Limit and Stop orders

[nlaporte]

Dear all,

On hourly chart, I implemented a below breakout channel using limit and stop orders:
<<
if (Close[0] < upEntryTarget)
EnterLongStop((int) Math.Round(tradeAUM), upEntryTarget, "LS");
if (Close[0] > upEntryTarget)
EnterLongLimit((int) Math.Round(tradeAUM), upEntryTarget, "LL");
>>

Looking at some trades:
- Case 1 is OK.
- Case 2 works if price plunged to the limit order order (red line) and then rebounds to the profit limit (orange line). As this time pattern is not included (visible) in the hourly bar, I assume NT must run the simulation using higher frequency data ?

Thank you very much,
Best

Nicolas

[NinjaTrader_PatrickH]

Hello nlaporte,

Thank you for your post.

The LL entry in your screenshot, is this in real-time data or during a backtest? What is the period and interval used for this chart? Example: 1 Minute.

[nlaporte]

Hi Patrick,

The chart is 1H frequency, I use the live chart screen which enables me to see recent historical trades.
Thank you for the help,

Best,
Nicolas

[NinjaTrader_PatrickH]

Hello nlaporte,

Thank you for your response.

Please right click in your chart > select Strategies > select your strategy > is the CalculateOnBarClose set to True or False?

[nlaporte]

Hello,

I have the following: CalculateOnBarClose = true;
thank you,

Best,
Nicolas

[NinjaTrader_PatrickH]

Hello Nicolas,

Thank you for your response.

Based on your entry conditions and the settings the strategy entered appropriately. Can you provide further details on what you are inquiring here?

[nlaporte]

Hello,
Please attached the code. I am wondering if NT, using Kinetic data, places order intrabar when CalculateOnBarClose = true?
Thank you,

Best,
Nicolas

[NinjaTrader_Matthew]

Which data provider are you currently using? Do they provide real time data?

If so, your executions will happen intrabar if you're using COBC = false.

However, if the results you provided was based on historical data, the events will be processed at the end of the bar. In order to get intrabar granularity for historical orders and backtesting, you would need to program in a finer series such as 1 tick or 1 second.

Please see our Reference Sample on this topic for more information:

http://www.ninjatrader.com/support/forum/showthread.php?t=6652

As long as your data providers offers historical tick data, you can use them for backtesting purposes as well in this manner - however if they do not provide tick data, you may need another data provider such as Kinetick.