Position Left Over

[Stefann]

Hi,
I have an odd situation and I'm not sure if it's due to something I'm doing wrong or if it's a quirk of how NT closes positions. I'd be grateful for any suggestions.

I'm using NT to simulate trades whilst taking a live feed from eSignal. The strategy I've developed works fine on historical data but in real time I get the following scenario (the price values shown are examples but the stops etc. are genuine)

Buy at market, 6 contracts, at 6,820 stop loss 20 points away at 6,800


Order fills as follows:

3 contracts @ 6,820.0 stop loss at 6,800.00
3 contracts @ 6,820.5 stop loss at 6,800.50

Price goes above 6,845 so strategy now moves the stop loss to lock in 5 points of profit and the result is as follows:

3 contracts now have the stop loss at 6,825.00
3 contracts now have the stop loss at 6,825.50

Price goes above 6,870 so the strategy now does the following:


Sell at market to exit long, 4 contracts at 6,870 and move stop loss to 20 points away, which is 6,850. The result is as follows:

4 contracts sold at 6,870
Stop loss for 3 contracts now at 6,850
Stop loss for 3 contracts now at 6,850 (no, that's not a typo)

So now I've got a position of 2 contracts but stop loss for 6!


Price goes up to 6,880 so now use setstoploss to set it to 20 points away so I get this scenario:

Stop loss for 3 contracts now at 6,860

So now I've got 1 stop loss but it's for 3 contracts!
Price goes below 6,860 and I now have this situation:

Long position closed at 6,860
Short position for 1 contract now open at 6,860

I'm using setstoploss to adjust the stops and I've used traceorder to see what's happening. This only happens when I get multiple fills for an order. If I everything gets filled at one price in on execution than this works fine.

Any suggestions/comments gratefully received.

Thanks - Stefan

[NinjaTrader_Ray]

For clarification -

Is this through the DLL interface from eSignal to NinjaTrader?

[Stefann]

I'm using the eSignal Real Time connection to get the data from the eSignal Data Manager. The strategy is written as a script within NT.

Not sure if that answers the question.

[NinjaTrader_Ray]

So in the following, you are saying your strategy has stops in place for 6, you send market order to exit 4 which leaves you 2 but the stops are still for 6? Do you use signal names? If yes, are these specified in the SetStopLoss() and ExitLong() methods?

Sell at market to exit long, 4 contracts at 6,870 and move stop loss to 20 points away, which is 6,850. The result is as follows:

4 contracts sold at 6,870
Stop loss for 3 contracts now at 6,850
Stop loss for 3 contracts now at 6,850 (no, that's not a typo)

So now I've got a position of 2 contracts but stop loss for 6!

[Stefann]

Ah, I've had another look at the script and I do use the signal name for the stop loss however the exitlong() just uses the quantity.

Also, I use multiple timeframes for entries so should probably use the full ExitLong(int barsInProgressIndex, int quantity,string signalName,string fromEntrySignal) overload method instead of the simple version.

I assumed that because the system exited the correct number of contracts at the correct price I wouldn't need to specify the additional fields.