SetTrailStop Unmanaged

[cocopod]

Hello,

I need to submit a TrailStopLoss in an Unmanaged order. In the Documentation however there doesn't appear to be a corresponding method.

How do I achieve this?

[NinjaTrader_ChelseaB]

Hello cocopod,

To use strategy commands from the managed approach such as SetTrailStop() or SetProfitTarget() or EnterLong() you must be using the manage approach.

http://www.ninjatrader.com/support/h...d_approach.htm


If you use the unmanaged approach, you will need to submit an exit stop or stop limit order and use custom logic with ChangeOrder() to have the order trail.

http://www.ninjatrader.com/support/h...hangeorder.htm

http://www.ninjatrader.com/support/h...d_approach.htm

[cocopod]

Reinventing the wheel

Hi there,



I have seen a number of posts asking for guidance on this but for some reason I feel like I'm reinventing the wheel. Surely you have sample code for this?

Currently I'm using "SubmitOrder" to create the unmanaged order.

You seem to be suggesting that I create "an exit stop or stop limit order" that from my limited experience has no UnManaged method to facilitate the process.

Are you saying that I simply create another order -for example "StopOrder" again using the SubmitOrder command and then use code to get this to trail the main order as in the code below?




protected override void OnBarUpdate()
{
// Raise stop loss to breakeven when you are at least 4 ticks in profit
if (stopOrder != null && stopOrder.StopPrice < Position.AvgPrice && Close[0] >= Position.AvgPrice + 4 * TickSize)
ChangeOrder(stopOrder, stopOrder.Quantity, stopOrder.LimitPrice, Position.AvgPrice);
}

[NinjaTrader_ChelseaB]

Hi cocopod,

Does your code require you use the unmanaged approach? You may find it easier to use the managed approach.

Yes, you will need to use SubmitOrder() to submit orders such as buy market, sell stop, or sell stop limit.

For example to place a sell stop limit as an exit order:

In #region Variables:
private IOrder exitOrder = null;

In a strategy method such as OnBarUpdate:
exitOrder = SubmitOrder(0, OrderAction.Sell, OrderType.StopLimit, 1, Close[0]-30*TickSize, Close[0]-10*TickSize, "", "Enter Long");

SubmitOrder(int barsInProgressIndex, OrderAction orderAction, OrderType orderType, int quantity, double limitPrice, double stopPrice, string ocoId, string signalName)
http://www.ninjatrader.com/support/h...ubmitorder.htm

This would place a sell stop limit 10 ticks below the current price with the limit placed at 30 ticks below the current price (to try and guarantee a fill).

Then to change the order:
ChangeOrder(exitOrder, 1, Close[0]-20*TickSize, Close[0]-5*TickSize);
ChangeOrder(IOrder iOrder, int quantity, double limitPrice, double stopPrice)
http://www.ninjatrader.com/support/h...hangeorder.htm


There are not any reference samples that use the unmanaged approach, however, there is a strategy on the forum that uses the unamaged approach called CamarillaPointsATS.
http://www.ninjatrader.com/support/f...php?linkid=571

[cocopod]

Very Helpful

Chelsea,

My understanding is that the StopLoss will have to be created using OnExecution as this will guarantee it will only happen when the entryOrder is created. Is this approach correct? See my code below

protected override void OnExecution(IExecution execution)
{

if (entryOrder != null && entryOrder == execution.Order)
// Trail Stop for order
{stopOrder = SubmitOrder(0, OrderAction.Sell, OrderType.StopLimit, 1, Close[0]-10*TickSize, Close[0]-1*TickSize, "", "Enter Long");

}

[NinjaTrader_ChelseaB]

Hi cocopod,

If you are using the managed approach, yes, placing the SetStopLoss in OnExecution will trigger as the entry order fills.

However, by using SetStopLoss, the stop loss will not be submitted until the entry order fills anyway and this will not make any difference. If you use SetStopLoss and there is no position, no exit order is submitted.

If you place orders using SubmitOrder() to submit an exit, this must to go into OnExecution if you would like the protective exit order submitted when the entry fills.
Thus, its more import that protect orders be submitted in OnExecution when not using SetStopLoss.