EnterShort & EnterLong

[happypappy]

Hey guys,

Working on a strat, I'm being very particular about the amount bought at certain prices. I've tried EnterLongLimit order but it still isn't working as I expected.

Lets say I want the strategy to enter long @ exactly 1.57, it might buy at 1.58 for example, what do I use to determine the actually price, because Close[0] is lower then that. Is it GetCurrentAsk() for long and GetCurrentBid() for short?

Basically I need to adjust the amount purchased if its out, so like 1000 @ 1.57 and if the strategy slips it needs to buy 1333 @ 1.58 long.

And shorts to, its very confusing how it does not buy on Close[0]....

[koganam]

Hey guys,

Working on a strat, I'm being very particular about the amount bought at certain prices. I've tried EnterLongLimit order but it still isn't working as I expected.

Lets say I want the strategy to enter long @ exactly 1.57, it might buy at 1.58 for example, what do I use to determine the actually price, because Close[0] is lower then that. Is it GetCurrentAsk() for long and GetCurrentBid() for short?

Basically I need to adjust the amount purchased if its out, so like 1000 @ 1.57 and if the strategy slips it needs to buy 1333 @ 1.58 long.

And shorts to, its very confusing how it does not buy on Close[0]....

A Limit order should NEVER be filled at worse than the stated price. If it is, then you probably need to change your broker.

I leave it to you whether you should also probably publish your statement which shows the errant trades, just as a warning to help other traders avoid such an atrociously incompetent broker.

[NinjaTrader_Bertrand]

happypappy, for which broker and market would that be? You see this in backtesting only correct? GetCurrentAsk / Bid would just be the close price in backtesting, so would only be valid in realtime as you had a streaming Level 1 data.

You need to be mindful at what price you submit your order at, a limit above the current inside market for a buy would be marketable and the back-test will fill you, however the price will never be reported better but always you submitted at price in our conservative default fill type.

[happypappy]

Thanks for the reply's, I'm really glad I asked, currently I'm running replay data.

From experience trading EnterShortLimit() & EnterLongLimit() generally worked very well, but in this case "replay data" they don't seem to be working and it's frustrating when testing / getting this ready for the real world.

if(GetCurrentAsk() < mytarget && GetCurrentAsk() > mytarget - (1 * TickSize))
{
ExitShort();
Cleanup(opath,Instrument);
}

Here is some of mess I've started resorting to to test comfortably.......In anycase I worked out an algorithm to compensate using the quantity purchased if it slips per say. I was just wondering, I'll rewrite the code to EnterLongLimit() orders instead.

Further to that change, is their an entry event I can tie to those references? I wrote a lot of controlling code based on timing of entries it would be nice to leave EnterLongLimit() active and when it fills execute the cleanup for example.

Thanks for replies.

[happypappy]

I've answered my own question so so glad I asked,

I'll rewrite the code to EnterLongLimit() orders instead.

Further to that change, is their an entry event I can tie to those references? I wrote a lot of controlling code based on timing of entries it would be nice to leave EnterLongLimit() active and when it fills execute the cleanup for example.

Thanks for replies.

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

This has made this much neater and simpler :P Appreciate the help guys.....

[elliot5]

EnterLongLimit GetCurrentBid

When using EnterLongLimit GetCurrentBid to set the limit level.... what happens to that order if the market has moved lower by the time my order hits the exchange?

Regards to all and thx

[NinjaTrader_Jesse]

Hello,

This would likely be rejected if the limit order was received at an invalid price or above the market. The brokerage would send back a Reject and it would likely stop the strategy to prevent any other erroneous orders.

I look forward to being of further assistance.

[koganam]

When using EnterLongLimit GetCurrentBid to set the limit level.... what happens to that order if the market has moved lower by the time my order hits the exchange?

Regards to all and thx

A Limit long order above the market will be filled immediately, usually at the Ask, as any price below the Limit price means a better entry, and Limit Orders are to be filled at the stated price or better.