I'm facing a weird behavior with a managed strategy. Sometimes the position doesn't get updated as required. Look at the example below:
* The exit condition was fullfilled
* Empty positions tab, as expected
* But my strategy is still shown as holding 1L
* Orders tab for reference
Once it happens, my strategy will not enter again, since I have a MarketPosition == Flat check before entering a new trade.
Considerations:
* I'm using NT 8.0.14.2 (64 bits).
* I'm just using managed order methods.
* It just happens with my live connection (Rithmic). I don't have this problem with backtesting or market replay.
* It doesn't happen all time, and (to date) just after a Exit method (market order) or a stop loss fill (stop order).
Attached below all the strategy code that I can share with you:
* The exit condition was fullfilled
Code:
if (ToTime(this.Time[0]) >= this.ExitTime)
{
if (this.Position.MarketPosition == MarketPosition.Long)
this.ExitLong(this.Contracts);
else if (this.Position.MarketPosition == MarketPosition.Short)
this.ExitShort(this.Contracts);
}
* Empty positions tab, as expected
* But my strategy is still shown as holding 1L
* Orders tab for reference
Once it happens, my strategy will not enter again, since I have a MarketPosition == Flat check before entering a new trade.
Considerations:
* I'm using NT 8.0.14.2 (64 bits).
* I'm just using managed order methods.
* It just happens with my live connection (Rithmic). I don't have this problem with backtesting or market replay.
* It doesn't happen all time, and (to date) just after a Exit method (market order) or a stop loss fill (stop order).
Attached below all the strategy code that I can share with you:
Code:
namespace NinjaTrader.NinjaScript.Strategies
{
public class MyStrategy : Strategy
{
#region Fields
private Order entryOrderLong;
private Order entryOrderShort;
#endregion
#region Properties
[Range(1, 3), NinjaScriptProperty]
public int Contracts { get; set; }
[Range(110000, 160000), NinjaScriptProperty]
public double ExitTime { get; set; }
[Range(1, int.MaxValue), NinjaScriptProperty]
public int StopTicks { get; set; }
[Range(1, int.MaxValue), NinjaScriptProperty]
public int TargetTicks { get; set; }
#endregion
protected override void OnBarUpdate ()
{
int volMultiplier = <some multiplier>;
if (<some entry long condition> && this.Position.MarketPosition == MarketPosition.Flat)
{
this.SetProfitTarget(CalculationMode.Ticks, this.TargetTicks * volMultiplier);
this.SetStopLoss(CalculationMode.Ticks, this.StopTicks * volMultiplier);
this.entryOrderLong = this.EnterLongLimit(this.Contracts, <some limit price>);
}
if (<some entry short condition> && this.Position.MarketPosition == MarketPosition.Flat)
{
this.SetProfitTarget(CalculationMode.Ticks, this.TargetTicks * volMultiplier);
this.SetStopLoss(CalculationMode.Ticks, this.StopTicks * volMultiplier);
this.entryOrderShort = this.EnterShortLimit(this.Contracts, <some limit price>);
}
if (ToTime(this.Time[0]) >= this.ExitTime)
{
if (this.Position.MarketPosition == MarketPosition.Long)
this.ExitLong(this.Contracts);
else if (this.Position.MarketPosition == MarketPosition.Short)
this.ExitShort(this.Contracts);
}
}
protected override void OnOrderUpdate (Order order, double limitPrice, double stopPrice, int quantity, int filled, double averageFillPrice, OrderState orderState, DateTime time, ErrorCode error, string comment)
{
if (order.OrderState == OrderState.Filled)
{
if (order == this.entryOrderLong)
{
if (this.entryOrderShort != null) this.CancelOrder(this.entryOrderShort);
return;
}
if (order == this.entryOrderShort)
{
if (this.entryOrderLong != null) this.CancelOrder(this.entryOrderLong);
return;
}
}
}
protected override void OnStateChange ()
{
if (this.State == State.SetDefaults)
{
this.Calculate = Calculate.OnBarClose;
<initialization of other variables>
}
}
}
}
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