How to not entry when closing?

[johnnybegoode]

How to not entry when closing?

I think when the conditions of closing and opening are met about the same time,
it can cause some confusion with the quantity of exiting "Position.Quantity".

What can I do to prevent that from happening?
What are your suggestions?
What is the best course of action?

Pause entry during exiting?
or
Pause after every entry?
or
Not entry when exiting?
or
How much time to pause?
or
etc?

i.e.
Both under protected override void OnBarUpdate()

Opening

if             (
                (Open[0]-Low[0] >= 0.00001)
                )
            {
                EnterLong(0,Quantity,"EnterLong");
            }

Closing

if             (
                Profit>= ProfitTarget
                )                             
            {                        
                ExitShort(0,Position.Quantity,"EXIT SHORT EURUSD (ProfitTarget)","");
            }

[NinjaTrader_PaulH]

Hello johnnybegoode,

Thanks for your post.

You can check that the MarketPosition is correct for your operation. For example, in the entry condition, you can check for a flat market position.

Reference: https://ninjatrader.com/support/help...etposition.htm

[johnnybegoode]

I might have misdiagnosed the problem.

I would like Strategy 1 (trading Account 101) and Strategy 2 (trading Account 102)
to close all their positions when the profit of the combined Account 101 and 102 hit the profit target.

They do most of the time, but there are times that only one of two strategies close all
and the other strategy just does not. I would like to eliminate that happening.

I thought that it was because the entry and exit were too close, but recent observations have shown otherwise.

It might be because Strategy 1 closes all its positions before Strategy 2 or vice versa realizes "Profit >= ProfitTarget"
causing the combination to be no longer "Profit >= ProfitTarget" when Strategy 2 check for it.

            Account a = Account.All.First(t => t.Name == "Sim101"); // Account Display Name
            double Balance = a.Get(AccountItem.CashValue, Currency.UsDollar);
            double UnrealizedPnlA = a.Get(AccountItem.UnrealizedProfitLoss, Currency.UsDollar); 

            Account b = Account.All.First(t => t.Name == "Sim102"); 
            double BalanceB =  b.Get(AccountItem.CashValue, Currency.UsDollar);
            double UnrealizedPnlB = b.Get(AccountItem.UnrealizedProfitLoss, Currency.UsDollar);

double Profit = 
                (
                UnrealizedPnlA 
                 +
                UnrealizedPnlB
                );

Strategy 2 (Strategy 1 is the reverse)

if              (
                Profit>= ProfitTarget
                )                             
            {                        
                ExitShort(0,Position.Quantity,"EXIT SHORT EURUSD (ProfitTarget)","");
            }

[NinjaTrader_PaulH]

Hello johnnybegoode,

Thanks for your reply.

In that case, you would want to use print statements to debug what is happening.

[johnnybegoode]

In this case, how to print statement on the closing when there is no error in log?

if         
(
Profit>= ProfitTarget
)                             

{
ExitShort(0,Position.Quantity,"EXIT SHORT EURUSD (ProfitTarget)","");
}

[NinjaTrader_PaulH]

Hello johnnybegoode,

Thanks for your reply.

You do not need an error for debugging.

You would want to use print statements in your code so that you can see why/when your strategy is not hitting the exit condition (The condition that is evaluated and determines to exit or not). You would need to, I think, add print statements in both instances to understand the sequence.

Here is a link to our debugging tips: https://ninjatrader.com/support/help...script_cod.htm

[johnnybegoode]

What is the sampling rate for OnBarUpdate()?

There is a lag with NT8 when checking Account value.
How long does it take?

Account a = Account.All.First(t => t.Name == "Sim101"); // Account Display Name
double Balance = a.Get(AccountItem.CashValue, Currency.UsDollar);
double UnrealizedPnlA = a.Get(AccountItem.UnrealizedProfitLoss, Currency.UsDollar);

Maybe I could execute the exit after the strategy has detected that the Account value
by pausing for a few seconds?

[NinjaTrader_PaulH]

Hello johnnybegoode,

Thanks for your reply.

When OnBarUpdate() is called, with live (or market replay) data, depends on what you have set for the strategy's Calculate mode.

Calculate.OnbarClose would be once per bar and the frequency would depend on the bar type (IE a price based bar (Tick, Renko, Volume or time-based bar, 1 minute, 5 minutes, etc.).

Calculate.OnPriceChange would be independent of bar type and would call OnbarUpdate() when the incoming tick changes the price from the previous tick(s).

Calculate.OnEachTick would be independent of bar type and would call OnBarUpdate() on every incoming tick.

Historical data would be calculated as if Calculate.OnBarClose was employed.

[johnnybegoode]

I think that "Position.Quantity" gets confused under the Executions tab
- (Look at the Position Column of the attached screenshot).

This might or might not cause the problem of closing.

[NinjaTrader_PaulH]

Hello johnnybegoode,

Thanks for your reply.

We recommend the use of print statements in your code to help debug.