Stop Sell and Stop Buy orders at the same time

[federicoo]

Hi,

I am trying to test a simple strategy in Market Replay, that opens 1 stop buy order and 1 stop sell order at the same time (it is not 2 orders in the same direction), but the strategy opens only one of them, never opens both orders as expected.

The code is the following:

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// Enter the description of your strategy here
/// </summary>
[Description("Enter the description of your strategy here")]
public class ordensimple2 : Strategy
{
#region Variables
// Wizard generated variables
private int sL = 20; // Default setting for SL
private int tP = 20; // Default setting for TP
// User defined variables (add any user defined variables below)
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
SetProfitTarget("", CalculationMode.Ticks, TP);
SetStopLoss("", CalculationMode.Ticks, SL, false);

CalculateOnBarClose = false;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1
if (ToTime(Time[1]) == ToTime(3, 30, 0))
{
EnterShortStop(DefaultQuantity, Low[1] + -5 * TickSize, "StopSell");
EnterLongStop(DefaultQuantity, High[1] + 10 * TickSize, "StopBuy");
}

}

#region Properties
[Description("")]
[GridCategory("Parameters")]
public int SL
{
get { return sL; }
set { sL = Math.Max(1, value); }
}

[Description("")]
[GridCategory("Parameters")]
public int TP
{
get { return tP; }
set { tP = Math.Max(1, value); }
}
#endregion
}
}


Please let me know where is wrong handling orders in this strategy.

Thanks in advance,
Federico

[koganam]

Hi,

I am trying to test a simple strategy in Market Replay, that opens 1 stop buy order and 1 stop sell order at the same time (it is not 2 orders in the same direction), but the strategy opens only one of them, never opens both orders as expected.

The code is the following:

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// Enter the description of your strategy here
/// </summary>
[Description("Enter the description of your strategy here")]
public class ordensimple2 : Strategy
{
#region Variables
// Wizard generated variables
private int sL = 20; // Default setting for SL
private int tP = 20; // Default setting for TP
// User defined variables (add any user defined variables below)
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
SetProfitTarget("", CalculationMode.Ticks, TP);
SetStopLoss("", CalculationMode.Ticks, SL, false);

CalculateOnBarClose = false;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1
if (ToTime(Time[1]) == ToTime(3, 30, 0))
{
EnterShortStop(DefaultQuantity, Low[1] + -5 * TickSize, "StopSell");
EnterLongStop(DefaultQuantity, High[1] + 10 * TickSize, "StopBuy");
}

}

#region Properties
[Description("")]
[GridCategory("Parameters")]
public int SL
{
get { return sL; }
set { sL = Math.Max(1, value); }
}

[Description("")]
[GridCategory("Parameters")]
public int TP
{
get { return tP; }
set { tP = Math.Max(1, value); }
}
#endregion
}
}


Please let me know where is wrong handling orders in this strategy.

Thanks in advance,
Federico

http://www.ninjatrader.com/support/forum/showthread.php?t=71835

Same question: same answer.

[NinjaTrader_Bertrand]

federicoo, welcome to our forums - koganam's correct here, in the managed approach this would be expected, as you run a high risk in those situations to end up with an undesired position it would not be allowed by our internal order handling rules.

In contrast our unmanaged mode would not be imposing any such rules but allow ultimate flexibility.

https://www.ninjatrader.com/support/helpGuides/nt7/order_methods.htm

Generally a valuable debug tool for order submission in strategies would be the TraceOrders - http://www.ninjatrader.com/support/f...ead.php?t=3627