Creating strategy with both long and short entries.

[Antony]

I have created a strategy with both long and short entries.

Here LE = calculated long entry price and SE = calculated short entry price.

These levels are constant through out the trading session.
protectedoverridevoid Initialize()
{
SetProfitTarget("", CalculationMode.Ticks, Target);
SetStopLoss("", CalculationMode.Ticks, InitialStop, false);
CalculateOnBarClose = false;
}
protected override void OnBarUpdate()
{
if (CurrentBar < 1)
return;
if (CurrentBar > 1)
{
if (Bars.FirstBarOfSession)
{
myLongEntryOrder = null;
myShortEntryOrder = null;
LE = Open[0] – 10 *TickSize;
SE = Open[0] + 10 *TickSize;
}


if (Position.MarketPosition == MarketPosition.Flat && LE > 0 && Low[0] > LE)
{
myLongEntryOrder = EnterLongLimit(LE);
}
if (Position.MarketPosition == MarketPosition.Flat && SE > 0 && High[0] < SE)
{
myShortEntryOrder = EnterShortLimit(SE);
}
}
protected override void OnOrderUpdate(IOrder order)
{
if (myLongEntryOrder != null && myLongEntryOrder == order)
{

if (order.OrderState == OrderState.Filled)
{myLongEntryOrder = null;}

}

if (myShortEntryOrder != null && myShortEntryOrder == order)
{

if (order.OrderState == OrderState.Filled)
{myShortEntryOrder = null;}

}
if (ToTime(Time[0]) == ToTime(15, 10, 0))
{
myLongEntryOrder = null;
myShortEntryOrder = null;
}
}

I got an error with taking trades on one direction. What is the problem on code?
Any suggestions? Please help?

[NinjaTrader_AdamP]

Antony,

What is the error message? This would be helpful in identifying your issue.

Also, I would recommend using try/catch blocks. You can have it print to the output window and it will identify what line the error comes from in your code.

Here is a reference sample : http://www.ninjatrader.com/support/f...ead.php?t=9825

[Antony]

**NT** An Enter() method to submit an entry order at '04-01-2011 0:00:00 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

[NinjaTrader_AdamP]

Antony,

I believe you are opening a long limit while a short is open and/or vice verci.

Here is an explanation :

An order entry will be ignored if :
• The strategy position is flat and an order submitted by an enter method (EnterLongLimit() for example) is active and the order is used to open a position in the opposite direction

If you want to do this you would need to use the unmanaged approach. Please find a link for more information below.

http://www.ninjatrader.com/support/helpGuides/nt7/unmanaged_approach.htm?zoom_highlightsub=internal%2Border%2Bhandling%2Brules

[koganam]

I have created a strategy with both long and short entries.

Here LE = calculated long entry price and SE = calculated short entry price.

These levels are constant through out the trading session.
protectedoverridevoid Initialize()
{
SetProfitTarget("", CalculationMode.Ticks, Target);
SetStopLoss("", CalculationMode.Ticks, InitialStop, false);
CalculateOnBarClose = false;
}
protected override void OnBarUpdate()
{
if (CurrentBar < 1)
return;
if (CurrentBar > 1)
{
if (Bars.FirstBarOfSession)
{
myLongEntryOrder = null;
myShortEntryOrder = null;
LE = Open[0] – 10 *TickSize;
SE = Open[0] + 10 *TickSize;
}


if (Position.MarketPosition == MarketPosition.Flat && LE > 0 && Low[0] > LE)
{
myLongEntryOrder = EnterLongLimit(LE);
}
if (Position.MarketPosition == MarketPosition.Flat && SE > 0 && High[0] < SE)
{
myShortEntryOrder = EnterShortLimit(SE);
}
}
protected override void OnOrderUpdate(IOrder order)
{
if (myLongEntryOrder != null && myLongEntryOrder == order)
{

if (order.OrderState == OrderState.Filled)
{myLongEntryOrder = null;}

}

if (myShortEntryOrder != null && myShortEntryOrder == order)
{

if (order.OrderState == OrderState.Filled)
{myShortEntryOrder = null;}

}
if (ToTime(Time[0]) == ToTime(15, 10, 0))
{
myLongEntryOrder = null;
myShortEntryOrder = null;
}
}

I got an error with taking trades on one direction. What is the problem on code?
Any suggestions? Please help?

If I remember right, you can do that with StopLimit() orders, but you certainly cannot do it with Limit() orders, and certainly not if the orders are protected limit orders.

As a matter of fact, you cannot even do it manually and achieve a result that makes sense. The first order will put you in long, and the next order would simply take you back flat, leaving your 4 protective OCO orders in place. Try it on the DOM in SIM and you will see what I mean.