Two separate OCOs for a given entry

[darmbk]

Hi,

I have written a strategy that enters say a 2 lot with a near and wide profit target for each individual 1 lot. Both 1 lots have a trailing stop loss as well.

Problem: I currently only have one IOrder entryOrder which both OCOs are related to. If I get a nearProfitTarget fill for 1 lot and the price then retraces, my nearStopLoss triggers rather than my wideStopLoss. So, is it more efficient/elegant/correct to code up the strategy with

[A] two separate entry orders: nearEntryOrder and wideEntryOrder, or
[B] to set the nearStopLoss to null if the nearProfitTarget gets hit and vice-versa, and in doing so leaving just the wideProfitTarget and wideStopLoss to act as required?

Thanks,
darmbk.

[NinjaTrader_Matthew]

Hello,

I would recommend option B, where you're setting the stop loss to null after the profit target has been hit, etc.

Please let me know if you have any questions on how to accomplish this.

[darmbk]

Hi Matthew,

The following code snippet was intended to nullify a partner stop or profit order if the other was employed. However I am still getting the stopOrderNear being actioned after the profitTargetNear has been hit so something is not correct? Otherwise, can you suggest how to accomplish this please?

Thanks,
Dar.


protected override void OnExecution(IExecution execution)
{
.....
if ((stopOrderNear != null && stopOrderNear == execution.Order) || (targetOrderNear != null && targetOrderNear == execution.Order))
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
stopOrderNear = null;
targetOrderNear = null;
}
}

if ((stopOrderWide != null && stopOrderWide == execution.Order) || (targetOrderWide != null && targetOrderWide == execution.Order))
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
stopOrderWide = null;
targetOrderWide = null;
}
}
}

[NinjaTrader_Matthew]

Are you actually canceling the order somewhere? Or just setting it to null in OnExecution?

As a refresher, please take a look at the Using CancelOrder() method:

http://www.ninjatrader.com/support/forum/showthread.php?t=18890

[darmbk]

This is the complete listing of OnExecution. I am setting the entry order to null upon execution.

protected override void OnExecution(IExecution execution)
{
/* We advise monitoring OnExecution to trigger submission of stop/target orders instead of OnOrderUpdate() since OnExecution() is called after OnOrderUpdate()
which ensures your strategy has received the execution which is used for internal signal tracking. */
if (entryOrder != null && entryOrder == execution.Order)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
{
mostProfitablePriceSinceFillPrice = execution.Order.AvgFillPrice;

if (execution.MarketPosition == MarketPosition.Long)
{
// Stop-Loss order below our entry price
stopOrderNear = ExitLongStop(0, true, 1, execution.Order.AvgFillPrice - stopTargetNear * TickSize, "MyNearStop", "MyEntry");
stopOrderWide = ExitLongStop(0, true, 1, execution.Order.AvgFillPrice - stopTargetWide * TickSize, "MyWideStop", "MyEntry");

// Target order above our entry price
targetOrderNear = ExitLongLimit(0, true, 1, execution.Order.AvgFillPrice + profitTargetNear * TickSize, "MyNearTarget", "MyEntry");
targetOrderWide = ExitLongLimit(0, true, 1, execution.Order.AvgFillPrice + profitTargetWide * TickSize, "MyWideTarget", "MyEntry");
}
else if (execution.MarketPosition == MarketPosition.Short)
{
// Stop-Loss order below our entry price
stopOrderNear = ExitShortStop(0, true, 1, execution.Order.AvgFillPrice + stopTargetNear * TickSize, "MyNearStop", "MyEntry");
stopOrderWide = ExitShortStop(0, true, 1, execution.Order.AvgFillPrice + stopTargetWide * TickSize, "MyWideStop", "MyEntry");

// Target order above our entry price
targetOrderNear = ExitShortLimit(0, true, 1, execution.Order.AvgFillPrice - profitTargetNear * TickSize, "MyNearTarget", "MyEntry");
targetOrderWide = ExitShortLimit(0, true, 1, execution.Order.AvgFillPrice - profitTargetWide * TickSize, "MyWideTarget", "MyEntry");
}

// Resets the entryOrder object to null after the order has been filled
if (execution.Order.OrderState != OrderState.PartFilled)
{
entryOrder = null;
}
}
}

// Reset our stop order and target orders' IOrder objects after our position is closed.
if ((stopOrderNear != null && stopOrderNear == execution.Order) || (targetOrderNear != null && targetOrderNear == execution.Order))
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
stopOrderNear = null;
targetOrderNear = null;
}
}

if ((stopOrderWide != null && stopOrderWide == execution.Order) || (targetOrderWide != null && targetOrderWide == execution.Order))
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
stopOrderWide = null;
targetOrderWide = null;
}
}
}

[NinjaTrader_Matthew]

Thanks for the clarification - see what you mean now.

In this case, it'd be easier to have a separate entry order for each stop and target and set those per the entrySignal name.

Please see the attached and let me know if you have any questions

[darmbk]

Hi Matthew,

I have made these edits but am only getting one entry order occurring and not the two we are looking for. Any thoughts as to why this would happen? My two entry orders are actioned together in the code so there should be no reason that any conditions are to blame.

entryOrderNear = EnterLong(1, "MyNearEntry");
entryOrderWide = EnterLong(1, "MyWideEntry");

I attach the test code I have so far.

Thanks,
darmbk.

[NinjaTrader_Matthew]

You will want to make sure you have changed the "entries per direction" to at least 2 to process additional signals.

You could also set the Entry Handling to "Unique Entries" and leave the entries per direction to 1.

This si configured from the Order Handling section of the strategy parameters before you backtest or start live.

[darmbk]

Hi Matthew,

Thanks for solving my problem. Just to add to what you have told me based on my review of the EntryHandling entry in the Language Reference (example shown below). I believe that if I specified AllEntries and EntriesPerDirection = 2 it is possible that I could get two SMA crossover entries and no RSI cross entries if the conditions were right for the former and not the latter over two or more consecutive bar updates. Correct?

// Example #2
// EnterLong() will be processed once for each uniquely named entry.
protected override void Initialize()
{
EntriesPerDirection = 1;
EntryHandling = EntryHandling.UniqueEntries;
}

protected override void OnBarUpdate()
{
if (CrossAbove(SMA(10), SMA(20), 1)
EnterLong("SMA Cross Entry");

if (CrossAbove(RSI(14, 3), 30, 1)
EnterLong("RSI Cross Entry);

[NinjaTrader_Matthew]

If you set AllEntires and Entries Per Direction to 2, the strategy was no longer process any entry signals once there are a total 2 entries, regardless of the signal name.

This means if you had 2 SMA Cross Entries, all RSI Cross Entry would be ignored and vice versa

Since you're using AllEntires, you could end up with 1 Entry on SMA and another on RSI, and it would no longer take any entries since the total will now be 2.

Switching to Unique entries would allow up to 2 entries per each entry name. This means you could have 2 entries on SMA and 2 on the RSI at the same time.