FirstBarOfSession problem

[Ragdoll]

I have a strategy that runs on 5 minute bars. The buy signal occurs when the close of the current bar occurs above the high of the first bar of the session. The problem is after one minute the enterlong command fires at a significantly higher price than the current price. here is the enterlong code

 
 
/// Rule 1; enter long if close above first bar high...;
if (Bars.FirstBarOfSession)
{ 
return;
}
else
{ barOne = Bars.BarsSinceSession;
myStop = ExitLongStop(Low[barOne],"initial","Entry");
if (Close[0] > High[barOne] && Position.Quantity == 0)
{ 
firstTime = false;
Print(CurrentBar);
 
if (!firstTime)
{
firstTime = true;
EnterLong("Entry");
barLong = 0;
size = Position.Quantity;
mxi = 0;
 
}
}
}

Question 1; Why is this not waiting on the bar to complete?
question 2; Why is the slippage so high?

[NinjaTrader_Lance]

Is calculate on bar close set to true or false? Is this a real time trade or historical trade?

The logic here is a little hard for me to read, would you mind posting the .cs file? Located in (MY)Documents\NinjaTrader 7\bin\Custom\Strategy

Ultimately the script will need to be debugged and tips for this can be found here: http://www.ninjatrader.com/support/f...ead.php?t=3418

Also instead of checking the position you can use this to check for flat or not: http://www.ninjatrader.com/support/h...etposition.htm

Let me know how I can further assist.

[Ragdoll]

Here is the file.
To answer your questions this occurred in both real time and I was able to recreate the problem in market replay. Calculate on bar close is true. The Print(CurrentBar) returned a value of 307. I'm assuming that is probably random.

While I appreciate the troubleshooting tips, I have been coding and troubleshooting code for over 30 years. That being said please understand that this is a work in progress and as such contains a lot of print statements and extraneous comments.

[NinjaTrader_Lance]

CurrentBar will print out the current bar as it corresponds to total number of bars on the chart.

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

As for why you received a higher than expected fill, what instrument and what time/timezone was this trade at?

Additionally you'll want to ensure you're in a position before placing an exit long
myStop = ExitLongStop(Low[barOne],"initial","Entry");

As this order would be ignored.

Here is a good script for learning more about IOrders and advanced handling: http://www.ninjatrader.com/support/f...ead.php?t=7499

Let me know how I can further assist.

[Ragdoll]

The instruments were aapl and rgr. They are both stocks AAPL is on the Nasdaq and RGR is on Nyse. Timezone is eastern. They both fired before the first bar finished. Session is US Equities RTH


I am counting on the ExitLongStop being ignored until a position is established. That part works fine. The primary problem is the first bar of session call.

[NinjaTrader_Lance]

After testing this script further I've found that it's entering off of the condition from the bar at the end of the prior session. Once the first tick of the new session comes in it's triggering an entry.

You will need to implement logic to prevent trading off of the final candle of the prior session.
Let me know if I can further assist.

[Ragdoll]

I HAVE! It's called FirstBarOfSession!

[NinjaTrader_Lance]

Yes that will identify the first bar of the session, but your trade is coming from the prior bar.

On the last bar this is triggering

{ 
				barOne = Bars.BarsSinceSession;
			  	myStop = ExitLongStop(Low[barOne],"initial","Entry");
				if (Close[0] > High[barOne] && Position.Quantity == 0)
					{	
						firstTime = false;
						Print(CurrentBar);
						
						if (!firstTime)
						{
							firstTime = true;
							[B]EnterLong("Entry");[/B]
							barLong = 0;
				 			size = Position.Quantity;
							mxi = 0;
							
						}
					}
			}

Let me know if I can further assist

[Ragdoll]

I realize the EnterLong is being triggered but this code should keep it from ever getting there!

 
/// Rule 1; enter long if close above first bar high...;
i[B]f (Bars.FirstBarOfSession)[/B]
[B]{ [/B]
[B]return;[/B]
[B]}[/B]
else
{ barOne = Bars.BarsSinceSession;
myStop = ExitLongStop(Low[barOne],"initial","Entry");
if (Close[0] > High[barOne] && Position.Quantity == 0)
{ 
firstTime = false;
Print(CurrentBar);
 
if (!firstTime)
{
firstTime = true;
EnterLong("Entry");
barLong = 0;
size = Position.Quantity;
mxi = 0;
 
}
}
}

[NinjaTrader_Lance]

Hello,

This line of code prevents the first bar from getting past this point.

However the first bar is not the bar triggering the entry.

It is the final bar of the last session. When the final bar closes, this is where your entry is taking place.

A bar will not register as closed until the next tick of the following bar comes in: http://www.ninjatrader.com/support/h..._are_built.htm

Let me know if I can further assist.

[Ragdoll]

So if I am reading this right this code should work.

 
 
/// Rule 1; enter long if close above first bar high...;
if (Bars.FirstBarOfSession)
{ 
return;
}
else
{ barOne = Bars.BarsSinceSession;
myStop = ExitLongStop(Low[barOne],"initial","Entry");
if (Close[0] > High[barOne] && Position.Quantity == 0)
{ 
firstTime = false;
Print(CurrentBar);
 
[B]if (!firstTime && !FirstTickOfBar)[/B]
{
firstTime = true;
EnterLong("Entry");
barLong = 0;
size = Position.Quantity;
mxi = 0;
 
}
}
}

[NinjaTrader_Lance]

You will likely have the same issue with this as well.

FirstTickOfBar is only a factor when CalculateOnBarClose = false

In your case you would need to add some logic to prevent trading after the last bar.

If you don't need historical trades you could do this
if(Historical)
return;

Otherwise you could add some logic to your if statement to not enter long if its greater than a specified time: http://www.ninjatrader.com/support/h...tml?totime.htm

There are other ways you could do this as well but those would likely be the simplest.

Let me know if I can further assist.