Executing too many entries

[BishopM05]

Hi, it seems my strategy is ignoring the market position line in Sim & Replay (not tested Live yet) and is triggering another entry when the CrossBelow event occurs while already short 1 position. Is there something I'm missing here?

protected override void Initialize()
        {
            Add(anaCurrentDayVWAPV36(anaBandTypeVWAPD36.Variance_Distance, anaSessionTypeVWAPD36.ETH, 1, 2, 3, 
                anaSessionCountVWAPD36.First));
            Add(EMA(20));

            CalculateOnBarClose = true;
        }
 protected override void OnBarUpdate()
        {

            if (Position.MarketPosition == MarketPosition.Flat
                && CrossBelow(EMA(20), anaCurrentDayVWAPV36(anaBandTypeVWAPD36.Variance_Distance, 
                anaSessionTypeVWAPD36.ETH, 1, 2, 3, anaSessionCountVWAPD36.First).SessionVWAP, 1)
                && ToTime(Time[0]) > ToTime(15, 00, 0)
                && ToTime(Time[0]) < ToTime(23, 59, 0))
                {
                atmStrategyId = GetAtmStrategyUniqueId();
                orderId = GetAtmStrategyUniqueId();
                AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Market, Low[0], 0, TimeInForce.Day, orderId, "VWAPcross", atmStrategyId);
                }[INDENT]}[/INDENT]

Backtesting using a standard entry and profit target/stop loss instead of the ATM strategy works fine. Also, EntriesPerDirection is set to 1. Could it be something to do with CrossBelow or the custom VWAP indicator? Thanks

[NinjaTrader_Matthew]

Hello,

Can you please clarify that you are able to use this AtmStrategyCreate() method when backtesting?

The Atm Strategy methods would not be accessible during backtesting. If you were to run this strategy as is in the strategy analyzer, you would not see the ATM strategy trigger.

[BishopM05]

No, as stated in the first post, backtesting using a standard entry and profit target/stop loss instead of the ATM strategy works fine. The issue occurs when the strategy is run in Sim/Replay with the ATM code inserted (as shown). Thanks

[NinjaTrader_Matthew]

Sorry, can you please clarify if it runs without issues using the standard entry and profit target/stop loss in Sim and Replay? Or is the issue only one using the ATMStrategyCreate and in Sim?

If you're using the ATM strategy, you should be using GetAtmStrategyMarketPosition() to check this position:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?getatmstrategymarketposition.htm

If you see the same behavior, I would suggest running some Print() statements to check your market position under these environments to ensure your position is reported as flat/long/short around this time.

[BishopM05]

Ahh GetAtmStrategyMarketPosition() solves the problem; thanks for your help.