Running an automated strategy on a list of securities

[skyholder84]

Hi, I would like to know how many securities I can add to a strategy. Is there a cap, or can I run a strategy which screens a universe of several hundred (or thousand securities). I'd also like to know where I can alter the list of securities, to remove and add securities without having to go into the Ninjascript code. Is a GUI required, or can I add and remove instruments from a strategy in Ninjatrader?

Additionally, is Ninjatrader a GUI in itself, or do I have to design a GUI to manage strategy parameters? Eg, if I want to have an automated strategy which flattens all open positions which have remained open for over X number of hours, how do I specify the value of X? Is an external gui required, or can I change my strategy parameters dynamically in Ninjatrader itself?

Thanks for the help!

[NinjaTrader_Bertrand]

skyholder84, there's no hard set limit how many symbols a strategy can manage, however naturally you will likely run into system resource issues at some point where it would then make sense to split up the load.

Unfortunately you can alter lists from NinjaScript or call them, you simply Add() all instruments needed directly in the strategy Initialize().

You can change your strategy on the fly via NinjaScript, you can for example track how long positions have been open and then close them as desired.

[skyholder84]

Hi, thanks for your prompt reply!

I was just wondering if it was possible to alter some other deeper parameters of the strategy from Ninjatrader closer to the execution code.

Such as:

1) Order threshold entry threshold parameters. For example, I might have a gap-close mean reversion strategy which fires off a trade entry signal when momentum hits a critical threshold value (signalling that buying/selling might be overdone). If I want to change that threshold value on the fly from a GUI, can it be done? Would I be able to do that in the Ninjatrader Window, or do I need to design a separate form/GUI running alongside Ninjatrader to do this?

2) Add/exclude traded instruments in each strategy. For example, if I am expecting a significant corporate announcement on a ticker which I usually trade under a scalping strategy, I'd want to exclude that ticker from that strategy for a day or so. Again, would I be able to do that in the Ninjatrader Window, or do I need to design a separate form/GUI running alongside Ninjatrader to do this? From your earlier answer, it appears that this is not possible without going straight to the written ninjascript code?

3) Other strategy parameters such as: the maximum number of open orders placed or the maximum size or each order.

Was just wondering if I could design a form running beside NT which I could use to perform all these functions on the fly without stopping the strategy, editing the code and re-loading the strategy. There must be a way to do this I believe? Thanks for your help!

[NinjaTrader_Austin]

Hi, thanks for your prompt reply!

I was just wondering if it was possible to alter some other deeper parameters of the strategy from Ninjatrader closer to the execution code.

Such as:

1) Order threshold entry threshold parameters. For example, I might have a gap-close mean reversion strategy which fires off a trade entry signal when momentum hits a critical threshold value (signalling that buying/selling might be overdone). If I want to change that threshold value on the fly from a GUI, can it be done? Would I be able to do that in the Ninjatrader Window, or do I need to design a separate form/GUI running alongside Ninjatrader to do this?

This is possible in an external GUI, but that would be unsupported.

2) Add/exclude traded instruments in each strategy. For example, if I am expecting a significant corporate announcement on a ticker which I usually trade under a scalping strategy, I'd want to exclude that ticker from that strategy for a day or so. Again, would I be able to do that in the Ninjatrader Window, or do I need to design a separate form/GUI running alongside Ninjatrader to do this? From your earlier answer, it appears that this is not possible without going straight to the written ninjascript code?

The only supported method for doing this would be to edit the code directly. Of course, it would be possible to change stuff like this in a GUI, but that would again be unsupported.

3) Other strategy parameters such as: the maximum number of open orders placed or the maximum size or each order.

Same answer as above.

Was just wondering if I could design a form running beside NT which I could use to perform all these functions on the fly without stopping the strategy, editing the code and re-loading the strategy. There must be a way to do this I believe? Thanks for your help!

This has definitely been done before, but it is unsupported.