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How do I submit an order in NinjaScript to use a selected ATM Strategy?
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How do I submit an order in NinjaScript to use a selected ATM Strategy?
I have an ATM Strategy that has a target, stop loss and moves the stop loss after a certain amount of ticks in profit. I want to be able to use a strategy created with NinjaScript to run that ATM Strategy when the strategy triggers an order. How do I go about doing that?Tags: None
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Actually, it seems like the "Algorithmic Trading with NinjaTrader" course on Udemy has a section on this. It seems to be working so far.
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Here is a template in case anyone is interested.
Code:#region Using declarations using System; using System.Collections.Generic; using System.ComponentModel; using System.ComponentModel.DataAnnotations; using System.Linq; using System.Text; using System.Threading.Tasks; using System.Windows; using System.Windows.Input; using System.Windows.Media; using System.Xml.Serialization; using NinjaTrader.Cbi; using NinjaTrader.Gui; using NinjaTrader.Gui.Chart; using NinjaTrader.Gui.SuperDom; using NinjaTrader.Gui.Tools; using NinjaTrader.Data; using NinjaTrader.NinjaScript; using NinjaTrader.Core.FloatingPoint; using NinjaTrader.NinjaScript.Indicators; using NinjaTrader.NinjaScript.DrawingTools; #endregion //This namespace holds Strategies in this folder and is required. Do not change it. namespace NinjaTrader.NinjaScript.Strategies { public class _ATMStrat : Strategy { #region Variables private string atmStrategyId; private string atmStrategyOrderId; private bool isAtmStrategyCreated = false; private bool entryLong; private bool entryShort; #endregion #region Properties [NinjaScriptProperty] [Display(Name ="ATM Template Name", Description="The name of the custom ATM Strategy.", Order = 1, GroupName = "ATM Strat")] public string ATMTemplateName {get; set;} #endregion protected override void OnStateChange() { if (State == State.SetDefaults) { Description = @"Enter the description for your new custom Strategy here."; Name = "_ATMStrat"; Calculate = Calculate.OnEachTick; EntriesPerDirection = 1; EntryHandling = EntryHandling.AllEntries; IsExitOnSessionCloseStrategy = true; ExitOnSessionCloseSeconds = 30; IsFillLimitOnTouch = false; MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix; OrderFillResolution = OrderFillResolution.Standard; Slippage = 0; StartBehavior = StartBehavior.WaitUntilFlat; TimeInForce = TimeInForce.Gtc; TraceOrders = false; RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose; StopTargetHandling = StopTargetHandling.PerEntryExecution; BarsRequiredToTrade = 20; // Disable this property for performance gains in Strategy Analyzer optimizations // See the Help Guide for additional information IsInstantiatedOnEachOptimizationIteration = true; ATMTemplateName = "ATMStratName"; } else if (State == State.Configure) { } } protected override void OnBarUpdate() { if (CurrentBar < BarsRequiredToTrade) return; if (State == State.Historical) return; // Checking for ATM Strategy will fail if not in real time. if (State != State.Realtime) return; entryLong = Close[0] > Close[1]; entryShort = Close[0] < Close[1]; if (AtmIsFlat()) { if (entryLong) { atmStrategyId = GetAtmStrategyUniqueId(); atmStrategyOrderId = GetAtmStrategyUniqueId(); AtmStrategyCreate(OrderAction.Buy, OrderType.Market, 0, 0, TimeInForce.Day, atmStrategyOrderId, ATMTemplateName, atmStrategyId, (atmCallbackErrorCode, atmCallbackId) => { if (atmCallbackId == atmStrategyId) { if (atmCallbackErrorCode == Cbi.ErrorCode.NoError) { isAtmStrategyCreated = true; } } }); } else if (entryShort) { atmStrategyId = GetAtmStrategyUniqueId(); atmStrategyOrderId = GetAtmStrategyUniqueId(); AtmStrategyCreate(OrderAction.SellShort, OrderType.Market, 0, 0, TimeInForce.Day, atmStrategyOrderId, ATMTemplateName, atmStrategyId, (atmCallbackErrorCode, atmCallbackId) => { if (atmCallbackId == atmStrategyId) { if (atmCallbackErrorCode == Cbi.ErrorCode.NoError) { isAtmStrategyCreated = true; } } }); } } if (isAtmStrategyCreated) { // Do stuff... } if (!isAtmStrategyCreated) { // Do stuff for failed ATM Strategy } } private bool AtmIsFlat() { if (atmStrategyId == null) return true; return GetAtmStrategyMarketPosition(atmStrategyId) == MarketPosition.Flat; } } }
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