Reversing position via limit orders.

[SteveH]

I am having trouble programming a strategy that reverses positions with limit orders.

Example:
The strategy is long. When the condition is met the strategy places 2 limit orders, each with a different signalName, one to ExitLongLimit and one to EnterShortLimit. Both orders are at the same price. (There would be a protective stop working below the price).

When backtesting, when the condition is met the output window correctly shows both orders placed and neither is ignored or rejected. Consequently, the next bar closes above the sell limit price but neither order is executed.

FYI, if I use EnterShort (i.e. market order) it fills every time.

What am I doing wrong?

[coolmoss]

I believe this has to do with Ninja "internal order handling rules". Open up the help guide and search for what I put in quotes. It will explain what's going on and what you can and can't do. Sometimes you need to move to the unmanaged approach to nail down exactly how you want to submit trades.

[NinjaTrader_JC]

Hello SteveH,

Using the Managed Approach you would not be able to send an exit and an limit order in the opposite direction at the same time inside of OnBarUpdate().

The reason why using "EnterShort()" works is because NinjaTrader has some "under the hood" things going on that will exit your long position and enter a short position for you.

Using limit orders and the managed approach you would have to submit the limit order to exit out of your trade and once that is filled then submit a limit order to go in the opposite direction.

Otherwise, you may want to use the Unmanaged Approach to be able to accomplish what you would like.

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

[SteveH]

Wouldn't that issue show up in the Output window as a rejected or ignored order? I thought giving the limit orders each a unique SingalName would suffice and allow managed approach.

Is there a more complete guide to working in an Unmanaged Approach environment than the help guide http://www.ninjatrader.com/support/h...d_approach.htm ?

[NinjaTrader_JC]

Hello SteveH,

You should see that if you are using the TraceOrders = true inside of Initialize()

http://www.ninjatrader.com/support/forum/showthread.php?t=3627

For example:

1/2/2013 4:21:00 AM Entered internal PlaceOrder() method at 1/2/2013 4:21:00 AM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
1/2/2013 4:22:00 AM Entered internal PlaceOrder() method at 1/2/2013 4:22:00 AM: BarsInProgress=0 Action=Sell OrderType=Limit Quantity=0 LimitPrice=1444.00 StopPrice=0 SignalName='' FromEntrySignal=''
1/2/2013 4:22:00 AM Entered internal PlaceOrder() method at 1/2/2013 4:22:00 AM: BarsInProgress=0 Action=SellShort OrderType=Limit Quantity=1 LimitPrice=1444.00 StopPrice=0 SignalName='' FromEntrySignal=''
1/2/2013 4:22:00 AM Ignored PlaceOrder() method at 1/2/2013 4:22:00 AM: Action=SellShort OrderType=Limit Quantity=1 LimitPrice=1444.00 StopPrice=0 SignalName=Sell short' FromEntrySignal='' Reason='An Enter() method to submit an entry order has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.'
**NT** An Enter() method to submit an entry order at '1/2/2013 4:22:00 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

As for the Unmanaged Approach, that is all of our Documented methods using the Unmanaged Apporach like CancelOrder, ChangeOrder, and SubmitOrder. You may download the following strategy and see how a strategy would be coded with the Managed Approach and Unmanaged Approach as a reference.

http://www.ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=5&linkid=571

[SteveH]

I am using TraceOrders=true. here is an example of what I'm talking about. As you can see in this instance I am short at the 7pm bar. The buy to cover and long limit orders are entered and not rejected in any way. The close of the next bar is below the limit orders but not filled.

7/17/2013 7:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.312 MarketPosition=Short averange=0.00990000000000002
7/17/2013 7:00:00 PM Entered internal PlaceOrder() method at 7/17/2013 7:00:00 PM: BarsInProgress=0 Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=1.3119 StopPrice=0 SignalName='ExitShort' FromEntrySignal='EnterShort'
7/17/2013 7:00:00 PM Entered internal PlaceOrder() method at 7/17/2013 7:00:00 PM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.3119 StopPrice=0 SignalName='EnterLong' FromEntrySignal=''
7/17/2013 8:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3118 MarketPosition=Short averange=0.00990000000000002

If these orders violate the Managed Approach, shouldn't those orders and been ignored or rejected?

[NinjaTrader_JC]

Hello SteveH,

They should be ignored correct, can you clear your Output window and show me the first few lines of your Output window?

[SteveH]

8/1/2013 8:00:00 AM CancelAllOrders: BarsInProgress=0
**NT** Disabling NinjaScript strategy 'ECHseLimitTest/4f57ce76bc794779967e3bdc7dbabf85'
**NT** Enabling NinjaScript strategy 'ECHseLimitTest/4f57ce76bc794779967e3bdc7dbabf85' : On starting a real-time strategy - StrategySync=WaitUntilFlat SyncAccountPosition=False EntryHandling=AllEntries EntriesPerDirection=1 StopTargetHandling=ByStrategyPosition ErrorHandling=StopStrategyCancelOrdersClosePositio ns ExitOnClose=False Set order quantity by=Strategy ConnectionLossHandling=KeepRunning DisconnectDelaySeconds=10 CancelEntryOrdersOnDisable=False CancelExitOrdersOnDisable=True CalculateOnBarClose=True MaxRestarts=4 in 5 minutes
6/12/2013 2:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.333 MarketPosition=Flat averange=0.00192000000000001
6/12/2013 3:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3334 MarketPosition=Flat averange=0.00384000000000002
6/12/2013 4:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3341 MarketPosition=Flat averange=0.00576000000000003
6/12/2013 6:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3339 MarketPosition=Flat averange=0.00768000000000004
6/12/2013 7:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3344 MarketPosition=Flat averange=0.00960000000000005
6/12/2013 8:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.336 MarketPosition=Flat averange=0.00974000000000004
6/12/2013 9:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3356 MarketPosition=Flat averange=0.00992000000000002

[NinjaTrader_JC]

Hello SteveH,

Could you send more of this Output window so that it shows you have enter an order and the tried to send the ExitLimit order and EnterLimit order in the opposite direction?

[SteveH]

8/1/2013 8:00:00 AM CancelAllOrders: BarsInProgress=0
**NT** Disabling NinjaScript strategy 'ECHseLimitTest/4f57ce76bc794779967e3bdc7dbabf85'
**NT** Enabling NinjaScript strategy 'ECHseLimitTest/4f57ce76bc794779967e3bdc7dbabf85' : On starting a real-time strategy - StrategySync=WaitUntilFlat SyncAccountPosition=False EntryHandling=AllEntries EntriesPerDirection=1 StopTargetHandling=ByStrategyPosition ErrorHandling=StopStrategyCancelOrdersClosePositio ns ExitOnClose=False Set order quantity by=Strategy ConnectionLossHandling=KeepRunning DisconnectDelaySeconds=10 CancelEntryOrdersOnDisable=False CancelExitOrdersOnDisable=True CalculateOnBarClose=True MaxRestarts=4 in 5 minutes
6/12/2013 2:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.333 MarketPosition=Flat averange=0.00192000000000001
6/12/2013 3:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3334 MarketPosition=Flat averange=0.00384000000000002
6/12/2013 4:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3341 MarketPosition=Flat averange=0.00576000000000003
6/12/2013 6:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3339 MarketPosition=Flat averange=0.00768000000000004
6/12/2013 7:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3344 MarketPosition=Flat averange=0.00960000000000005
6/12/2013 8:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.336 MarketPosition=Flat averange=0.00974000000000004
6/12/2013 9:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3356 MarketPosition=Flat averange=0.00992000000000002
6/12/2013 10:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3359 MarketPosition=Flat averange=0.0101
6/12/2013 11:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3356 MarketPosition=Flat averange=0.01028
6/13/2013 12:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3356 MarketPosition=Flat averange=0.01046
6/14/2013 12:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3352 MarketPosition=Flat averange=0.0105
6/14/2013 1:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3359 MarketPosition=Flat averange=0.0105
6/14/2013 2:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3342 MarketPosition=Flat averange=0.0105
6/14/2013 3:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3331 MarketPosition=Flat averange=0.01042
6/14/2013 4:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3336 MarketPosition=Flat averange=0.01008
6/14/2013 5:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3322 MarketPosition=Flat averange=0.00911999999999997
6/14/2013 6:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3326 MarketPosition=Flat averange=0.00811999999999999
6/14/2013 7:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3315 MarketPosition=Flat averange=0.00716000000000001
6/14/2013 8:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3322 MarketPosition=Flat averange=0.00651999999999999
6/14/2013 8:00:00 AM Entered internal PlaceOrder() method at 6/14/2013 8:00:00 AM: BarsInProgress=0 Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=1.3321 StopPrice=0 SignalName='ExitShort' FromEntrySignal='EnterShort'
6/14/2013 8:00:00 AM Ignored PlaceOrder() method: Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=1.3321 StopPrice=0 SignalName='ExitShort' FromEntrySignal='EnterShort' Reason='This was an exit order but no position exists to exit'
6/14/2013 8:00:00 AM Entered internal PlaceOrder() method at 6/14/2013 8:00:00 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.3321 StopPrice=0 SignalName='EnterLong' FromEntrySignal=''
6/14/2013 9:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3331 MarketPosition=Long averange=0.00613999999999999
6/14/2013 10:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3346 MarketPosition=Long averange=0.00637999999999996
6/14/2013 10:00:00 AM Entered internal PlaceOrder() method at 6/14/2013 10:00:00 AM: BarsInProgress=0 Action=Sell OrderType=Limit Quantity=1 LimitPrice=1.3347 StopPrice=0 SignalName='ExitLong' FromEntrySignal='EnterLong'
6/14/2013 10:00:00 AM Ignored PlaceOrder() method at 6/14/2013 10:00:00 AM: Action=Sell OrderType=Limit Quantity=1 LimitPrice=1.3347 StopPrice=0 SignalName=ExitLong' FromEntrySignal='EnterLong' Reason='An Exit() method to submit an exit order has been ignore. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.'
**NT** An Exit() method to submit an exit order at '6/14/2013 10:00:00 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.
6/14/2013 10:00:00 AM Entered internal PlaceOrder() method at 6/14/2013 10:00:00 AM: BarsInProgress=0 Action=SellShort OrderType=Limit Quantity=1 LimitPrice=1.3347 StopPrice=0 SignalName='EnterShort' FromEntrySignal=''
6/14/2013 11:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3336 MarketPosition=Long averange=0.00665999999999993
6/14/2013 12:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3326 MarketPosition=Long averange=0.00689999999999991

[NinjaTrader_JC]

Hello SteveH,

So orders are getting Ignored with the following:

**NT** An Exit() method to submit an exit order at '6/14/2013 10:00:00 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

Looking at how your orders are being submitted you should be able to just call the EnterLimit method in the opposite direction and NinjaTrader will submit an order to Close your Position and open one in that direction for you.

For example if you are in a Long Position you may call the EnterShortLimit() method.

Let me know if that will works for you.

[SteveH]

Using just EnterLimitShort or EnterLimitLong does not work. Here is the trade code:



if (condition1 = true
&& Position.MarketPosition != MarketPosition.Short)
{
EnterShortLimit((Close[0] + entrymargin));
}

Meaning: if the short condition test is satisfied and it is not short, go short.

This code will execute a trade if the strategy is flat but will not execute a trade if the strategy is already long. I guess I'm going to have to learn Unmanaged Approach. Suggestion: your canned trade language should allow limit reversals

[NinjaTrader_JC]

Hello SteveH,

You can use a limit for a reversal here is a sample script that demonstrates this.

Is your Limit order getting canceled by chance or can you attach what your Output window says?

[koganam]

Using just EnterLimitShort or EnterLimitLong does not work. Here is the trade code:



if (condition1 = true
&& Position.MarketPosition != MarketPosition.Short)
{
EnterShortLimit((Close[0] + entrymargin));
}

Meaning: if the short condition test is satisfied and it is not short, go short.

This code will execute a trade if the strategy is flat but will not execute a trade if the strategy is already long. I guess I'm going to have to learn Unmanaged Approach. Suggestion: your canned trade language should allow limit reversals

Do you have a protective StopLoss order on your Long position?

[SteveH]

I copied the sample code into my strategy in place of my limit order. The first time a reversal is called for it didn't reverse (see 6/12/13 6:00am). It also enters an order for 1 contract which would be an exit, not a reversal. Here is the Output:

7/30/2013 3:00:00 PM CancelAllOrders: BarsInProgress=0
**NT** Disabling NinjaScript strategy 'ECHseLimitTest/4cbbbe7cd6524877b6575cc00cfaca7c'
**NT** Enabling NinjaScript strategy 'ECHseLimitTest/4cbbbe7cd6524877b6575cc00cfaca7c' : On starting a real-time strategy - StrategySync=WaitUntilFlat SyncAccountPosition=False EntryHandling=AllEntries EntriesPerDirection=1 StopTargetHandling=ByStrategyPosition ErrorHandling=StopStrategyCancelOrdersClosePositio ns ExitOnClose=False Set order quantity by=Strategy ConnectionLossHandling=KeepRunning DisconnectDelaySeconds=10 CancelEntryOrdersOnDisable=False CancelExitOrdersOnDisable=True CalculateOnBarClose=True MaxRestarts=4 in 5 minutes
6/10/2013 2:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3262 MarketPosition=Flat averange=0.00183999999999997
6/10/2013 3:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3257 MarketPosition=Flat averange=0.00367999999999995
6/10/2013 4:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3259 MarketPosition=Flat averange=0.00551999999999993
6/10/2013 6:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3257 MarketPosition=Flat averange=0.0073599999999999
6/10/2013 7:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3253 MarketPosition=Flat averange=0.00919999999999987
6/10/2013 8:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.326 MarketPosition=Flat averange=0.00919999999999987
6/10/2013 9:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3252 MarketPosition=Flat averange=0.00919999999999987
6/10/2013 10:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3279 MarketPosition=Flat averange=0.0093999999999999
6/10/2013 11:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3273 MarketPosition=Flat averange=0.00983999999999989
6/11/2013 12:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3272 MarketPosition=Flat averange=0.0101599999999999
6/11/2013 1:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3263 MarketPosition=Flat averange=0.0104799999999999
6/11/2013 2:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3267 MarketPosition=Flat averange=0.0107999999999999
6/11/2013 3:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3269 MarketPosition=Flat averange=0.0109199999999999
6/11/2013 4:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3281 MarketPosition=Flat averange=0.0107999999999999
6/11/2013 5:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3281 MarketPosition=Flat averange=0.0109799999999999
6/11/2013 6:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3269 MarketPosition=Flat averange=0.011
6/11/2013 7:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3282 MarketPosition=Flat averange=0.01098
6/11/2013 8:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3239 MarketPosition=Flat averange=0.0103600000000001
6/11/2013 9:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.327 MarketPosition=Flat averange=0.00964000000000009
6/11/2013 9:00:00 AM Entered internal PlaceOrder() method at 6/11/2013 9:00:00 AM: BarsInProgress=0 Action=SellShort OrderType=Limit Quantity=1 LimitPrice=1.3271 StopPrice=0 SignalName='' FromEntrySignal=''
6/11/2013 10:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3274 MarketPosition=Short averange=0.00900000000000012
6/11/2013 11:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3278 MarketPosition=Short averange=0.00852000000000013
6/11/2013 12:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3278 MarketPosition=Short averange=0.00808000000000013
6/11/2013 1:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3296 MarketPosition=Short averange=0.00824000000000016
6/11/2013 2:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3308 MarketPosition=Short averange=0.00850000000000017
6/11/2013 3:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3316 MarketPosition=Short averange=0.00852000000000017
6/11/2013 4:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3316 MarketPosition=Short averange=0.00854000000000017
6/11/2013 6:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3315 MarketPosition=Short averange=0.00856000000000017
6/11/2013 7:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3313 MarketPosition=Short averange=0.00858000000000017
6/11/2013 8:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3315 MarketPosition=Short averange=0.00860000000000016
6/11/2013 9:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.331 MarketPosition=Short averange=0.00860000000000016
6/11/2013 10:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.331 MarketPosition=Short averange=0.00860000000000016
6/11/2013 11:00:00 PM - ECHseLimitTest / OnBarUpdate: Close=1.3312 MarketPosition=Short averange=0.00860000000000016
6/12/2013 12:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3307 MarketPosition=Short averange=0.00860000000000016
6/12/2013 1:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3296 MarketPosition=Short averange=0.00860000000000016
6/12/2013 2:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3313 MarketPosition=Short averange=0.00860000000000016
6/12/2013 3:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3307 MarketPosition=Short averange=0.00896000000000012
6/12/2013 4:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3297 MarketPosition=Short averange=0.00932000000000008
6/12/2013 5:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.328 MarketPosition=Short averange=0.00968000000000004
6/12/2013 6:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3283 MarketPosition=Short averange=0.00956000000000001
6/12/2013 6:00:00 AM Entered internal PlaceOrder() method at 6/12/2013 6:00:00 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.3282 StopPrice=0 SignalName='' FromEntrySignal=''
6/12/2013 6:00:00 AM Ignored PlaceOrder() method at 6/12/2013 6:00:00 AM: Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.3282 StopPrice=0 SignalName=Buy' FromEntrySignal='' Reason='An Enter() method to submit an entry order has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.'
**NT** An Enter() method to submit an entry order at '6/12/2013 6:00:00 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.
6/12/2013 7:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3272 MarketPosition=Short averange=0.00943999999999998
6/12/2013 7:00:00 AM Entered internal PlaceOrder() method at 6/12/2013 7:00:00 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.3271 StopPrice=0 SignalName='' FromEntrySignal=''
6/12/2013 8:00:00 AM - ECHseLimitTest / OnBarUpdate: Close=1.3292 MarketPosition=Short averange=0.00877999999999996
6/12/2013 8:00:00 AM Entered internal PlaceOrder() method at 6/12/2013 8:00:00 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.3291 StopPrice=0 SignalName='' FromEntrySignal=''