Custom instruments / Orders with computed prices?

[dilbert67]

Hi,

i have a simple sma crossover system (15/180, so very longterm on a daily basis) which i would like to change in the following way:

all trades should be done with barrier options eg very simple derivatives. for the sake of ease i could compute the price of these as max(0,spot-strike) for longs (shorts vice versa; barrier is assumed to be same as strike) so i dont need additional market data like vol surfaces etc.

what is the suggested way to accomplish this? is there a possibility to override fill prices so i could enter computed prices manually?

or is it even possible to create real custom instruments for derivatives like options, discount certificates etc?

additionally i would like to test how the performance changes if i also add orders in the current direction on a monthly basis. is there a suggested way to do this pyramiding or do i just create additional orders with unique names?

[NinjaTrader_Ben]

Hello,

NT does not support options, so this is not possible...if I understand you correctly.

[dilbert67]

Can you make the execution price writeable?

Hi,

actually my problem boils down to being able to set execution.Price in onExecution. Unfortunately thats not possible.

I do understand that having execution prices and resulting avgfillprices which are completely different than the triggering orderlimits might look confusing at first but in terms of real trading it makes perfect sense: Your trades are based on market moves in the underlying and you then select derivatives which fit your assumptions best.

Simply making the execution price writeable might be kind of quick solution, to model it correctly there should be something above Order like TriggeredMarketEvent which can then createorder(underlying,ordertype). Ideally one would be able to create Instruments on the fly which are linked to the Order. But if you dont have many european customers (especially in Germany the derivatives market is huge, iirc we have ard 300k live derivs) then this is probably an overkill so if you could just make the exec price writeable?

As i currently see it the only alternative for me is to compute prices for a favourable derivative at current market levels, save that as a timeseries and then use the true underlying (index) as an additional time series to generate orders. But this is utterly broken as i also want to optimize my selection of derivatives eg would have to create lots of timeseries and do the optimization manually

[NinjaTrader_Ben]

Hello,

I have to admit, I don't follow why you are doing this. You can call up any deriviative you want, so long as your broker supports it by adding the instrument and the bars using BarsInProgress. This link will help:

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?MultiTimeFrameInstruments

I don't know what you mean, or better, what you are trying accomplish by making the execution price writable. You can designate what order to place on what instrument you want at whatever price you want using the link above and a limit, stop, or stop limit order.

Hope that helps. Sorry I'm not completely understanding the end result you want.

[dilbert67]

Hi,

what i want to accomplish is this: My trades are based on market moves in the underlying and i then want to trade an artificial instrument which fits my assumptions best. Due to the sheer amount of available instruments (ard 300k+ in germany alone) yahoo and the like dont capture quotes.

Re the link you mentioned: In the Initialization method I can create a DataSeries but i cannot Add this to the bars as theres no suitable overload - I can only Add another instrument like Add("AAPL",PeriodType.Day,1) or an indicator but I dont get updates in the indicator bars nor can I call Set on the instrument bars. Unless I miss something Ive reached a blank.

Slightly frustrating as NT is really a great product apart from this limitation

[NinjaTrader_JoshP]

dilbert67,

I am not quite sure if I understood what you meant by adding a DataSeries. Add() is for adding bar objects. DataSeries objects are just created however you see fit. If you want to tie these objects to different bar objects you will need to follow the technique outlined here to do so: http://www.ninjatrader-support2.com/...ead.php?t=3572