Trying to monitor an ATM based strategy filling target or stop

[pmaglio]

Hi,

Ive been having some troubles trying to identify a target of stop being filled on an ATM based strategy. Mainly on the last targt/stop of the ATM because it usually gets an error indicating that ATM id is terminated...
I placed the condition on OnMarketData and it usually works fine on first targets or stops ( while still remains a position )..
Any idea of how can I monitor this event or how can I know the result of a terminated ATM id ?

Part of the code ( it just plots a line from start to end of trade )...:
protectedoverridevoid OnMarketData(MarketDataEventArgs e)
{
if(atmLongId.Length!=0 && orderLongId.Length==0 )
{
string[,] orders = GetAtmStrategyStopTargetOrderStatus("TARGET"+checkL, atmLongId);
//Print(" TARGET+checkL "+checkL+" "+orders[0,0]+orders[0,1]+orders[0,2]);
// Check length to ensure that returned array holds order information
if (orders.Length > 0)
{
//for (int i = 0; i < orders.GetLength(0); i++)
if(orders[0, 2]=="Filled")
{
DrawTriangleDown("TL"+CurrentBar+checkL,false,0, Convert.ToDouble(orders[0,0]), lineColorS);

Thanks !

Pablo

[NinjaTrader_Bertrand]

Hi Pablo, correct this is a limiation since at that point in time this specific ATM strategy is closed / terminated. Have you tried checking the ATM Strategy Market Position then for the state?

[pmaglio]

Hi Bertrand,

Yes, used GetAtmStrategyMarketPosition(atmLongId)to check Market Position, but once it is Flat, I found no way to know if position was closed by a stop or target, neither the fill price...
Any ideas...?

[NinjaTrader_Bertrand]

Hmm, an idea would be tracking the changes in unrealized Pnl for the ATM, if you save the last known value to a variable you could deduct if it was a profitable trade or stop out.