Extended session and stops

[arnonmoscona]

Hi!

When running a strategy that manages stops (typically I use trailing stops) and holds positions overnight, I am running a serious risk of stops triggering on extended session "noise". You can get these crazy spikes on many ETFs and other instruments that are active in the extended session.

Is there any way to protect against this? I would even consider cancelling all stops after the session close and reactivating them after the session opens (realizing that I can miss the first minute of the session - where a stop may "legitimately" trigger)

I realize that for fixed stops I could just move the stop way off, but for trailing stops I cannot see any NinjaScript mechanism to do this. I don't see a way to cancel the trailing stop once it's been set and the stop would only advance in one direction in the case of a trailing stop...

BTW I use Interactive Brokers, so if there is a way to do it there - that would be good too. Also, I use real working orders for stops, not simulated stops (simulated stops do not survive crashes, data disconnects, etc.)

Any ideas?

[NinjaTrader_Joydeep]

Hello arnonmoscona,
Unfortunately you can do very little if you are using the SetTrailStop. You can use the unsupported CancelAllOrders to cancel the trail stop.

Alternatively you can also filter the bad ticks.

• In Control Center menu bar goto Tools>Options...
• In the Optiosn dialog click on the Data tab.
• Check Filter bad ticks and set an appropriate value

Please let me know if I can assist you any further.

[arnonmoscona]

Unfortunately neither is really a solution. Cancelling all orders will cancel all orders - not only for the running strategy, correct? And filtering ticks would not affect working (or accepted) orders at the broker. That approach will only work with simulated stops, which are exposed to disconnects (no actual stop at the broker).

Does anybody know what happens if you do a CancelAllOrders and subsequently do a SetTrailStop again? From what I understand, this may be the only available path...

Arnon

[NinjaTrader_Joydeep]

Hello arnonmoscona,
Correct, it will work for simulated orders only. Not for working or accepted orders.

Unfortunately CancelAllOrders is not supported at our end. May be some forum member can through more light on it.

[arnonmoscona]

Yes. Thank you. I realize that it is unsupported - that's why I addressed the follow up question to "anyone" - hoping that some other forum reader may contribute...

[arnonmoscona]

Feature request:

In TWS (Interactive Brokers) there is an checkbox on orders "Fill/trigger outside RTH" (see attachment).
When I use TWS manually this defaults to not checked (do not fill outside RTH). When orders are issued by NT, the checkbox is checked.

It entirely solve the problem if you add a feature to allow the user to set this default (either in NinjaScript or in the IB connection options, or something like that). This would entirely solve the problem discussed here. This would be in line with existing time in force type features that you already have.

Please consider this as a feature request for the next version. It really affects all traders who hold overnight positions with stops of any kind.

Thanks

[NinjaTrader_Joydeep]

Hello armonmoscona,
I will forward your feature request to development.

Please let me know if I can assist you any further.

[NinjaTrader_Joydeep]

Hello armonmoscona,
You can set configure the "Trigger after hour" option in the IB account connection to "Fill/trigger outside RTH".

• In Control Center menu bar goto Tools>Account connections...
• In the Account connection dialog select your Ib account connection and click on the Change button.
• In the connection options please uncheck Trigger after hour

Please let me know if I can assist you any further.