OnExecution(IExecution execution) stop loss

[Czarek]

HI. I use your sample OnOrderUpdate. Strategy place stop loss and stop limit correctly but move to breakeven long or short postion only not boht of them.
It is depand on whih stop loss is typed first in code and whih one is second.
If I put stop loss for long positon as first and stop loss for short position as second, only the second one is moved to breakeven. The first one is not moved.
In the sample below only the stop loss for long position is moved to breakeven.
Could you help me to find where the mistake is and what should I change??

Czarek

/// <summary>
        /// Called on each incoming execution
        /// </summary>
        protected override void OnExecution(IExecution execution)
        {
 
   /* We advise monitoring OnExecution to trigger submission of stop/target orders instead of OnOrderUpdate() since OnExecution() is called after OnOrderUpdate()
   which ensures your strategy has received the execution which is used for internal signal tracking. */
   if (entryOrder != null && entryOrder.Token == execution.Order.Token)
   {
    if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
    { 
     // Stop-Loss order 4 ticks below our entry price
     stopOrder  = ExitShortStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + stop * TickSize, "MyStopShort1", "MyEntryShort1");
 
     // Target order 8 ticks above our entry price
     targetOrder = ExitShortLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - limit * TickSize, "MyTargetShort1", "MyEntryShort1");
 
 
     // Stop-Loss order 4 ticks below our entry price
     stopOrder  = ExitLongStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - stop * TickSize, "MyStopLong1", "MyEntryLong1");
 
 
     // Target order 8 ticks above our entry price
     targetOrder = ExitLongLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + limit * TickSize, "MyTargetLong1", "MyEntryLong1");
     {
      entryOrder  = null;
     }
    }
 
   }

[NinjaTrader_JoshP]

The problem is you are using the same IOrder object for both of your orders. You want unique IOrder objects.

stopOrderLong
stopOrderShort
instead of just stopOrder for both.

[Czarek]

Josh.
Thanks for promt it works.
Now strategy work good for 1 or 2 entries per direction.
Unfortunately if i want to set 3 entries sometimes strategy enlarge stop loss a lot.
It happen if one or two of 3 entries hit the limit target and and new position is oppend before the third one is closed. The stop loss in this case is enlarged a lot.
Probably the reason is because Position.AvgPrice is use.
I try to scale out each entry price but there is some problem with syntax.
I tryed to transform the method from ScaleOutSample

SetProfitTarget("Long 1a", CalculationMode.Ticks, 10);

Probably OnOrderUpdate method need some changes.
Could you tell if I'm right and show me how to scale out entry price in the below code.
Czarek

if (Position.MarketPosition == MarketPosition.Short && Close[0] <= Position.AvgPrice - (breakeven * (TickSize/2)))
   {
    // Checks to see if our Stop Order has been submitted already
    if (stopOrderShort != null && stopOrderShort.StopPrice > Position.AvgPrice)
    {
     // Modifies stop-loss to breakeven
     stopOrderShort = ExitShortStop(0, true, stopOrderShort.Quantity, Position.AvgPrice - breakeventicks * TickSize , "MyStopShort1", "MyEntryShort1");
     stopOrderShort = ExitShortStop(0, true, stopOrderShort.Quantity, Position.AvgPrice - breakeventicks * TickSize , "MyStopShort2", "MyEntryShort2");
     stopOrderShort = ExitShortStop(0, true, stopOrderShort.Quantity, Position.AvgPrice - breakeventicks * TickSize , "MyStopShort3", "MyEntryShort3");
    }
   }
   if (Position.MarketPosition == MarketPosition.Long && Close[0] >= Position.AvgPrice + (breakeven * (TickSize/2)))
   {
    // Checks to see if our Stop Order has been submitted already
    if (stopOrderLong != null && stopOrderLong.StopPrice < Position.AvgPrice)
    {
     // Modifies stop-loss to breakeven
     stopOrderLong = ExitLongStop(0, true, stopOrderLong.Quantity, Position.AvgPrice + breakeventicks * TickSize , "MyStopLong1", "MyEntryLong1");
     stopOrderLong = ExitLongStop(0, true, stopOrderLong.Quantity, Position.AvgPrice + breakeventicks * TickSize , "MyStopLong2", "MyEntryLong2");
     stopOrderLong = ExitLongStop(0, true, stopOrderLong.Quantity, Position.AvgPrice + breakeventicks * TickSize , "MyStopLong3", "MyEntryLong3");
    }
   }

[NinjaTrader_JoshP]

Czarek,

You can't use the same IOrder for each one. You need unique ones for every case. If you want to scale in and scale out you will need 6 IOrders. 3 for stoploss and 3 for profit target.

[Czarek]

Is that mean that I need unique IOrder for each order whih are placed?
For example for 1 entry I need :
entryOrderLong1
entryOderShort1
stopOrderLong1
stopOrderShort1
targetOrderLong1
targetOrderShort1
For second entry per direction with end- 2 for example etc...

[NinjaTrader_JoshP]

You need a unique IOrder for every unique type of order you wish to place. You want to scale in 3 times therefore you need a total of 9 IOrders if you wish to be capable of having all of them work at the same time.

[Czarek]

I made unique IOrder for each order. For 4 entries per direction there are 24 unique IOrders, for long 12 and short 12 for three king of ordres: enter, target and stop.
Now I'm having the problem to amend the targetOrder.
I would like to move second entry's targetOrder to the first entry target order price. I want to close all possition in first entry target price.
Example:
first entry 100, targer limit 30, target price 130
second entry 120, target limit 30, target price 150, move target price to 130.
To do it I have to denote first entry price in code and add target value- and this is my problem.
I think I have to replace Position.AvgPrice and put first entry price. But how to denote it.
Position entry code is:

entryOrderLong1 = EnterLong(positionsize, "MyEntryLong1");

Here is my code I'm trying to use but it does not work:

//Move target limit for long
   if (Position.MarketPosition == MarketPosition.Long)
   {
    // Checks to see if our Limit Order has been submitted already
    if (targetOrderLong2 != null && targetOrderLong2.LimitPrice > Position.AvgPrice)
    { 
    // Modifies target to targetLimitLong1
     stopOrderLong2 = ExitLongLimit(0, true, targetOrderLong2.Quantity, Position.AvgPrice + limit * TickSize , "MyStopLong2", "MyEntryLong2");
    }

[NinjaTrader_Ray]

You will have to debug it yourself. If you want to change the price, just use the same method call originally to submit the order but pass in a different price.

[Czarek]

Could you show me how the code should looks like. Just sample of syntax.

[NinjaTrader_Ray]

Sure, from your code here is a sample of modifying the limit price:

ExitLongLimit(0, true, targetOrderLong2.Quantity, newPriceHere , "MyStopLong2", "MyEntryLong2");

[Czarek]

Josh,Thanks a lot.
There is only one problem I have. How to denote newPrice???
It should be MyEntryLong1 price but I can not find the way how to denote it.
Czarek

[NinjaTrader_JoshP]

I'm not sure what you mean by denote. You can either place a double value in there or place a variable that contains a double value representing your price in there.

[Czarek]

Josh.
Maybe my question are not too clear. Sorry, but my english is not so good.

If I put the duble value or variable represent the duble value, the price will be fixed but price have to be calculated form FIRST ENTRY PRICE to move second entry target limit price so code should contain: FIRST ENTRY PRICE + target limit.
Target limit is fixed for example 30ticks.
I do not know the code sequence what could represent FIRST ENTRY PRICE.

In the other worlds new price should equal FIRST ENTRY PRICE + target.
Questions is how to place FIRST ENTRY PRICE in code sentence?? Which code sequence would represent FIRST ENTRY PRICE?

Czarek

[NinjaTrader_JoshP]

Position.AvgPrice + 30 * TickSize

[Czarek]

So code for second entry targetlimit looks like that:

stopOrderLong2 = ExitLongLimit(0, true, targetOrderLong2.Quantity,  Position.AvgPrice +30* TickSize , "MyStopLong2", "MyEntryLong2");

But unfortunately if I use above code the sequence "Position.AvgPrice" represent second entry price not FIRST ENTRY PRICE.

How to put instead "Position.AvgPrice" sequence represent FIRST ENTRY PRICE????