Trades per session

[hliboi]

Hello,

Im trying to set a limit mumber of trades per session and not per day.
I have the following code wich is limiting trades per day and not by session.
Please assist.

Thanks

protected override void OnBarUpdate()

if (base.Bars.FirstBarOfSession)
				
				
                                if (Performance.AllTrades.Count >= MaxTradesPerSession && MaxTradesPerSession != 0)
				{return;}
        {

[NinjaTrader_Bertrand]

hliboi, I would suggest checking into those two references here with alternate approaches -

http://www.ninjatrader.com/support/forum/showthread.php?t=19182

http://www.ninjatrader.com/support/forum/showthread.php?t=19289

The AllTrades count would always be all your your trade done, historical as well as realtime - it would per se not reset at breaks, thus you would either need to custom count your trade entries per session piece or calcuate the trades done via first storing the all trades values at the session break.

[hliboi]

no go

Hello Bertrand,

Thanks but its not working.
Here is my OnBarUpdate

		
[SIZE="3"][SIZE="2"]protected override void OnBarUpdate()
        {
			EntryHandling		= EntryHandling.UniqueEntries;
		
			
//	Daily Loss
            if (base.Bars.FirstBarOfSession && FirstTickOfBar)
				priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;
//				tradeCounter = 0;
				

			// *** Calculate the total profit (cumulative profit minus prior profit plus the current position profit 
			double myMaxProfit = maxprofit;
			double myMaxLoss = maxloss;
			double cumProfit = (double) Performance.AllTrades.TradesPerformance.Currency.CumProfit;
			double curPosition = (double) Position.GetProfitLoss(Close[0], PerformanceUnit.Currency);
			double totCumProfit = (double) (cumProfit - priorCumProfit) + curPosition ;
					
	
			// *** STOP the strategy! if a total profit or loss exceeds the max
				if (totCumProfit <= myMaxLoss || totCumProfit >= myMaxProfit)
				{
				if (Position.MarketPosition == MarketPosition.Long) {ExitLong("DMA: Exit Long ", "");}
				if (Position.MarketPosition == MarketPosition.Short) {ExitShort("DMA: Exit Short", "");}
				return;
				}
				

//working with maxtradesperday

				if (Performance.AllTrades.Count >= maxTradesPerDay && maxTradesPerDay != 0)
				{return;} 
       
         
			if (base.ToTime(base.Time[0]) < this.startTimeInt * 100 && this.startTimeInt > 0)
           		 {
             	   return;
          		  }
			
			if (base.ToTime(base.Time[0]) >= this.exitTimeInt * 100 && this.exitTimeInt > 0)
            {
				if (base.Position.MarketPosition == MarketPosition.Long)
                {
                    base.ExitLong();
                }
                if (base.Position.MarketPosition == MarketPosition.Short)
                {
                    base.ExitShort();
                }
                return;
            }

		if (base.ToTime(base.Time[0]) <= this.lastEntryTimeInt * 100 || this.lastEntryTimeInt == 0)
			{	
			
			ManageOrders();
	
// Not Working maxtradespersession
			
		if (tradeCounter < MaxTradesSession && Position.MarketPosition == MarketPosition.Flat)				
				{
                
			
			if (Position.MarketPosition != MarketPosition.Flat) return;
			
			if (Long logic)
				
			{GoLong();
				tradeCounter++;}
			
			else if (Short Logic)
			
				{GoShort();
				tradeCounter++;}
				
              }
       		 }
	
			
		}[/SIZE][/SIZE]

[NinjaTrader_Bertrand]

hliboi, so what outcome do you exactly see with the tradeCounter approach used? You would need to keep in mind here the counter would be increased if your logic to place an orders triggers, here you would not take into consideration if you were for example actually getting a fill or not. So results could differ in this respect from the performance class approach.

[hliboi]

I'm getting a max of XX trades per day as determined.
But trades per session is not limiting anything. It continues to ignore it making more that XX trades per session.

My session template has 4 sessions in one day. I would like to limit the trades per session that would create the possibility to have a maximum amount of trades per day but also limit the amount of trades per session.

Thanks

[NinjaTrader_Bertrand]

Thanks for clarifying, seems I missed something about your snippet provided earlier -

if (base.Bars.FirstBarOfSession && FirstTickOfBar)
				priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;
//				tradeCounter = 0;

please change this to -

 if (base.Bars.FirstBarOfSession && FirstTickOfBar)
{
    priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;
    tradeCounter = 0;
}

As otherwise you would never reset your counter or reset on every bar (if you just had your outcomment // removed and not changed the bracing).

[hliboi]

Sorry to bother you again Bertrand,

Its still not working. Getting my maximum number of trades per day but its ignoring the max trades per session. I've put 3 trades per session so at maximum one should have 12 trades per day. I've put the maximum trades per day at 21 for instance and sure enough it only makes 21 trades when it should only make 12.

Thank You

[NinjaTrader_Bertrand]

No worries, we will get to the core of it. What session template do you exactly use and how do you judge it's doing too many trades per session segment defined? If you print the tradeCounter from OnBarUpdate() would it actually exceed then your set MaxTradesPerSession #?

To debug further why this occurs I would

a) print all variables in your code that would affect this part of logic
b) leave the max trades per day logic out
c) just set for example 1 entry per session for now and work to get this handled correctly, as will be easier to oversee things with a lower trade # overall

[hliboi]

Bertrand, I got it working.
Ive moved the session code to the top and did the logic like MaxTradesPerDay.

Posting the code below.

Thanks for your help and hints.

  if (Bars.FirstBarOfSession )
			{
  			  priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;
  			  tradeCounter = 0;
			}
			if (tradeCounter >= MaxTradesSession && MaxTradesSession != 0
				)
                {
				   return;
           		}