OnMarketData() StopLoss

[fercho]

Hi I'm trying to work with a StopLoss that triggers from Live Market Data. It works ok, but the when strategy is enabled, the first Long order it's submitted inmediately, altought CalculateOnBarClose= true....

I know I can use SetStopLoss on initialize but, I'm just trying to understand the OnMarketData object for further developing code...

Thanks in advance...

#region Variables

//Stop Loss
private double sT = 0.001;

#endregion

protected override void Initialize()

{
//Settings
ExitOnClose = false;
CalculateOnBarClose = true;

Add(PeriodType.Day, 1);
}

protected override void OnBarUpdate()

{
if (CurrentBars[0] > 50
&& CurrentBars[1] > 5);

if (BarsInProgress == 0)

{
if (Positions[0].MarketPosition == MarketPosition.Flat)

if (Close[0] >= Open[0])

{
EnterLong(100000, "Long");
}
}
}

protected override void OnMarketData(MarketDataEventArgs e)

{
if (BarsInProgress == 0)

{
//Exit Long-----------------------------------------------------------------------
if (Positions[0].MarketPosition == MarketPosition.Long)

if (e.MarketDataType == MarketDataType.Last)

{
//Stop Loss ---------------------------------------------------------------------
if (Position.GetProfitLoss(e.Price, PerformanceUnit.Percent) < -ST)

{
ExitLong("Stop Loss", "Long");
}
}
}
}

#region Properties

[Description("Stop Loss")]
[GridCategory("Parameters")]
private double ST
{
get { return sT; }
set { sT = Math.Max(0, value); }
}

#endregion

[NinjaTrader_PatrickH]

Hello fercho,

Thank you for your post.

Please go to the NinjaTrader Control Center > Tools > Options > Strategies > NinjaScript. Is the 'Immediately submit live working historical orders' option enabled?
If so, then this is why you are seeing the orders submitted on start up of the strategy.

For information on the Strategies tab of the Options menu please visit the following link: http://www.ninjatrader.com/support/h...tegies_tab.htm

[fercho]

It's on "wait until flat before executing live"

[NinjaTrader_PatrickH]

Hello fercho,

Thank you for your response.

At the beginning of the OnBarUpdate() method try using a Historical check:

if(Historical)
return;

For information on Historical please visit the following link: http://www.ninjatrader.com/support/h...historical.htm

[NinjaTrader_PatrickH]

Hello fercho,

Thank you for your response.

Your condition to enter will always return true:

if (Close[0] >= Open[0]
|| Close[0] < Open[0])

The current price will always either be great than, equal to, or less than the Open.