Management orders with Custom TimeFrame

[davidgamo]

Hello! I'm developing an strategy and I have some problem.

1º) I use two time frame: 1) RenkoSpectrumBarsType (10,1) 2) Second (1)

I add the second in the Initialize: base.Add(PeriodType.Second, 1);

2º) I get the entry flag on the BarsInProgress == 0 and I send the orders on the BarsInProgress == 1 for not to wait to the next renko candle

if (BarsInProgress == 0)
{
flag = true;
entry = MyIndicator(BarsArray[0]).Entry[0];
}
if (BarsInProgress == 1)
{
if (flag && (entryOrder1 == null && entryOrder2 == null))
{
if (entry == 1)
{
entryOrder1 = EnterLong(1, "MyEntry1");
entryOrder2 = EnterLong(1, "MyEntry2");
}
if (entry == -1)
{
entryOrder1 = EnterShort(1, "MyEntry1");
entryOrder2 = EnterShort(1, "MyEntry2");
}
}
flag = false;
}

3º) I set the target and stop loss on OnExecution


protected override void OnExecution(IExecution execution)
{

if (entryOrder1 != null && entryOrder1 == execution.Order)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
{
if (Position.MarketPosition == MarketPosition.Long)
{
// Stop-Loss order 4 ticks below our entry price
stopOrder1 = ExitLongStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - stop * TickSize, "MyStop1", "MyEntry1");
// Target order 8 ticks above our entry price
targetOrder1 = ExitLongLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + target * TickSize, "MyTarget1", "MyEntry1");
}
else
{
// Stop-Loss order 4 ticks above our entry price
stopOrder1 = ExitShortStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + stop * TickSize, "MyStop1", "MyEntry1");
// Target order 8 ticks above our entry price
targetOrder1 = ExitShortLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - target * TickSize, "MyTarget1", "MyEntry1");
}


// Resets the entryOrder object to null after the order has been filled
if (execution.Order.OrderState != OrderState.PartFilled)
{
entryOrder1 = null;
}
}
}

if (entryOrder2 != null && entryOrder2 == execution.Order)
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
{
if (Position.MarketPosition == MarketPosition.Long)
{
// Stop-Loss order 4 ticks below our entry price
stopOrder2 = ExitLongStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - stop * TickSize, "MyStop2", "MyEntry2");
}
else
{
// Stop-Loss order 4 ticks above our entry price
stopOrder2 = ExitShortStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + stop * TickSize, "MyStop2", "MyEntry2");
}
// Target order 8 ticks above our entry price
//targetOrder = ExitLongLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + 8 * TickSize, "MyTarget", "MyEntry");

// Resets the entryOrder object to null after the order has been filled
if (execution.Order.OrderState != OrderState.PartFilled)
{
entryOrder2 = null;
}
}
}
// Reset our stop order and target orders' IOrder objects after our position is closed.
if ((stopOrder1 != null && stopOrder1 == execution.Order) || (targetOrder1 != null && targetOrder1 == execution.Order))
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
stopOrder1 = null;
targetOrder1 = null;
}
}
// Reset our stop order and target orders' IOrder objects after our position is closed.
if ((stopOrder2 != null && stopOrder1 == execution.Order) || (targetOrder2 != null && targetOrder2 == execution.Order))
{
if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
{
stopOrder2 = null;
targetOrder2 = null;
}
}
}

4º) I run the strategy with 6 ticks of stop loss and Target, and I see the error in all orders.
For example with the las order:

Entry Price 17742 8:50:31 and exit price stop loss 17752 8:50:43

http://screencast.com/t/4llsfeTtnzR

http://screencast.com/t/mSU9dzh1Eg

But I see on the 1 second chart the price is no real, 17742 8:50:31 and 17743 8:50:43

http://screencast.com/t/oNXlsuwENgED

So I think the strategy are closing the order because the height renko candle, but it's no a real simulator.


I don't know how to fix it.

I have thought

1º) Adding the RenkoSpectrumBarsType on the second time frame on the Add() but I don't know how do it with the two params.

Add(PeriodType.Custom4, 10 ,1) ??

I see on the code:

public RenkoSpectrumBarsType() : base(PeriodType.Custom4)
{
this.NewBarMode = true;
}

2º) I dont know how to management the orders only in the secondary time frame (Second, 1)

Best regards
David

[NinjaTrader_PatrickH]

Hello David,

Thank you for your post.

Is this what you see on historical data or in backtesting? Renko bars are not accurate in backtesting as the ticks that built the bars are not available. Meaning the bar is built from Open, High, Low, and Close.
Do you see the same behavior when running on NinjaTrader Renko bars (not the custom ones) in backtesting?