Translating a v6.0 strategy to 7

[maninjapan]

Ive just installed 7, and attempting to modify an old strategy to run in 7.
Ive added

Unmanaged = true

to the Initialize section.

First step was to try and translate the entry orders as per the example,
From this:

EnterLongLimit(this.bid - this.offsetTicks * TickSize)

to this:

entryOrder = SubmitOrder(0,OrderAction.Buy,OrderType.Limit,1,this.bid - this.offsetTicks * TickSize,0,"","Long Limit");

However, when I attempted to Compile I get a CS0103 error, the name 'entryOrder' does not exist in the current context. Have I made a simple error in this line of code, or is translating this a little more complex than I think....

Thanks

[NinjaTrader_Bertrand]

It seems you're missing the 'private IOrder entryOrder' in your variables section of the script.

http://www.ninjatrader.com/support/helpGuides/nt7/iorder.htm

[maninjapan]

That fixed that problem, thanks.

Created a new one though......

I tried to run the strategy to see if the entries work as expected, but when I go to run the strategy the window where I usually adjust the setup and parameters is just blank....

[NinjaTrader_RyanM1]

maninjapan,

Can you please try restart NinjaTrader and let us know your results. If you're seeing the same thing, let us know where you're running the strategy from and if there are any error messages in the log tab of the control center.

[maninjapan]

Yeah, Im getting an error in the log. 'Set Profit Target' method cant be called on unmanaged strategies.

[maninjapan]

Actually are there any strategies that use the unmanaged setting that I can follow as an example? Had a look, but wasnt able to find any....

[NinjaTrader_Bertrand]

There's unfortunately no complete unmanged sample available, the Set methods would not work here as there's no signal tracking by NT done to avoid having to deal with the Internal Order Handling Rules - you can SubmitOrder, ChangeOrder or CancelOrder in this environment.

http://www.ninjatrader.com/support/helpGuides/nt7/unmanaged_approach.htm

[maninjapan]

ok, well I seemed to have got through that part without too much trouble, which brings me to the next problem. It keeps sending orders in. Here is the code as it currently stands, do I just need to add an extra condition to the first if statement?

// Market Position information
int quantity = Position.Quantity;
MarketPosition marketPosition = Position.MarketPosition;
this.MyPrint(marketPosition + " " + quantity.ToString());

if (marketPosition == MarketPosition.Flat)
{
#region No Position


int now = ToTime(DateTime.Now);


int diff = now - this.lastTime;

if (diff >= this.waitSecond || diff < 0)
{

this.bid = GetCurrentBid();
this.ask = GetCurrentAsk();


if (this.bid == this.ask) return;


this.lastTime = now;
}

this.MyPrint("bid = " + this.bid + ", ask = " + this.ask);

// Buy

entryOrder = SubmitOrder(0,OrderAction.Buy,OrderType.Limit,1,th is.bid - this.offsetTicks * TickSize,0,"","Long Limit");

// Sell

entryOrder = SubmitOrder(0,OrderAction.SellShort,OrderType.Limi t,1,this.ask + this.offsetTicks * TickSize,0,"","Short Limit");

#endregion

[NinjaTrader_Bertrand]

There's no signal tracking as such the familiar EntriesPerDirection / EntryHandling properties are not applicable here - you should only submit an entry if the associated IOrder object is null, the 'empty' it later as your order reaches a terminal state.

http://www.ninjatrader.com/support/helpGuides/nt7/onorderupdate.htm

 
protected override void OnBarUpdate()
{
     // Entry condition
     if (Close[0] > SMA(20)[0] && entryOrder == null)
          entryOrder = SubmitOrder(0, OrderAction.Buy, OrderType.Limit, 1, GetCurrentBid(), 0, "", "Long Limit");
}

[maninjapan]

ok, so by changing the initial if statement to the following, I was able to get it to stay with one order per side. Now the next problem. It should reposition the orders every N seconds to the bid/ask +/- X ticks. Im guessing I need to use change order.... Ive added an if statement down the bottom, albeit quite randomly, it doesnt recalculate though. And I dont know how to call both the buy and sell order.

if (entryOrder == null)
   {
    #region No Position
  
    
    int now = ToTime(DateTime.Now);
    
    
    int diff = now - this.lastTime;
    
    if (diff >= this.waitSecond || diff < 0)
    {    
     
     this.bid = GetCurrentBid();
     this.ask = GetCurrentAsk();
     
   
     if (this.bid == this.ask) return;
     
   
     this.lastTime = now;
    }
    
    this.MyPrint("bid = " + this.bid + ", ask = " + this.ask);
    
    // Buy
  
    entryOrder = SubmitOrder(0,OrderAction.Buy,OrderType.Limit,1,this.bid - this.offsetTicks * TickSize,0,"","Long Limit");
   
    // Sell
  
    entryOrder = SubmitOrder(0,OrderAction.SellShort,OrderType.Limit,1,this.ask + this.offsetTicks * TickSize,0,"","Short Limit");
    
    if (now >= this.lastTime + waitSecond)
    {
     ChangeOrder(entryOrder,1,this.bid - this.offsetTicks * TickSize,0);
     
    }
    
    #endregion

[NinjaTrader_JoshP]

maninjapan,

The issue is because you are using the same IOrder object for both orders. You have two separate distinct orders in play here and you should create two separate IOrder objects to accommodate both orders. Otherwise when you assign entryOrder a second time you lose the ability to keep track of the first order you just sent.

For your if-statement on time. I suggest you print each individual component and run that evaluation by hand to see if it is even going into that if-statement branch.

[maninjapan]

Thanks, got the orders part fixed up (at least the initial buy/sell limit orders. Its still seems to be ignoring that if statement to change the orders though. This is turning out to be a lot more difficult than I envisioned, was such a simple little system in version 6....
atempted to put the changeorder above the initial order and incorporate an if else statement. Still got the original orders, but no changes. Will have a look at printing everything

[NinjaTrader_Bertrand]

Yes, please add prints to the changeOrder section to see if your conditions to changeOrder triggers as you would expect.

[maninjapan]

ok, well I figured out that problem. I needed to move it outside the main if statement.
I can get the orders to enter and change as expected now.
Next step is to get the exit orders working.
Ive tried the following, but the second 'else' statement is giving me errors.
I've just tried wrapping the entry positions in another if statement but not quite working as I expected

if (Position.AvgPrice == 0);
{  //entry rules here
}
else
{//exit rules here
}

Here is the full code so far. All the brackets match, But Im getting an error 'Invalid expression term 'else'.

if (Position.AvgPrice == 0);
   {
    #region No Position
    if (entryBuyOrder == null )
    {
     
  
    
     int now = ToTime(DateTime.Now);
    
    
     int diff = now - this.lastTime;
    
     if (diff >= this.waitSecond || diff < 0)
     {    
     
      this.bid = GetCurrentBid();
      this.ask = GetCurrentAsk();
     
   
      if (this.bid == this.ask) return;
     
   
      this.lastTime = now;
      this.Print("bid = " + this.bid + ", ask = " + this.ask);
     }
    
    
     // Buy
  
     entryBuyOrder = SubmitOrder(0,OrderAction.Buy,OrderType.Limit,1,this.bid - this.offsetTicks * TickSize,0,"","Long Limit");
    
     // Sell
  
     entrySellOrder = SubmitOrder(0,OrderAction.SellShort,OrderType.Limit,1,this.ask + this.offsetTicks * TickSize,0,"","Short Limit"); 
    }
    
     else
    
    {
    
    
     int now = ToTime(DateTime.Now);
    
    
     int diff = now - this.lastTime;
    
     if (diff >= this.waitSecond || diff < 0)
     {    
     
      this.bid = GetCurrentBid();
      this.ask = GetCurrentAsk();
     
   
      if (this.bid == this.ask) return;
     
   
      this.lastTime = now;
      this.Print(Position.AvgPrice);
      ChangeOrder(entryBuyOrder,1,this.bid - this.offsetTicks * TickSize,0);
      ChangeOrder(entrySellOrder,1,this.ask + this.offsetTicks * TickSize,0);
     }
    
    
    }
   
   
   #endregion
   }
   
   else
   {
    //exit rules here
   }

[NinjaTrader_RyanM1]

Hello maninjapan,

You have an unneccessary semicolon at the end of your first if block.

if (Position.AvgPrice == 0);