no orders submitted when using BarsSinceEntry

[Toroso]

Hi,

When I use the condition BarsSinceEntry() no orders will submit. Without it, the strategy works fine but I like to avoid submit orders when there was already an order filled within 3 bars ago. I wonder what I do wrong or how I can achieve this (in maybe another way)?

Thank you in advance.

Here below is my condition:

{

// Condition set 2
if (BarsSinceEntry() > 3
&& orderId.Length == 0
&& atmStrategyId.Length == 0
&& CrossBelow(Stochastics(PeriodD, PeriodK, Smooth).K, Stochastics(PeriodD, PeriodK, Smooth).D, 1)
&& Stochastics(PeriodD, PeriodK, Smooth).K[0] <= 25
&& ADX(ADXperiode)[0] <= ADXlevel)


{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "Rood", atmStrategyId);
}
// Check for a pending entry order
if (orderId.Length > 0)
{
string[] status = GetAtmStrategyEntryOrderStatus(orderId);

// If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
if (status.GetLength(0) > 0)
{
// Print out some information about the order to the output window
Print("The entry order average fill price is: " + status[0]);
Print("The entry order filled amount is: " + status[1]);
Print("The entry order order state is: " + status[2]);

// If the order state is terminal, reset the order id value
if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
orderId = string.Empty;
}
} // If the strategy has terminated reset the strategy id
else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
atmStrategyId = string.Empty;
}

[NinjaTrader_Bertrand]

Hi Toroso, welcome to our forums - I would not expect this combination to work (BarsSinceEntry with ATMStrategyCreate), however you could custom track your last entry (CurrentBar) in a variable and then compare against this saved variable in your entry conditions to ensure potential entries are your desired bars part from the script.

[Toroso]

thank you for the reply.
I doubt what you exactly mean (i'm not really a script goeroe yet)
Can you give an example?

I don't think you mean something like below or do you?

{
// Make sure this strategy does not execute against historical data
if (Historical)
return;
if (CurrentBar < 3)
return;
{
// Condition set 1

[Toroso]

Hi Bertrand,
I tried it today but it didn't work.
So I think you mean something else, can you give a more specific example?

[NinjaTrader_JC]

Hello Toroso,

Using ATM Strategies inside of NinjaScript will only be placed in Real-Time so the if(Historical) can be left their.

I believe what Bertrand was referring to is something like the following:

private int barEntryNumber 	= -1;

protected override void OnBarUpdate()
{
     if ( CurrentBar >= (CurrentBar - barEntryNumber ) )
     {
           Print("Number of Bars Since ATM Strategy has been place is : "+(CurrentBar-barEntryNumber) );
     }    

     if ( /*Your Entry Condition*/ )
     {
            // Enter Order
            barEntryNumber = CurrentBar;
     }

}

[Toroso]

Hi,

I implemented your suggestions as below but the result was that there were no entries at all.
maybe I did something wrong or in the wrong place?


private int barEntryNumber = -3;

protected override void Initialize()
{

CalculateOnBarClose = true;
}

protected override void OnBarUpdate()
{
if (CurrentBar >= (CurrentBar - barEntryNumber ))
{
Print("Number of Bars Since ATM Strategy has been place is : "+(CurrentBar-barEntryNumber) );
}
{
// Condition set 1
if (orderId.Length == 0
&& atmStrategyId.Length == 0
&& CrossAbove(Stochastics(PeriodD, PeriodK, Smooth).K, Stochastics(PeriodD, PeriodK, Smooth).D, 1)
&& Stochastics(PeriodD, PeriodK, Smooth).K[0] <= 25
&& ADX(ADXperiode)[0] <= ADXlevel)


{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "Lichtgroen", atmStrategyId);
barEntryNumber = CurrentBar;
}

// Check for a pending entry order
if (orderId.Length > 0)
{
string[] status = GetAtmStrategyEntryOrderStatus(orderId);


// If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
if (status.GetLength(0) > 0)
{
// Print out some information about the order to the output window
Print("The entry order average fill price is: " + status[0]);
Print("The entry order filled amount is: " + status[1]);
Print("The entry order order state is: " + status[2]);

// If the order state is terminal, reset the order id value
if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
orderId = string.Empty;
}
} // If the strategy has terminated reset the strategy id
else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
atmStrategyId = string.Empty;
}

[NinjaTrader_JC]

Hello Toroso,

The code in Bold is not a part of your Entry Condition so it would not effect if your Strategy enters a Position.

You may want to use the Print() statement before you condition to check to make sure that you are getting the values that you expect for your Entry Condition. Here is a helpful thread that goes over how to debug your strategy that you may view.

http://www.ninjatrader.com/support/forum/showthread.php?t=3418