Why Ninja doesn’t run correctly this strategy?

[jmreal]

It’s a very simple strategy: when the price crosses above a SMA, we send an enterlong stop order 4 ticks above this price. If the price crosses below, we send an entershort stop order 4 ticks below.

For example, if we are short and the last bar closes over the SMA, then Ninja sends two stop orders, one to close the short position and the other to open a long position.

If the orders are filled, there is no problem and ninja runs the strategy correctly.

But if the price doesn’t reach the stop, and one of the following bars crosses below the SMA, then Ninja should cancel the two orders, but in fact it only cancel the open long position order, not the close short position order.

Is there any way to solve this?

I have programmed the strategy by the wizard, here is the code:


///</summary>
protectedoverridevoid Initialize()
{
Add(SMA(SMAperiod));

CalculateOnBarClose = true;
}

///<summary>
/// Called on each bar update event (incoming tick)
///</summary>
protectedoverridevoid OnBarUpdate()
{
// Condition set 1
if (Close[0] > SMA(SMAperiod)[0])
{
EnterLongStop(DefaultQuantity, Close[0] + 4 * TickSize, "");
}

// Condition set 2
if (Close[0] < SMA(SMAperiod)[0])
{
EnterShortStop(DefaultQuantity, Close[0] + -4 * TickSize, "");
}

[NinjaTrader_Ray]

Entering two simultaneous stop entry orders is not allowed as it violates our internal order handling rules.

Please scroll to the bottom of the follow page for information on this.

http://www.ninjatrader-support.com/HelpGuideV6/Overview36.html

[jmreal]

??

I think the strategy doesn't enter two simultanous orders.

EnterLongStop if Close>SMA

EnterShortStop if Close<SMA

As long as these orders are to reverse position, Ninja sends two orders: one to close, and other to open a new position.

[mrlogik]

jmreal.

This line...
Close[0] > SMA(SMAperiod)[0]
can submit an order on every bar.
If you send the entry order in, and do it again and again you're submitting multiple orders as the market moves.

make sense?

You only want to submit another long order if one doesn't already exist that is waiting to get filled.

[NinjaTrader_Ray]

I overlooked the question jmreal...

To clarify --> What NT version are you running? Help > About.

- You are long
- An short entry is triggered, two orders are sent, one to open, one to close existing long
- Short entry signal is now false, the open entry is cancelled but the close remains

Correct?

[jmreal]

100% correct Ray, I’m running Version 6.5.1000.3

Mrlogik, thank you for your comment. I thougth the same when I first programmed this strategy, so I added a “Current market position” condition to avoid this problem.

But later I realized that Ninja does not submit an enterlong order if our strategy position is long, so I removed this condition to make it simpler.

In fact, the same strategy without stop orders works perfectly:

// Condition set 1
if (Close[0] > SMA(SMAperiod)[0])
{
EnterLong(DefaultQuantity, "");
}

// Condition set 2
if (Close[0] < SMA(SMAperiod)[0])
{
EnterShort(DefaultQuantity, "");

[NinjaTrader_Ray]

Can you upgrade to 6.5.1000.5 and let me know if this problem persists in our latest version. Thanks.

[jmreal]

With the new version the problem disappears and the two orders are correctly cancelled

Thank you very much.

[NinjaTrader_Ray]

Excellent...