Enter on Futures dataseries, Stop on Cash dataseries

[Shansen]

NT Team,

In a multi-instrument strategy where entry can be triggered from a Cash dataseries (^SP500) or Futures dataseries (ES12-10) and must be executed on the ES12-10 (entry, target & stop), how would you recommend a stop be set based on the cash chart?

I believe the below code resolves the problem, where entry is triggered from ES12-10 (BarArray 0) entry, target & stop is implemented via IOrder variables. Where the entry is triggered from ^SP500, entry and target is implemented via IOrder variables. The stop is implemented via ExitLong based on subsequent ^SP500 movements. (for simplicity the below is a cut-down strategy with COBC = true, the cash exit structure would be include in a real-time strategy with COBC = false)

Where Primary BarsArray = ES 12-10

protected override void Initialize()
{
  Add("^SP500",PeriodType.Minute,60);
}

protected override void OnBarUpdate()
{
  if (entryOrder == null && Close[0] > Open[0])
  {
    SignalFrom = BarsInProgress;
    entryOrder = EnterLong(0, 1, "MyEntry");
    LongEntryLow = Low[0]; // BarsInProgress Low (i.e. ^SP500 or ES12-10)
    LongEntryHigh = Highs[0][0]; // ES12-10 High
  }
  // Trigger stop Where entry was triggered from Cash Chart (i.e. BarArray 1)
  if (if SignalFrom = 1 && Position.MarketPosition == MarketPosition.Long && Closes[1][0] <= LongEntryLow)
  {
    ExitLong (0, 1, "Cash Stop", "MyEntry");
    stopOrder = null;
    targetOrder = null;
  }
}

protected override void OnOrderUpdate(IOrder order)
{
  if (entryOrder != null && entryOrder == order)
  {  
    if (order.OrderState == OrderState.Cancelled && order.Filled == 0)
    {
      entryOrder = null;
    }
  }
}

protected override void OnExecution(IExecution execution)
{
  if (entryOrder != null && entryOrder == execution.Order)
  {
    if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
    {
      if (signalFrom = 0) // Set stop based on ES12-10 Low
        stopOrder   = ExitLongStop(0, true, execution.Order.Filled, LongEntryLow, "MyStop", "MyEntry");    
      targetOrder = ExitLongLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + 8 * TickSize, "MyTarget", "MyEntry"); 
      if (execution.Order.OrderState != OrderState.PartFilled)
      {
        entryOrder   = null;
      }
    }
  }
  
  if ((stopOrder != null && stopOrder == execution.Order) || (targetOrder != null && targetOrder == execution.Order))
  {
    if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
    {
      stopOrder = null;
      targetOrder = null;
    }
  }
}

Regards
Shannon

[NinjaTrader_Bertrand]

Shannon, looks ok to me from a glance, when the added cash series generates the exit you cancel the stops / targets and send a market order exit. Does it work as you would expect or have you run into issues?

Thanks