");
}


protected override void OnOrderUpdate(IOrder order)
{
if (entryOrder != null && entryOrder.Token == order.Token)
{
// Reset the entryOrder object to null if order was cancelled without any fill
if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
{
entryOrder = null;
}
}
if (stopOrder != null && stopOrder.Token == order.Token)
{
// Reset the stopOrder object to null if OCO
if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
{
stopOrder = null;
}
}
}

protected override void OnExecution(IExecution execution)
{
if (entryOrder != null && entryOrder.Token == execution.Order.Token)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
{
if (execution.Order.Action == Action.Buy)
{
protectiveSellStopPrice = MIN(Low, 2)[0] - 100 * TickSize;
stopOrder = ExitLongStop(0, true, Position.Quantity, protectiveSellStopPrice, "SellStop", "buy");
}
if (execution.Order.Action == Action.SellShort)
{
protectiveBuyStopPrice = MAX(High, 2)[0] + 100 * TickSize;
stopOrder = ExitShortStop(0, true, Position.Quantity, protectiveBuyStopPrice, "BuyStop", "sell");
}
entryOrder = null;
}
}


if (stopOrder != null && stopOrder.Token == execution.Order.Token)
{
if (execution.Order.OrderState == OrderState.Filled)
{
stopOrder = null;
}

[NinjaTrader_Bertrand]

imagineer, thanks - please activate the TraceOrders option and check the output window if you get 'ignored' orders when potentially running into the 'Internal Order Handling Rules' - http://www.ninjatrader-support.com/H...verview36.html ( botton section of this link )

[imagineer]

Hi Bertrand, I forgot to post the variables section...

#region Variables
private int fast = 10;
private int slow = 25;
private IOrder entryOrder = null;
private IOrder stopOrder = null;
private double protectiveBuyStopPrice, protectiveSellStopPrice;
private bool tryToBuyJustTriggered, tryToSellJustTriggered;
private int orderQty;
#endregion

[NinjaTrader_Bertrand]

Thanks looks good, did you try my suggestions from the previous post? You may need to work in waiting for cancel confirmation of your CancelOrders's before changing the quantity based on this.

[imagineer]

got it. thanks Bertrand.