Entering on break of bar

[globaljobber]

I've been trying to create a strategy whereby a trade is entered on the break of a previous bar. I have been using CrossBelow and CrossAbove but these don't provide accurate entries.

For example, I want to:

Identify a price level to enter trade based on previous bar high/low.

As soon as price goes below/above this identified price, I want to be able to enter an order immediately on the next following bar which crosses that price boundary.

I have tried using GetCurrentAsk() < MyPriceLevel for example, but this still doesn't work even though I've set Calculate.OnPriceChange within OnStateChange() so that OnBarUpdate is called on each price change.

Example I've tried:

protected override void OnBarUpdate()
{

if(GetCurrentAsk() < SomePriceLevel)
{
EnterShort(Convert.ToInt32(DefaultQuantity), @"TheBigShort");
}

}

Can someone please suggest a method which will work or why this won't work.

Thanks
Gerard

[NinjaTrader_AlanP]

Hello Gerard,

So I can best answer your question I will need some clarity.

On the current bar, Close[0], you would like to set the value of SomePriceLevel, based off the high/low of the previous bar, and if the current bar goes above this price, wait until the next bar and execute long? Or would you like to enter on the current bar, Close[0] as soon as it breaches SomePriceLevel?

I look forward to your reply.

[globaljobber]

Hi there,

Thanks for your reply.

I hope this clarifies:

Example: Bar 'X' closes. Record High of Bar 'X'. As soon as any next following bar as it is forming in real time, say Bar 'Z' equals or goes above the recorded high of Bar 'X' then enter trade immediately. Do not wait for bar 'Z' to close before entering the trade.

I hope this is clear?

Thanks
Gerard

[NinjaTrader_AlanP]

Hello globaljobber,

I put together and attached a strategy which will buy the moment the previous bars high is taken out.

You should run the strategy with Calculate set to On Each Tick. Also you'll want to enable tick replay for historical trades to plot correctly, see note one at the following link explaining this point.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?calculate.htm

Please let us know if you need further assistance.

[globaljobber]

Thanks Alan,

I'll take a look over the weekend, appreciated.

Regards
Gerard