Hello, how I can do secure ExitLong() if there is ExitLongStop placed?
It works well on historical... On live market when stop loss filled first (but I guess NT don't know about it yet) and then sent market exit... I have overfill... Is there any secure exit by market price?
Code:
#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 TestMarketExit : Strategy
{
#region Variables
// User defined variables (add any user defined variables below)
private IOrder entryOrder;
private IOrder stopOrder;
private IOrder profitOrder;
private int stopLossTicks = 22;
private int profitTargetTicks = 50;
#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()
{
CalculateOnBarClose = true;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (Historical) return;
if (
Position.MarketPosition == MarketPosition.Flat
&& Close[0] > Open[0]
) {
entryOrder = EnterLong(DefaultQuantity, "entry");
}
if (
Position.MarketPosition == MarketPosition.Long
&& Close[0] < Open[0]
) {
ExitLong("exit", "entry");
}
}
protected override void OnOrderUpdate(IOrder order)
{
if (IsFilled(entryOrder, order)) {
double stop = order.AvgFillPrice - stopLossTicks * TickSize;
double profit = order.AvgFillPrice + profitTargetTicks * TickSize;
stopOrder = ExitLongStop(0, true, DefaultQuantity, stop, "exit", "entry");
profitOrder = ExitLongLimit(0, true, DefaultQuantity, profit, "profit", "entry");
}
}
private bool IsFilled(IOrder testOrder, IOrder order)
{
return
testOrder != null && testOrder == order
&& order.OrderState == OrderState.Filled;
}
#region Properties
#endregion
}
}
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