Trades not taken and/or confirmed in sim and replay

[bernie_c]

I am pretty sure this topic has been tabled here before, however, I couldn't find any threads that covered exactly this.

As long as I exit (ExitLong or ExitShort) with the same number of contracts that I entered with all is well. However, when I exit with different number of contracts than I enter with things get a bit strange. For example, if I EnterShort( 2 ) then a few bars later I ExitShort( 1 ) and then a few bars later I ExitShort( 1 ) the second exit is often ignored. Every time my strategy enters or exits it Print()s.
I also do this:

protected override void OnExecution( IExecution execution )
		{
			// Remember to check the underlying IOrder object for null before trying to access its properties
			if( execution.Order != null && execution.Order.OrderState == OrderState.Filled )		Print( execution.ToString() );
		}

Output window:

Short enter 2 3/13/2015 1:09:52 PM
Execution='NT-00144' Instrument='NQ 03-15' Account='Replay101' Name='Sell short' Exchange=Default Price=4292.75 Quantity=2 Market position=Short Commission=0 Order='NT-00144' Time='3/13/2015 1:10:09 PM'
Short exit 1 3/13/2015 1:12:33 PM
Execution='NT-00145' Instrument='NQ 03-15' Account='Replay101' Name='Buy to cover' Exchange=Default Price=4290.25 Quantity=1 Market position=Long Commission=0 Order='NT-00145' Time='3/13/2015 1:12:38 PM'
Short exit 1 3/13/2015 1:15:38 PM

Notice no confirmation after the second exit order. The order symbol is also not showing up on the chart.

What m I missing?

[bernie_c]

The problem I illustrated is true for sim and replay. When I apply the strategy to an existing chart all trades are taken and confirmed, virtually, of course.

I think I remember reading on here somewhere that sim and replay can be inconsistent and that real live data is handled properly.

[NinjaTrader_AlexG]

Hello bernie_c,
Thanks for posting today.

When using the EnterLong or EnterShort entry methods you can only ExitLong or ExitShort with the same number of contracts.

If you wish to have two contracts and exit at two different prices you would need to create two separate entry methods.

This must be done when using the managed approach to order methods such as the EnterLong, EnterShort, ExitLong, and ExitShort methods.

Here is a link to the help guide discussing the managed approach for strategy development.
http://www.ninjatrader.com/support/h...d_approach.htm

Please let us know if we may be of further assistance for anything NinjaTrader.

[bernie_c]

Alex,

I understand what you are saying, but the documentation seems to contradict. According to the documentation you refer me to what I was trying to do should be fine.
From your link:

How to close a position
...
Closing a Partial Position using an Exit Method
You can close out a partial position by specifying the exit quantity. The following example goes long 3 contracts. Each subsequent bar update will submit a market order to exit one contract until the position is completely closed. ExitLong(1) will be ignored if a long market position does not exist.

protected override void OnBarUpdate()
{
if (CrossAbove(SMA(10), SMA(20), 1))
EnterLong(3);

ExitLong(1);
}

[NinjaTrader_AlexG]

Hello bernie_c,
Thanks for the clarification.

I discussed this with another NinjaScript Tech here. This is an known issue based on the data being used.

The strategy you mentioned, and documented in the Help Guide, will work while back testing and using historical data. However, when using live data will fail as you have seen.

Here is a link to a forum post discussing this issue.

http://www.ninjatrader.com/support/forum/showpost.php?p=323977&postcount=11

Please let us know if we may be of further assistance for anything NinjaTrader.