NT does not honor FromEntrySignal

[Edward Kunafi]

Hello Support,

My strategy uses OnOrderUpdate extensively, it also handles closing its positions during reversal signals. (I have issue with NT handling the closing, as it might create additional positions)

Here is the issue I am facing:
1. Strategy are in 3 shorts, say Short2Q1, Short4Q1 and Short7Q1
2. Strategy gets Go Long signal, since we still have three shorts strategy issue closing the shorts, issuing 3 ExitShort as follows:
ExitShort(CloseSh1,Short2Q1)
ExitShort(CloseSh2,Short4Q1)
ExitShort(CloseSh3,Short7Q1)

3. Two of the positions, Short2Q1 and Short4Q1 hit TrailStop first. So when CloseSh1 & CloseSh2 is filled, strategy created LongPositions: CloseSh1 and CloseSh2

4. CloseSh3 is filled, strategy remove Short7Q1 position.

5. NT issues StopLoss and ProfitTarget for CloseSh2, and instead of for CloseSh1 it issues StopLoss and ProfitTarget for CloseSh3! My table has LongPosition CloseSh1, but NT has LongPosition CloseSh3!

6, Strategy prints out performance on the three trades from NT database, NT pairs CloseSh1 as the exit for Short7Q1 position.

7. Strategy crash reporting on calling OnOrderUpdate "Object reference not set to an instance of an object". This happen when profit target of CloseSh3 is hit. My table has CloseSh1 not CloseSh3.

My nice codes now gets really broken because of this.
Why does NT not follow the FromEntrySignals?
What should I do? Abandoning my tables is unthinkable.

Thanks.
Regards.

Edward K.

[NinjaTrader_RyanM1]

Hello EdwardK,

Thank you for the report. What may be happening here is having competing orders with your TrailStop and ExitShort. If orders are close to the market then you run the risk of inflight executions and an order can be filled before it's cancelled.

To work around this you should consider either
1) cancelling the exitshort order if the trailstop is about to be filled.
2) Widen the trailstop order if the exit short is about to be filled.

Unfortunately inflight executions are a risk of electronic trading, but with good practices you can minimize this risk. Please let us know if this isn't the scenario you're writing about.

[Edward Kunafi]

Hello RyanM,

No, that is not what I am referring to. My codes can handle those potential extra positions, it also check whether we are near some trailstops. . . But then market could move very fast. Trail stops which are already with the broker can still be hit first. In this case two positions hit trailstops and another hit my exit.

Anyway, what I am referring to is very specific: Strategy submits Exit specifically tagged to a particular entry, but NT uses/pairs other Exit to close that Entry.

Thanks.

Regards.
EdwardK

[NinjaTrader_RyanM1]

Thanks for the reply. Is this something you are noticing with the actual strategy behavior or with the real time performance? Real time performance will use FIFO for trade pairing, but the strategy should still tie together entries with exits.

[Edward Kunafi]

Hello RyanM,

Both the realtime performance and strategy behaviour matches in this case.
Realtime performance pair Short7Q1 with CloseSh1.

My strategy prints on outstanding positions as CloseSh1 and CloseSh2. But NT has CloseSh2 and CloseSh3. My strategy crash when last profit target which NT generate from CloseSh3 being filled.

Thanks.

Regards.
EdwardK.

[NinjaTrader_RyanM1]

Thanks. We're not aware that this is an issue. Can you make sure you're using release 2 (Check with Help > About) and send a simple strategy and steps we can use to see on our end.

[Edward Kunafi]

Hello RyanM,

I am on NT6.5.1000.19 multibroker.

Thanks.

Regards.

[NinjaTrader_RyanM1]

Please use a similar strategy on version 7 release 2. You can download that here:

http://www.ninjatrader.com/download-registration.php

Let us know if you are seeing similar behavior and submit a strategy we can use to see this here.

Please note that 6.5 will not get updates unless we have critical changes with a data provider's API.