TrailStop hit then 2 Exits issued creating a short

[Edward Kunafi]

Hello Support,

I am testing my strategy on Sim with realtime data. This is what I observe.
1. Strategy enter into two longs properly with two targets and two trailstops. 2 Longs at $74.16, time 10:22:08.
2. Price went up and then turned back quickly, and first TrailStop which is tighter is hit at $74.09, at 10:30:07
3. Strategy appropriately issued two exits to pair the two longs, executed $74.08 at 10:30:08.
4. Strategy ended with a short, without any profit target or trailstop. The last trade, is reported under E/X column as Entry. Under name column is shown ExitL1, which is the exit name generated from the Strategy.
5. As I understand it, Ninja would know that there is now only 1 Long, so the second exits should not translate into Entry.

Why is this so ?
How is this to be handled?
How can this be prevented from happening ?

Thanks.

Regards.
Edward K.

[NinjaTrader_JoshP]

Edward,

Please provide code for how exactly you are doing step 3. Thank you.

[Edward Kunafi]

Hello Josh,

I have a paired entry and exits. The code is something like:

switch (ExitType) {
case1: {
if (exit1 == 1) { ExitLong("ExitL1","Long1Q1"); ExitLong("ExitL1","Long1Q2"); ExitLong("ExitL1","Long1Q3"); }
if (exit2 == 1) { ExitLong("ExitL1","Long2Q1"); ExitLong("ExitL1","Long2Q2"); ExitLong("ExitL1","Long2Q3"); }
if (exit3 == 1) { ExitLong("ExitL1","Long3Q1"); ExitLong("ExitL1","Long3Q2"); ExitLong("ExitL1","Long3Q3"); }
break;
}

exit1, exit2,.. are strategy parameters. In this case the two longs are Long2 type so it will have ExitL1 exits.

I have been running this since yesterday (never been stopped), it has been fined until I saw the issue earlier. The issue is easily spotted, that is when there is a short or long without any target and trailstop.

Thanks.

Regards.
Edward K.

[NinjaTrader_JoshP]

Edward,

Suspect you are submitting these too quickly after your trail stop hit. When your trail stop hit, but before position reporting came back, you submitted more exists. Since the NinjaScript still thought the position was open, it ends up sending in a market order to close. Then all of a sudden it received the trail stop execution and now you have an extra sell order at the exchange which ultimately leaves you short when you should be flat.

You would need to add checks to prevent overfills.

[Edward Kunafi]

Hello Josh,

What is the typical turnaround delay in Position Reporting ?
Is there any sample position management script? I do not want to reinvent the wheel.

Thanks.

Regards,

Edward K.

[NinjaTrader_JoshP]

Edward,

Unfortunately there is no reasonable average I could provide. It could be very quickly or fairly slowly.

For checking position you would need to dive on over to OnOrderUpdate()/OnExecution()/OnPositionUpdate() methods. You can check this reference sample, but it is not exactly designed to do what you want. http://www.ninjatrader-support2.com/...ead.php?t=7499