Using EnterShortStop() and EnterShortLimit() simultaneously

[NinjaTrader_JoshP]

FireFly,

Unfortunately I did not see an email come in. Do you happen to have the ticket # so I can search our system for it? Thank you.

[FireFly]

Ticketnumber is 364633
Thanks!

[NinjaTrader_Bertrand]

Thanks Firefly, the only thing that I see here is it's getting ignored because of the default EntryHandling settings used -

Ignored PlaceOrder() method Name='ShortP' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'

http://www.ninjatrader-support.com/HelpGuideV6/MaxEntryHandling.html

[FireFly]

Of course you will eventually exceed the maximum entries per direction in the example that I've sent you. But you can set "Entries per Direction" to any number you want. I'm only interested in why the FIRST EnterShortLimit() is not executed.

So using my example on SPY, I start the backtest on 1/1/2000.
The strategy will then enter long on 2/17/2000 @140.44
Then there is an EnterShortLimit @149 and an EnterShortStop @129

On 3/21/2000 the price rises above 149, so I would expect the EnterShortLimit to get executed. But this doesn't happen. However on 12/20/2000 the EnterShortStop DOES get executed as expected.

After that, the example that I sent you will execute many more EnterShortStop until maximum entries per direction is reached. But that is not the point, so please ignore that.

Btw, you can use any instrument you want. The point is that if the price goes up the EnterShortLimit is not executed.

Can you reproduce what I see?

[NinjaTrader_Bertrand]

FireFly, I could reproduce what you saw here, also on NT7 with a very high EntriesPerDirection - I'll check with developement as I don't believe this should be ignored.

[MXASJ]

I have what I believe is a similar issue so if the dev guys don't find anything let me know and I'll strip down the strategy in question and post it here. Basically both historical and real-time EnterShortLimit and EnterShortStop entry targets are hit but orders are not always executed. Roughly 50% are missed.

My TIF in the trade logic is bar [0] and bar[1].

[FireFly]

FireFly, I could reproduce what you saw here, also on NT7 with a very high EntriesPerDirection - I'll check with developement as I don't believe this should be ignored.

Thanks. I will keep watching this thread for the conclusion on this issue.

[NinjaTrader_Bertrand]

We looked into the issue and here's what is happening:

1. You're in a long position on your Bar 31.

2. On the next bar you submit to Enter() orders that both carry with them the 'Close Position' order (for the long you're in since Bar 31) - this will create a scenario likely to experience overfills and as such you're running into the order handling rules.

The workaround is the common one when using the managed scheme : submit only one order at a time and cancelOrder the working one / replace as dictated by price action then.

[FireFly]

So the conclusion is that there is no way to issue both these orders on the same bar?

[NinjaTrader_JoshP]

FireFly,

Basically what is happening is that these are indeed competing orders which runs the possibility of an overfill. The Internal Order Handling Rules are in place to prevent/minimize overfill situations from happening. Since this is a case of a potential overfill it is blocked. The way to get around this is to only have one of these orders working at a time. When the price moves closer to the other direction, cancel the first and place the second.

If you ultimately want to be able to submit both at the same time you will then need to use NT7's unmanaged approach which removes all Internal Order Handling Rules to allow you to submit orders however you see fit. If you wish to use this approach though please be aware that NT will not be stepping in to help address any overfills which may occur and as such you will need to be sure you handle all scenarios that may arise in your code.

[FireFly]

OK, clear. I'm not going to follow the unmanaged route so I'll implement the strategy in a different way then.

Thanks for your support.