SetStopLoss, MTF, and the first Bars context of that instrument

[Epistemophilic]

I am looking at language in the example ProfitChaseStopTrailSetMethodsExample found at the following page:

https://ninjatrader.com/support/foru...s-cs-expecting

[URL="https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/97419-priceos-cs-expecting"]protected override void OnStateChange()
{
            else if (State == State.Configure)
            {
                AddDataSeries(BarsPeriodType.Tick, 1);
             }


}  


if (BarsInProgress == 1 && Position.MarketPosition == MarketPosition.Long)
            {

                if (UseStopLoss && TrailStopLoss && Close[0] > currentSlPrice + StopLossDistance * TickSize)
                {
                    currentSlPrice = Close[0] - StopLossDistance * TickSize;
                    SetStopLoss(CalculationMode.Price, currentSlPrice);
                }
            }[/URL]

The SetStopLoss documentation states the following:

• Should you have multiple Bars objects of the same instrument while using SetStopLoss() in your strategy, you should only submit orders for this instrument to the first Bars context of that instrument. This is to ensure your order logic is processed correctly and any necessary order amendments are done properly.

In the above example, the second Bars object is called for SetStopLoss. Can you please clearly define "first Bars context of that instrument"? Does that mean the most granular resolution or does that mean the primary Bars?

Thanks

[NinjaTrader_PaulH]

Hello Epistemophilic,

Thanks for your post.

Just to let you know we are looking into this and will be updating this thread later.

[NinjaTrader_Jim]

Hello Epistemophilic,

Thanks for your patience.

Set methods will use the primary data series to fill orders and the next bar in that series is used to determine how the order will fill. If we adjust the stop loss on a secondary series, this will then affect how the stop loss gets processed. The approach mentioned here will work fine in realtime and while backtesting for most cases, but you may see some discrepancies with how the stop loss gets placed and filled when backtesting before the trailing behavior starts.

For consistency with backtesting and realtime trading, Exit orders specifying the BarsInProgress for the single tick data series can be used to consistently have orders filled with intrabar granularity.

Further details can be found here - https://ninjatrader.com/support/help...ionInformation

We look forward to assisting.