Strategy: Sell Orders are not executed

[SuneSorgenfrei]

Hi
I am working on a smiple strategy where if my entry condition is satisfied I open 2 orders on the high and low of the candle that just finished.

I use these as Order entries

private Order longOrder;
private Order shortOrder;

protected override void OnBarUpdate()
{
if(CurrentBar == 0)
return;

scenarios.Add(GetScenario());

//if(!IsSetup)
IsStratPattern();


}

private void IsStratPattern()
{
if(scenarios.Count<3)
return ;

if(scenarios[scenarios.Count-1] == "1")
{
IsSetup = true;
SetupTrade();
}
if(scenarios[scenarios.Count-1] == "3")
{
IsSetup = true;
SetupTrade();
}
}


private void SetupTrade()
{
longOrder = EnterLongStopMarket(High[0] + TickSize*1);
shortOrder = EnterShortStopMarket(Low[0] - TickSize*1);



}

protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
if(Position.MarketPosition == MarketPosition.Long)
{
CancelOrder(shortOrder);
longOrder = null;
shortOrder = null;

}
else if(Position.MarketPosition == MarketPosition.Short)
{
CancelOrder(longOrder);
longOrder = null;
shortOrder = null;

}

SetProfitTarget(CalculationMode.Ticks,10 );
SetStopLoss(CalculationMode.Ticks, 8);

};

the Long orders are triggered fine when expected but no short orders are ever triggered eventhough there are several instances where they should be triggered.

Any idea why ?

[NinjaTrader_PaulH]

Hello SuneSorgenfrei,

Thanks for your post.

When a script is not working as expected, please check the NinjaTrader control center's "Log" tab for any error messages.

If you are using the managed approach you will probably see error messages about violating "Internal Order Handling Rules that Reduce Unwanted Positions". In the managed approach you cannot submit both a long and a short order at the same time. Please see: https://ninjatrader.com/support/help...antedPositions

Here is a link to the Managed Approach: https://ninjatrader.com/support/help...d_approach.htm

Please note that limit type orders, in the managed approach are automatically canceled if not filled in the bar they submitted. You can either resubmit on a bar by bar basis or use the method overload that allow a "Live until canceled" bool where you would need to ensure that the order is filled or you cancel the order using CancelOrder().
References:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?managed_cancelorder.htm

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?advanced_order_handling.htm

One way that you can handle this simply and stay in the managed approach is to use market orders instead of limit orders. Your script would determine the two levels needed and then if price touches either level, submit a market order. It just takes a small amount of logic to do this.

Alternately, you may want to use the UnManaged Approach "The Unmanaged approach is reserved for VERY EXPERIENCED programmers. In place of the convenience layer that the Managed approach offered, the Unmanaged approach instead offers ultimate flexibility in terms of order submission and management. This section will discuss some of the basics of working with Unmanaged order methods."
Reference: https://ninjatrader.com/support/help...d_approach.htm

[SuneSorgenfrei]

Hi Paul

Thanks for your input. I was not aware of that restriction in the manged approach. I will use unmanged for this strategy.

[SuneSorgenfrei]

Hi Again

So now the strategy works but I am still facing 1 problem. All the sudden the strategy stops working without any errors posted to the log.
The Strategy is enabled but stops generating new orders. Any idea why this could be ?

[NinjaTrader_PaulH]

Hello SuneSorgenfrei,

Thanks for your post.

It looks like your log does show an error about an incorrectly placed stop order and advises that subsequent orders may be ignored.

At this point, you would need to start debugging the strategy to understand why it is placing orders at an incorrect value.

We recommend using print statements and in this case, you would want to print out the bar time, the price value being determined to place the order.

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

[SuneSorgenfrei]

Hi Paul

Here is the error:

Strategy 'Strat212/254396802': An order has been ignored since the stop price ‘85.22’ near the bar stamped ‘20-01-2022 03:00:00’ i s invalid based on the price range of the bar. This is an invalid order and subsequent orders may also be ignored.

The strange thing is though that the last order is on the 20.01.2022 21:00 (9 PM) so many hours and orders later. There is no error for that point in time only the one much earlier.

[NinjaTrader_PaulH]

Hello SuneSorgenfrei,

Thanks for your reply.

After re-reading the error, this is most often seen with Standard Order Fill Resolution where the order fills are estimated using "virtual bars" and formation of the virtual bars indicate that the order cannot be filled with that price action. Setting Order Fill Resolution to High and using a 1 tick data series as the fill series or submitting orders to a single tick data series would be a good way to avoid those types of errors. Please retest by using High order fill set to 1 tick.

[SuneSorgenfrei]

Hi Again

I did change the settings but no change in the way the strategy behaves

[NinjaTrader_PaulH]

Hello SuneSorgenfrei,

Thanks for your reply.

I would suggest returning to the debugging process using print statements.

You can add a print statement just ahead of the code that places orders and print the value of variables used in the order.

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

[SuneSorgenfrei]

Hi
I solved the issues. First issue it did not take the gap in between 11pm 00:30 CET into consideration so I had orders hanging that never got filled and that stopped the loop.
Kind of same issue between 05.30 and 09.30 CET there is no data today in CL 03-22, so I build a disaster recovery function that resets the strategy if a hole in the data is found.
Thanks for your help.