How to get number of entries the strategy has established?

[dmitry75]

Hi,

My strategy uses multiple entries per direction. Is there any simple way to obtain the exact number of entries the strategy has made at any given time?

Thank you.

[NinjaTrader_Lance]

While there isn't a built in method to call, you can do this with custom variable tracking.

Depending on the type of script you're working with you could either increment the variable each time an enter method was called or each time on execution completely filled the order.

Info on using OnExecution if you're doing advanced order handling: http://www.ninjatrader.com/support/h...nexecution.htm

You would then reset or decrease the variable as exit orders were filled. This part would be easier with on execution but you could probably get something to work by monitoring market position or trade performance in OnBarUpdate()

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?marketposition.htm

Let me know if I can further assist.

[NinjaTrader_Lance]

Or if you're looking for just a count of all trades taken you can use this

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?alltrades.htm

[dmitry75]

If I decide to go with OnExecution, how do I know that the order is completely filled? Looks like it generates multiple executions.

[NinjaTrader_Lance]

Hello,

You can use something like this

if (execution.Order.OrderState != OrderState.PartFilled)
{
//when the final share/lot is filled this will be true
}

See the example found here for how this is used in a script

http://www.ninjatrader.com/support/forum/showthread.php?t=7499

Let me know if I can further assist.

[dmitry75]

I don't use IOrder and IExecution objects to submit orders. Can I still use OnExecution just for the purpose of obtaining the number of entries my strategy has made?

[NinjaTrader_Lance]

If you're using signal names with your entries/exits you could probably catch the name and evaluate accordingly

execution.Name

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?iexecution.htm

That being said I would suggest the usage of IOrders if you plan on monitoring advanced handling in OnExecution()

To clarify are you trying to get the total number of trades taken total? Or are you trying to find out the largest number of trades taken at once?

[dmitry75]

I need to know the exact number of completely filled orders (entries) at any given time. For example: if I set Entries per direction = 10 and my strategy entered Long position 3 times, I need to obtain the number 3. The problem is that if I use something like "if (execution.Order.OrderState != OrderState.PartFilled)" is returns true for each of multiple executions (within each order) so I cannot increment the variable each time OnExecution is called.

[NinjaTrader_Lance]

Is an order that has been closed out still something you want to monitor?
If not then the OnExecution() with IOrder route is probably your best bet.

A while back I created a strategy that I needed to determine the number of active open orders (entries with different prices) that were filled. Once they each stopped out I would reset the value

To do this I increased the counter when an order was fully filled in OnExecution and when the orders were stopped out I decreased the counter in OnExecution as well.

If you're not worried about partial fills you could do this in OnBarUpdate by increasing it each time the entry order is called.

Then you would need to check if you're currently flat, if you were flat you would know to reset the counter. This would only work if each your entries were exited at the same time.

Otherwise I think you would have to track this in OnExecution()

I'll leave this open to see if anyone else has other suggestions.

[koganam]

I need to know the exact number of completely filled orders (entries) at any given time. For example: if I set Entries per direction = 10 and my strategy entered Long position 3 times, I need to obtain the number 3. The problem is that if I use something like "if (execution.Order.OrderState != OrderState.PartFilled)" is returns true for each of multiple executions (within each order) so I cannot increment the variable each time OnExecution is called.

In that case you pretty much must use IOrders, so that you can track exactly what happens to each order. Verify your order action results by using OnPositionUpdate().

[dmitry75]

Lance, thank you for your prompt responses. I decided to use IOrders and it works nicely.