Order Handling Rules: How can I switch sides with limit orders?

[Pete S]

I am running into the internal order handling rules again. My strategy works fine with market orders. I am modifying it to use limit orders. In a backtest, it is failing to place some orders. The situation is:

1. Place two long orders with unique signals (EnterLongLimit), get filled, immediately set a different profit target for each
2. Meet conditions to switch sides (NOT hit the profit target), place two short orders with EnterShortLimit

If I comment out the calls to SetProfitTarget, it works most of the time, but occasionally the second EnterShortLimit fails anyway.

[NinjaTrader_Dierk]

Right, two concurrent entry orders are not supported at this time.

[Pete S]

I don't think this is the situation -- I don't have long and short orders open at the same time. I thought what I am doing is legal as long as I am using UniqueEntries.

[NinjaTrader_Dierk]

Got it. Did you check on TraceOrders?

You would need to cancel out the targets before entering the opposite side with a non-market order.

[Pete S]

Is this the right code to cancel the profit targets? I've tried this and it doesn't change anything.

int n;
for (n = 0; n < Orders.Count; n++)
   CancelOrder(Orders[n]);

[NinjaTrader_Dierk]

Hmm ... did not try that before. Likely will not work on backtest.

Here are your options:
- drop built in SetStopLoss/Target conecpt and code stop target by yourself (well, not really an option...)
- use a market order as cross over. This will go without limitations
- monitor order status events to get the IOrder of the Stop/Target so you could cancel them out

We are aware that this is a tough one and will consider improvements with NT7

[whitmark]

Pete,

I had to work around this issue recently and found the best way to handle was Dierk's recommended approach #3 to use the IOrder approach vs Set() exits and track the targets/stops to then cancel them prior to submitting the reversing entry.

Regards,

Whitmark

[NinjaTrader_JoshP]

These two reference samples may be of use to you: http://www.ninjatrader-support.com/v...ead.php?t=3917

http://www.ninjatrader-support.com/vb/showthread.php?t=5790

[Pete S]

Thanks guys, looks like that will work.

[nfeldberg]

Hi there,

I am a tradestasion user and evaluating your platform. I am trying to create a simple strategy that will have multiple targets, and would sometimes need to reverse with limit orders.

market order is not an option and based on your suggestion I will not try to rewrite the built-in functions.

this leaves me with the last option:
could you please point me into some sample of how to achieve it?

would it mean that if the limit price has not been hit, I will need to resubmit the target and stops or will it happen automatic?

it will be a crucial point for me, any help would be appreciated.

regards,
Nir

[NinjaTrader_Ray]

This would only be possible if you submitted the limit reverse order if you did not have any existing stops/target orders working. Is this acceptable?

[nfeldberg]

would be all right for 1 bar, if limit price will not touched than I need the original stop and targets back in place.

thx for the quick response.

[NinjaTrader_JoshP]

You can try submitting the limit order you want and on the next bar check that limit order's IOrder status. If the order is not in a state you find acceptable cancel it and quickly add on the stop & target orders.

[nfeldberg]

thx,

could anyone help me to find a sample how to cancel the stop and profit orders that been created by SetProfit() and SetStop(), before I am submitting my new reversing limit order?

thx
nir

[NinjaTrader_Ray]

You can't cancel orders generated by those methods. You would have to use the ExitLongLimit(), ExitLongStop() methods etc.. Check out the Help Guide section for advanced order handling.

http://www.ninjatrader-support.com/HelpGuideV6/AdvancedOrderHandling.html