Order handling with managed approach

[YD777]

The link https://ninjatrader.com/support/help...d_approach.htm was very helpful, but I'm still wondering if the managed approach can accomplish certain tasks.

Take this example:

protected override void Initialize() 
{ 
    EntriesPerDirection = 5; 
    EntryHandling = EntryHandling.AllEntries; 
}

Now pretend I have an indicator XYZ() that outputs one of three signals: Buy (+1), Sell (-1), Neutral (0).

protected override void OnBarUpdate()
{
    if (XYZ()[0] == 1)
         // should do ONE of the following tasks this bar (i.e. don't reverse in one step):
         //          if currently long < 5 contracts, should long another one
         //          if currently hold short position(s), should close one short position now 
         EnterLongLimit(GetCurrentBid())

    if (XYZ()[0] == 0)
         // if hold any contracts (short or long), close 1 position now
         ExitLongLimit(GetCurrentBid());
         ExitShortLimit(GetCurrentAsk());

    if (XYZ()[0] == -1)
         // should do ONE of the following tasks this bar (i.e. don't reverse in one step):
         //          if currently short < 5, should short another one
         //          if currently hold a long position, should close one long position now 
         EnterShortLimit(GetCurrentAsk())
}

I put in the comments what I want to accomplish. Are the orders I placed below the comments the way to accomplish that? I am trading contracts with low volume, and therefore only want to move one contract per bar. I don't want to reverse a long position to a short position in the same bar.

[NinjaTrader_JessicaP]

Hello YD777, and thank you for your question.

With what you are describing, a common approach I have seen in scripts is to structure them as follows :

[FONT=Courier New]protected override void OnBarUpdate()
{
    if (XYZ()[0] == 1)
    {
         // should do ONE of the following tasks this bar (i.e. don't reverse in one step):
         //          if currently long < 5 contracts, should long another one
         //          if currently hold short position(s), should close one short position now 
         EnterLongLimit(GetCurrentBid());
        [B]return[/B];
    }

    if (XYZ()[0] == -1)
    {
         // should do ONE of the following tasks this bar (i.e. don't reverse in one step):
         //          if currently short < 5, should short another one
         //          if currently hold a long position, should close one long position now 
         EnterShortLimit(GetCurrentAsk())
    }
}

protected override void OnExecution(IExecution execution)
{
    if (XYZ()[0] == 0)
    {
         // if hold any contracts (short or long), close 1 position now
         ExitLongLimit(GetCurrentBid());
         ExitShortLimit(GetCurrentAsk());
    }
}[/FONT]

This works because ExitLongLimit and ExitShortLimit will be ignored if you are not in a long or short position, respectively.

Please let us know if there are any other ways we can help.

[koganam]

if (XYZ()[0] == 0)
// if hold any contracts (short or long), close 1 position now
ExitLongLimit(GetCurrentBid());
ExitShortLimit(GetCurrentAsk());

• You need to enclose those statements in a block.
• If you want to exit a specific quantity, you must specify the quantity. Those statements will exit the entire position.