"orderId = string.Empty"....too late

[dawdler]

Hi, when a trade gets stopped out, i am not able to enter at the same bar's close

I think the reason for that is orderId is being reset at the bar close in the OnBarUpdate() method and the strategy is not able to enter simultaneously. There is discrepancy between the backtesting and live results (see the attachment). I would like to enter at the close, even when a trade is stopped out at the close. how can i do this? any suggestions?


thanks for your time

[NinjaTrader_RyanM1]

Hi Dawdler,

Sorry, I'm not following this request. If there's a code snippet you would like for us to shed light on, can you please share the snippet and steps needed to see what you're seeing.

[dawdler]

Ryan, i am using the code from the sample ATM strategy with slight modification. the problem i am having is that the orderid and atm strategyid are being reset at bar update (which i am guessing is too late).

so the strategy is not able to enter at the close of the bar. the attachment in my previous post shows this: in backtest there was a short entry at 2307.25 after i was stopped out at 2307.50 seconds before close, but in live trading the strategy did not submit a short order (something isn't working)

  [COLOR=blue][FONT=&quot]if[/FONT][/COLOR][COLOR=black][FONT=&quot] (LongSetUp == [/FONT][/COLOR][COLOR=blue][FONT=&quot]true[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                        &&    orderId.Length == [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot] && atmStrategyId.Length == [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot])[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                        {[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                              atmStrategyId = GetAtmStrategyUniqueId();[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                              orderId = GetAtmStrategyUniqueId();[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                              AtmStrategyCreate(OrderAction.Buy, OrderType.Limit, Close[[/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot]], [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot], TimeInForce.Gtc, orderId, [/FONT][/COLOR][COLOR=maroon][FONT=&quot]"NQ Live"[/FONT][/COLOR][COLOR=black][FONT=&quot],atmStrategyId);[/FONT][/COLOR]
   
   [COLOR=black][FONT=&quot]                        }[/FONT][/COLOR]
   
   
   [COLOR=blue][FONT=&quot]if[/FONT][/COLOR][COLOR=black][FONT=&quot] (ShortSetUp == [/FONT][/COLOR][COLOR=blue][FONT=&quot]true[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                        &&    orderId.Length == [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot] && atmStrategyId.Length == [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot])[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                        {[/FONT][/COLOR]
   
   [COLOR=black][FONT=&quot]                              atmStrategyId = GetAtmStrategyUniqueId();[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                              orderId = GetAtmStrategyUniqueId();                               [/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                              AtmStrategyCreate(OrderAction.Sell, OrderType.Limit, Close[[/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot]], [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot], TimeInForce.Gtc, orderId, [/FONT][/COLOR][COLOR=maroon][FONT=&quot]"NQ Live"[/FONT][/COLOR][COLOR=black][FONT=&quot],atmStrategyId);[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                        }[/FONT][/COLOR]
   
   
   
   
   [COLOR=green][FONT=&quot]// Check for a pending entry order[/FONT][/COLOR]
   [COLOR=blue][FONT=&quot]if[/FONT][/COLOR][COLOR=black][FONT=&quot] (orderId.Length > [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot])[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                  {[/FONT][/COLOR]
   [COLOR=blue][FONT=&quot]string[/FONT][/COLOR][COLOR=black][FONT=&quot][] status = GetAtmStrategyEntryOrderStatus(orderId);[/FONT][/COLOR]
   
   [COLOR=black][FONT=&quot]                AtmStrategyChangeEntryOrder(Close[[/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot]], [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot], orderId);      [/FONT][/COLOR]
   
   
   [COLOR=green][FONT=&quot]// If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements[/FONT][/COLOR]
   [COLOR=blue][FONT=&quot]if[/FONT][/COLOR][COLOR=black][FONT=&quot] (status.GetLength([/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot]) > [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot])[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                        {[/FONT][/COLOR]
   
   [COLOR=blue][FONT=&quot]if[/FONT][/COLOR][COLOR=black][FONT=&quot] (status[[/FONT][/COLOR][COLOR=purple][FONT=&quot]2[/FONT][/COLOR][COLOR=black][FONT=&quot]] == [/FONT][/COLOR][COLOR=maroon][FONT=&quot]"Filled"[/FONT][/COLOR][COLOR=black][FONT=&quot] || status[[/FONT][/COLOR][COLOR=purple][FONT=&quot]2[/FONT][/COLOR][COLOR=black][FONT=&quot]] == [/FONT][/COLOR][COLOR=maroon][FONT=&quot]"Cancelled"[/FONT][/COLOR][COLOR=black][FONT=&quot] || status[[/FONT][/COLOR][COLOR=purple][FONT=&quot]2[/FONT][/COLOR][COLOR=black][FONT=&quot]] == [/FONT][/COLOR][COLOR=maroon][FONT=&quot]"Rejected"[/FONT][/COLOR][COLOR=black][FONT=&quot])[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                                    orderId = [/FONT][/COLOR][COLOR=blue][FONT=&quot]string[/FONT][/COLOR][COLOR=black][FONT=&quot].Empty;[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                                    ShortSetUp = [/FONT][/COLOR][COLOR=blue][FONT=&quot]false[/FONT][/COLOR][COLOR=black][FONT=&quot];[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                                    LongSetUp = [/FONT][/COLOR][COLOR=blue][FONT=&quot]false[/FONT][/COLOR][COLOR=black][FONT=&quot];[/FONT][/COLOR]
   
   [COLOR=black][FONT=&quot]                        }[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                  } [/FONT][/COLOR]
   [COLOR=blue][FONT=&quot]else[/FONT][/COLOR][COLOR=blue][FONT=&quot]if[/FONT][/COLOR][COLOR=black][FONT=&quot] (atmStrategyId.Length > [/FONT][/COLOR][COLOR=purple][FONT=&quot]0[/FONT][/COLOR][COLOR=black][FONT=&quot] && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                  {[/FONT][/COLOR]
   
   [COLOR=black][FONT=&quot]                        RealizedPNL = GetAtmStrategyRealizedProfitLoss(atmStrategyId) + RealizedPNL;[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                        atmStrategyId = [/FONT][/COLOR][COLOR=blue][FONT=&quot]string[/FONT][/COLOR][COLOR=black][FONT=&quot].Empty;[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                  }[/FONT][/COLOR]
   
   
   [COLOR=blue][FONT=&quot]else[/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                  {                 [/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                              LongSetUp = [/FONT][/COLOR][COLOR=blue][FONT=&quot]false[/FONT][/COLOR][COLOR=black][FONT=&quot]; [/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                              ShortSetUp = [/FONT][/COLOR][COLOR=blue][FONT=&quot]false[/FONT][/COLOR][COLOR=black][FONT=&quot]; [/FONT][/COLOR]
   [COLOR=black][FONT=&quot]                  }[/FONT][/COLOR]
   
   
   [COLOR=black][FONT=&quot]                  }[/FONT][/COLOR]

[dawdler]

Ryan, never mind. ignore this thread. i think i will try setting the calculateonbarclose to false.

[NinjaTrader_RyanM1]

Thanks for the update, Dawdler. I see what you mean now and COBC = false seems like a good approach so you're not waiting a whole bar to start the next atm order cycle.