Help with Breakout Stop Entry code.

[piersh]

NT7 will provide relaxed rules.

lovely, i can't wait ;-) how's the beta coming along?

[NinjaTrader_JoshP]

Slotted for around close of Q2.

[shawnj]

please correct me if i'm wrong, but i think it's because, in your case you have essentially two conflicting orders, both of which could get filled. at that point you'd have both long & short positions open on the same signal.

No. I do this all the time with real orders doing discretionary trading.

Lets say the market is at 50 and I place a buy 1 stop order at 51 and a sell 1 stop order at 49.
If the market goes to say 52 then 48 I would go long at 51 then flat at 49. Or instead, if the market goes to say 48 first then 52, I would go short at 49 then flat at 51. That how the real world works.

However, Ninjatrader's Strategy code and Tradestation's Strategy code assumes the trader wants to reverse when both long and short entry orders are placed. So in the above first example, we would go long at 51 then Tradestation, behind the scene would double the order size for the sell stop order so when the market traded down to 48 we would be short 1 from 49.

shawnj

[hatori]

running 2 strategy

Is it solution if I run 2 strategy , one with EnterLongStop(xxx)
and the other with EnterShortStop(yyy) - both are on the same instrument - or the internal order handling rule is system wide , so this will cause an error too?

Hatori.

[NinjaTrader_Austin]

hatori, yes that would cause an issue with the Internal Order Handling Rules because it would create two opposing entries.

[hatori]

2 strategy

I tried it today , and it is working without error.

[NinjaTrader_Bertrand]

hatori, so your screenshot is showing two independent strategies placing those orders?

[hatori]

2 strategy

Yes , two independent strategy placing opposite EnterStopLimit orders.

[NinjaTrader_Bertrand]

hatori, thanks for clarifying - this is the expected outcome as the 2 strategies are acting indepentent of each other.

[shawnj]

Yes , two independent strategy placing opposite EnterStopLimit orders.

I proposed that workaround on message #3 of this thread. The problem with this workaround is that backtesting / optimizing gets very messy.

I'ts obvious the NT folks put a lot of work into NT's backtesting/optimizing/walkForwardOptimization. It's just sad however that the simplest type of breakout strategy cannot utilize any of it.

shawnj

[NinjaTrader_Bertrand]

shawnj, NinjaTrader 7 will give you more flexibility for this as it introduces a new 'unmanaged order submission' mode - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

New Unmanaged Order Submission
In 6.5 some users were burdened with our "Internal Order Handling" rules. We have introduced unmanaged order submission which bypasses the convenience of our order handling layer. This lower level of programming allows you to do what you want relative to order submission/management without any limitations other than any imposed by your broker. There are only three methods, SubmitOrder(), ChangeOrder() and CancelOrder(). You then get the flexibility of managing your orders how you see fit and optionally handling rejections