Hi guy,s
I have programmed a strategy that scales into a trade. Think of the entries as rungs on a ladder. All the rungs share the same price profit target. The code works perfectly for small position sizes, e.g. less than 50 contracts per rung.
With larger numbers, where partial fills occur (this is in the Sim101 account), the EntryHandling code inside Ninja does not correctly determine that a position has completely closed.
To re-state - lots of partial entry fills, with different EntrySignal strings, entered at different prices, which ALL FILL at the profit target and close. At this point, there is a bug in Ninja which is not correctly determining the positions have closed, and thus prevents new entries based on the EntryHandling and EntriesPerDirection settings.
Please see excerpt below. (I've bolded the important bits.) The rungs of 100 contracts each all fill their profit target and are completely flat. Just to make double sure, the positions are asked to Exit as well, (which Ninja correctly says "does not have a matching EntrySignal".
Then 'Rung02' is prevented from being put on again, because of the EntryHandling rules.This is incorrect. New entries should now be allowed.
I have been around and around this for a great many hours, and I do not believe the strategy code is at fault. As I say, it works perfectly for smaller positions sizes.
So, my question;
1) Are you aware of this behaviour?
2) If so, is it fixed in NT7?
Many thanks,
salminer
www.tradingcoders.com
Rungs have all filled at their profit target. Cancelling orders to then re-place the ladder's first rung
11/09/2010 5:47:39 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='Rung04'
11/09/2010 5:47:39 PM Ignored PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='Buy to cover' FromEntrySignal='Rung04' Reason='SignalName does not have a matching FromEntrySignal to exit'
11/09/2010 5:47:39 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='Rung03'
11/09/2010 5:47:39 PM Ignored PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='Buy to cover' FromEntrySignal='Rung03' Reason='SignalName does not have a matching FromEntrySignal to exit'
11/09/2010 5:47:39 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='Rung02'
11/09/2010 5:47:39 PM Ignored PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='Buy to cover' FromEntrySignal='Rung02' Reason='SignalName does not have a matching FromEntrySignal to exit'
11/09/2010 5:47:39 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='Rung01'
11/09/2010 5:47:39 PM Ignored PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='Buy to cover' FromEntrySignal='Rung01' Reason='SignalName does not have a matching FromEntrySignal to exit'
11/09/2010 5:47:39 PM moving stoploss because rungs closed at profit.
11/09/2010 5:47:39 PM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=1237.25 Currency=0 Simulated=False
11/09/2010 5:47:39 PM Amended stop order: Order='2e278ef836d1419b876848bb39ac681e/Sim102' Name='Stop loss' State=Accepted Instrument='ES ##-##' Action=BuyToCover Limit price=0 Stop price=1237.25 Quantity=10 Strategy='PDLadderTrader3_PF' Type=Stop Tif=Gtc Oco='816f929f28274650845a4179d069faaa' Filled=0 Fill price=0 Token='2e278ef836d1419b876848bb39ac681e' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:47:39 PM Amended stop order: Order='bab3a9e907a4480e8a1996d4f9d88ffa/Sim102' Name='Stop loss' State=Accepted Instrument='ES ##-##' Action=BuyToCover Limit price=0 Stop price=1237.25 Quantity=90 Strategy='PDLadderTrader3_PF' Type=Stop Tif=Gtc Oco='c43cec8bcf7f4e618e51c81ebcd06456' Filled=0 Fill price=0 Token='bab3a9e907a4480e8a1996d4f9d88ffa' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:47:41 PM Updating the AveragePrice used for this new rung formation to 1229.75
11/09/2010 5:47:41 PM adding rung #1
11/09/2010 5:47:41 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung01' Mode=Price Value=1230 Currency=0 Simulated=False
11/09/2010 5:47:41 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:41 PM: Action=SellShort OrderType=Limit Quantity=100 LimitPrice=1231.25 StopPrice=0 SignalName='Rung01' FromEntrySignal=''
execution : Rung01, Rung01, ; Execution='6f2fdeb091c3462ca6134afe2548332f' Instrument='ES ##-##' Account='Sim102' Name='Rung01' Exchange=Default Price=1231.25 Quantity=44 Market position=Short Commission=99 Order='a160078ae21144daa3b89dc1414c9b39' Time='11/09/2010 5:57:51 PM'
11/09/2010 5:57:51 PM new fill entry at price 1231.25
execution : Rung01, Rung01, ; Execution='9859752a37ad4e92a7f5a2bbd2472c1f' Instrument='ES ##-##' Account='Sim102' Name='Rung01' Exchange=Default Price=1231.25 Quantity=37 Market position=Short Commission=83.25 Order='a160078ae21144daa3b89dc1414c9b39' Time='11/09/2010 5:57:51 PM'
11/09/2010 5:57:51 PM new fill entry at price 1231.25
execution : Rung01, Rung01, ; Execution='f510dc94fbc74086ac5603941e2c3e19' Instrument='ES ##-##' Account='Sim102' Name='Rung01' Exchange=Default Price=1231.25 Quantity=19 Market position=Short Commission=42.75 Order='a160078ae21144daa3b89dc1414c9b39' Time='11/09/2010 5:57:52 PM'
11/09/2010 5:57:52 PM new fill entry at price 1231.25
11/09/2010 5:57:52 PM FullyFilled. Adjusting AveragePrice to 1230
Updating rung profit targets to 1228.75
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung04' Mode=Price Value=1228.75 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung03' Mode=Price Value=1228.75 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung02' Mode=Price Value=1228.75 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung01' Mode=Price Value=1228.75 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Amended target order: Order='e1937fa7f82b4feda0bd95454ed7861f/Sim102' Name='Profit target' State=Working Instrument='ES ##-##' Action=BuyToCover Limit price=1228.75 Stop price=0 Quantity=44 Strategy='PDLadderTrader3_PF' Type=Limit Tif=Gtc Oco='6f2fdeb091c3462ca6134afe2548332f' Filled=0 Fill price=0 Token='e1937fa7f82b4feda0bd95454ed7861f' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:57:52 PM Amended target order: Order='6165d755213446059927b800f5980f14/Sim102' Name='Profit target' State=Working Instrument='ES ##-##' Action=BuyToCover Limit price=1228.75 Stop price=0 Quantity=37 Strategy='PDLadderTrader3_PF' Type=Limit Tif=Gtc Oco='9859752a37ad4e92a7f5a2bbd2472c1f' Filled=0 Fill price=0 Token='6165d755213446059927b800f5980f14' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:57:52 PM Amended target order: Order='7b739fe883fc475a8919b09413937177/Sim102' Name='Profit target' State=Working Instrument='ES ##-##' Action=BuyToCover Limit price=1228.75 Stop price=0 Quantity=19 Strategy='PDLadderTrader3_PF' Type=Limit Tif=Gtc Oco='f510dc94fbc74086ac5603941e2c3e19' Filled=0 Fill price=0 Token='7b739fe883fc475a8919b09413937177' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:57:52 PM adding rung #2
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung02' Mode=Price Value=1231.5 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Entered internal PlaceOrder() method at 11/09/2010 5:57:52 PM: Action=SellShort OrderType=Limit Quantity=100 LimitPrice=1232.75 StopPrice=0 SignalName='Rung02' FromEntrySignal=''
11/09/2010 5:57:52 PM Ignored PlaceOrder() method at 11/09/2010 5:57:52 PM: Action=SellShort OrderType=Limit Quantity=100 LimitPrice=1232.75 StopPrice=0 SignalName='Rung02' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'
11/09/2010 5:57:53 PM adding rung #2
I have programmed a strategy that scales into a trade. Think of the entries as rungs on a ladder. All the rungs share the same price profit target. The code works perfectly for small position sizes, e.g. less than 50 contracts per rung.
With larger numbers, where partial fills occur (this is in the Sim101 account), the EntryHandling code inside Ninja does not correctly determine that a position has completely closed.
To re-state - lots of partial entry fills, with different EntrySignal strings, entered at different prices, which ALL FILL at the profit target and close. At this point, there is a bug in Ninja which is not correctly determining the positions have closed, and thus prevents new entries based on the EntryHandling and EntriesPerDirection settings.
Please see excerpt below. (I've bolded the important bits.) The rungs of 100 contracts each all fill their profit target and are completely flat. Just to make double sure, the positions are asked to Exit as well, (which Ninja correctly says "does not have a matching EntrySignal".
Then 'Rung02' is prevented from being put on again, because of the EntryHandling rules.This is incorrect. New entries should now be allowed.
I have been around and around this for a great many hours, and I do not believe the strategy code is at fault. As I say, it works perfectly for smaller positions sizes.
So, my question;
1) Are you aware of this behaviour?
2) If so, is it fixed in NT7?
Many thanks,
salminer
www.tradingcoders.com
Rungs have all filled at their profit target. Cancelling orders to then re-place the ladder's first rung
11/09/2010 5:47:39 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='Rung04'
11/09/2010 5:47:39 PM Ignored PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='Buy to cover' FromEntrySignal='Rung04' Reason='SignalName does not have a matching FromEntrySignal to exit'
11/09/2010 5:47:39 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='Rung03'
11/09/2010 5:47:39 PM Ignored PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='Buy to cover' FromEntrySignal='Rung03' Reason='SignalName does not have a matching FromEntrySignal to exit'
11/09/2010 5:47:39 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='Rung02'
11/09/2010 5:47:39 PM Ignored PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='Buy to cover' FromEntrySignal='Rung02' Reason='SignalName does not have a matching FromEntrySignal to exit'
11/09/2010 5:47:39 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='Rung01'
11/09/2010 5:47:39 PM Ignored PlaceOrder() method at 11/09/2010 5:47:39 PM: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='Buy to cover' FromEntrySignal='Rung01' Reason='SignalName does not have a matching FromEntrySignal to exit'
11/09/2010 5:47:39 PM moving stoploss because rungs closed at profit.
11/09/2010 5:47:39 PM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=1237.25 Currency=0 Simulated=False
11/09/2010 5:47:39 PM Amended stop order: Order='2e278ef836d1419b876848bb39ac681e/Sim102' Name='Stop loss' State=Accepted Instrument='ES ##-##' Action=BuyToCover Limit price=0 Stop price=1237.25 Quantity=10 Strategy='PDLadderTrader3_PF' Type=Stop Tif=Gtc Oco='816f929f28274650845a4179d069faaa' Filled=0 Fill price=0 Token='2e278ef836d1419b876848bb39ac681e' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:47:39 PM Amended stop order: Order='bab3a9e907a4480e8a1996d4f9d88ffa/Sim102' Name='Stop loss' State=Accepted Instrument='ES ##-##' Action=BuyToCover Limit price=0 Stop price=1237.25 Quantity=90 Strategy='PDLadderTrader3_PF' Type=Stop Tif=Gtc Oco='c43cec8bcf7f4e618e51c81ebcd06456' Filled=0 Fill price=0 Token='bab3a9e907a4480e8a1996d4f9d88ffa' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:47:41 PM Updating the AveragePrice used for this new rung formation to 1229.75
11/09/2010 5:47:41 PM adding rung #1
11/09/2010 5:47:41 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung01' Mode=Price Value=1230 Currency=0 Simulated=False
11/09/2010 5:47:41 PM Entered internal PlaceOrder() method at 11/09/2010 5:47:41 PM: Action=SellShort OrderType=Limit Quantity=100 LimitPrice=1231.25 StopPrice=0 SignalName='Rung01' FromEntrySignal=''
execution : Rung01, Rung01, ; Execution='6f2fdeb091c3462ca6134afe2548332f' Instrument='ES ##-##' Account='Sim102' Name='Rung01' Exchange=Default Price=1231.25 Quantity=44 Market position=Short Commission=99 Order='a160078ae21144daa3b89dc1414c9b39' Time='11/09/2010 5:57:51 PM'
11/09/2010 5:57:51 PM new fill entry at price 1231.25
execution : Rung01, Rung01, ; Execution='9859752a37ad4e92a7f5a2bbd2472c1f' Instrument='ES ##-##' Account='Sim102' Name='Rung01' Exchange=Default Price=1231.25 Quantity=37 Market position=Short Commission=83.25 Order='a160078ae21144daa3b89dc1414c9b39' Time='11/09/2010 5:57:51 PM'
11/09/2010 5:57:51 PM new fill entry at price 1231.25
execution : Rung01, Rung01, ; Execution='f510dc94fbc74086ac5603941e2c3e19' Instrument='ES ##-##' Account='Sim102' Name='Rung01' Exchange=Default Price=1231.25 Quantity=19 Market position=Short Commission=42.75 Order='a160078ae21144daa3b89dc1414c9b39' Time='11/09/2010 5:57:52 PM'
11/09/2010 5:57:52 PM new fill entry at price 1231.25
11/09/2010 5:57:52 PM FullyFilled. Adjusting AveragePrice to 1230
Updating rung profit targets to 1228.75
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung04' Mode=Price Value=1228.75 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung03' Mode=Price Value=1228.75 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung02' Mode=Price Value=1228.75 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung01' Mode=Price Value=1228.75 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Amended target order: Order='e1937fa7f82b4feda0bd95454ed7861f/Sim102' Name='Profit target' State=Working Instrument='ES ##-##' Action=BuyToCover Limit price=1228.75 Stop price=0 Quantity=44 Strategy='PDLadderTrader3_PF' Type=Limit Tif=Gtc Oco='6f2fdeb091c3462ca6134afe2548332f' Filled=0 Fill price=0 Token='e1937fa7f82b4feda0bd95454ed7861f' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:57:52 PM Amended target order: Order='6165d755213446059927b800f5980f14/Sim102' Name='Profit target' State=Working Instrument='ES ##-##' Action=BuyToCover Limit price=1228.75 Stop price=0 Quantity=37 Strategy='PDLadderTrader3_PF' Type=Limit Tif=Gtc Oco='9859752a37ad4e92a7f5a2bbd2472c1f' Filled=0 Fill price=0 Token='6165d755213446059927b800f5980f14' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:57:52 PM Amended target order: Order='7b739fe883fc475a8919b09413937177/Sim102' Name='Profit target' State=Working Instrument='ES ##-##' Action=BuyToCover Limit price=1228.75 Stop price=0 Quantity=19 Strategy='PDLadderTrader3_PF' Type=Limit Tif=Gtc Oco='f510dc94fbc74086ac5603941e2c3e19' Filled=0 Fill price=0 Token='7b739fe883fc475a8919b09413937177' Gtd='1/12/2099 12:00:00 AM'
11/09/2010 5:57:52 PM adding rung #2
11/09/2010 5:57:52 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Rung02' Mode=Price Value=1231.5 Currency=0 Simulated=False
11/09/2010 5:57:52 PM Entered internal PlaceOrder() method at 11/09/2010 5:57:52 PM: Action=SellShort OrderType=Limit Quantity=100 LimitPrice=1232.75 StopPrice=0 SignalName='Rung02' FromEntrySignal=''
11/09/2010 5:57:52 PM Ignored PlaceOrder() method at 11/09/2010 5:57:52 PM: Action=SellShort OrderType=Limit Quantity=100 LimitPrice=1232.75 StopPrice=0 SignalName='Rung02' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'
11/09/2010 5:57:53 PM adding rung #2
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