AtmStrategy Issues

[rdavido]

Hello,

Long time lurker, first time poster. I am developing a NT strategy using an AtmStrategy but it is not acting the way I want it to. I have attached the script. I want it to basically:

A) Kill the AtmEntryOrder after 1 bar if it does not fill - currently it does not
B) Kill any open AtmStrategies and positions after 3PM - currently it does not
C) When I specify to reverse positions, it does not.

Thanks for your help.

#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 StochScalpRANGE12 : Strategy
    {
        #region Variables
        // Wizard generated variables
        private string    orderId                = string.Empty;
        private string    atmStrategyId        = string.Empty;
        private int     BarsPast_OE         = 1;
        private         DataSeries             barcount;
        #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()
        {
            barcount = new DataSeries (this) ;

        }

        private void GoLong()
        {
            if (orderId != null)
            {
                string[] entryOrder = GetAtmStrategyEntryOrderStatus(orderId);
                if (GetAtmStrategyMarketPosition(orderId) != MarketPosition.Flat)
                    return;
                
                if (entryOrder.Length > 0)
                {                   
                    if (entryOrder[2].ToString() != "Filled")
                    return;
                } 
                
            
            }
            orderId = GetAtmStrategyUniqueId();
            atmStrategyId = GetAtmStrategyUniqueId();
            AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Limit, Low[0], 0, TimeInForce.Day, orderId, "CL-Ichi", atmStrategyId);
            barcount.Set(CurrentBars[0]);
        }
        
        private void GoShort()
        {
            if (orderId != null)
            {
                string[] entryOrder = GetAtmStrategyEntryOrderStatus(orderId);               
                if (GetAtmStrategyMarketPosition(orderId) != MarketPosition.Flat)
                    return;

                if (entryOrder.Length > 0)
               { 
                    if (entryOrder[2].ToString() != "Filled")
                    return;
               }
                
            }
       
            orderId    = GetAtmStrategyUniqueId();
            atmStrategyId = GetAtmStrategyUniqueId();
            AtmStrategyCreate(Cbi.OrderAction.SellShort, OrderType.Limit, High[0], 0, TimeInForce.Day, orderId, "CL-Ichi", atmStrategyId);
            barcount.Set(CurrentBars[0]);
        }
        
        private void ExitLong()
        {
            // check to see if not flat, close all open orders
            AtmStrategyClose(orderId);
        } 
            
        private void ExitShort()
        {
            // check to see if not flat, close all open orders
            AtmStrategyClose(orderId);
        }
            
        
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
          {
                
            if (ToTime(Time[0]) >= ToTime(15, 0, 0))
            {
            AtmStrategyClose(orderId);
            } 
            
//            Cancels Limit order LONG
            if ((CurrentBars[0] + BarsPast_OE)  > barcount[0] && GetAtmStrategyMarketPosition(orderId) == MarketPosition.Long)
            {
            AtmStrategyCancelEntryOrder(orderId);
            orderId = string.Empty;
            Print("Cancelled LONG ENTRY Order from strategy");
            }
            
//            Cancels Limit order SHORT
            if ((CurrentBars[0] + BarsPast_OE)  > barcount[0] && GetAtmStrategyMarketPosition(orderId) == MarketPosition.Short)
            {
            AtmStrategyCancelEntryOrder(orderId);
            orderId = string.Empty;
            Print("Cancelled SHORT ENTRY Order from strategy");
            }
                                
            if ((ToTime(Time[0]) > ToTime(5, 30, 0)) && (ToTime(Time[0]) < ToTime(15, 0, 0)))
            {
                        
                // Condition set 1
                if (CrossAbove(MACD(10, 22, 5), MACD(10, 22, 5).Avg, 1))
                {
                    if (Position.MarketPosition == MarketPosition.Flat)
                    {
                        GoLong();
                    }
                    
                    if (Position.MarketPosition == MarketPosition.Short)
                    {
                        ExitShort();
                        GoLong();
                    }
                }
                
                // Condition set 2
                if (CrossBelow(MACD(10, 22, 5), MACD(10, 22, 5).Avg, 1))
                {
                    if (Position.MarketPosition == MarketPosition.Flat)
                    {
                        GoShort();
                    }
                    
                    if (Position.MarketPosition == MarketPosition.Long)
                    {
                        ExitLong();
                        GoShort();
                    }
                }
                    
            }
            
        }


         #region Properties
        
            #endregion
}
}

[NinjaTrader_DaveI]

Hello,

Everything seems to be set up logically in your code. Have you done a bit of debugging by adding prints at the points in which these actions should occur? This may help to pinpoint exactly where the code is having trouble. Also, are you seeing any errors showing up in the Output Window or the Log tab of the Control Center while the strategy is running?

I look forward to your reply.

[rdavido]

Sure,

So the output window says this

**NT** Submitting order with strategy 'StochScalpRANGE12/32fa0ce14438448fb4be48d2155722f1'
**NT** GetAtmStrategyMarketPosition() method error: AtmStrategyId '4ef0caf2603f4510b2b0d95ba51324f4' does not exist

and

Cancelled LONG ENTRY Order from strategy
**NT** AtmStrategyCancelEntryOrder() method error: Missing orderId parameter

[NinjaTrader_PatrickH]

Hello rdavido,

Thank you for your response.

I would recommend implementing separate orderIds and atmStrategyIds for going long and short. I have created an example of how to create a NinjaScript strategy that reverses with an ATM strategy, please review this example at the following link: http://www.ninjatrader.com/support/f...d=5&linkid=615