Use a strategy to exit separate from entry

[BartMan]

I have minor changes in my stop code from strategy to strategy but I would prefer to just add a SL/TP strategy.

Is this possible, any best practices. I prefer to do a strategy I understand an addon may be needed. I was able to do this with tradestation.

[NinjaTrader_ChrisL]

Hi Bart, thanks for posting. One way to do this would be a strategy with IsAdoptAccountPositionAware = true and setting the start behavior to AdoptAccountPosition. Skip the historical data with:

if(State == State.Historical)
return;

The strategy would then have exit logic for the position it adopts. You would enable the strategy after opening the position.

[BartMan]

Chris, thanks that does not work the way I would like. I want to subscribe to events and see there is an position change. The idea is to fully automate

I would place my OnExecutionUpdate() in one strategy that is subscribed to events for this account and this symbol

[NinjaTrader_ChrisL]

Hi Bart, in that case you would need to run an addon, indicator, or strategy that implements an Addon-Style account object that can subscribe to account events. Submit orders using Account.CreateOrder and Account.Submit(). See here for documentation:

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

[BartMan]

I started creating a strategy with the account subscriptions. I seem to have screwed something up I have a position I cannot exit

[BartMan]

OK new limit buy worked but I cannot get rid of these

[NinjaTrader_ChrisL]

Hi Bart, what connection are you using for real time data? Can you also post the script?

[BartMan]

Data provider is Rithmic paper trading

I believe it has to do with OCOID which I am not yet using or with cleanup on subscriptions

#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 ManageExitsStrat : Strategy
{
private Account myAccount;
private Order myEntryOrder;
private Order profitTarget;
private Order stopLoss;

}

}///State == State.SetDefaults
}///OnStateChange



private void OnOrderUpdate(object sender, OrderEventArgs e) {
// Submit stop/target bracket orders
Print("OnOrderUpdate "+ PositionAccount.MarketPosition);
if (myEntryOrder != null && myEntryOrder == e.Order) {
if (e.OrderState == OrderState.Filled) {
string oco = Guid.NewGuid().ToString("N");

profitTarget = myAccount.CreateOrder( e.Order.Instrument,
OrderAction.Sell,
OrderType.Limit, OrderEntry.Manual, TimeInForce.Day,
e.Quantity,
e.AverageFillPrice + 10 * e.Order.Instrument.MasterInstrument.TickSize,
0, oco,
"Profit Target",
Core.Globals.MaxDate,
null);

stopLoss = myAccount.CreateOrder( e.Order.Instrument,
OrderAction.Sell,
OrderType.StopMarket,
OrderEntry.Manual,
TimeInForce.Day,
e.Quantity,
0,
e.AverageFillPrice - 10 * e.Order.Instrument.MasterInstrument.TickSize,
oco,
"Stop Loss",
Core.Globals.MaxDate,
null);

myAccount.Submit(new[] { profitTarget, stopLoss });

}

}

}


private void OnExecutionUpdate(object sender, ExecutionEventArgs e) {
// Output the execution
Print("OnExecutionUpdate "+ PositionAccount.MarketPosition);
//NinjaTrader.Code.Output.Process("__OnExecutionUpda te "+ PositionAccount.MarketPosition), PrintTo.OutputTab1");
NinjaTrader.Code.Output.Process(string.Format("Ins trument: {0} Quantity: {1} Price: {2}", e.Execution.Instrument.FullName, e.Quantity, e.Price), PrintTo.OutputTab1);
Print("OnExecutionUpdate "+ PositionAccount.MarketPosition);
}



private void ManageStop(){
}


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

if (PositionAccount.MarketPosition != MarketPosition.Flat) Print("Open PnL Ticks/Dollars: " + PositionAccount.GetUnrealizedProfitLoss(Performanc eUnit.Ticks, Close[0]) +"/"+ PositionAccount.GetUnrealizedProfitLoss(Performanc eUnit.Ticks, Close[0]) );
// if (PositionAccount.MarketPosition != MarketPosition.Flat) Print("Open PnL Dollars: " + PositionAccount.GetUnrealizedProfitLoss(Performanc eUnit.Currency, Close[0]));
}


// public override void Cleanup()
// {
// // Make sure to unsubscribe to the execution subscription
// if (myAccount != null)
// myAccount.ExecutionUpdate -= OnExecutionUpdate;
// }



}
}



/*

TODO: Cleanup outside of Addon



*/

[BartMan]

CONNECTION INFORMATION
Connection: My Rithmic for NinjaTrader Brokerage 1
Provider: Provider19
Mode: Live


It may have to do with the AddOnFramework which I will remove

[NinjaTrader_ChrisL]

Hi Bart, Im sorry, I should have tested earlier but the manual orders that you make from ChartTrader or any order entry window will not have a SignalName at all. You will need to add a button through your script that will create a custom entry order. I attached an example here.

Kind regards,
-ChrisL

[BartMan]

Got it, thanks Chris!

[BartMan]

Chris, I have manual button based trading (it does name orders) as well as indicator based entries and exits. I keep updating my stop strategy and would like to manage it as a separate item.
I placed trades all day from the chart right click buy/sell and also with chart trader.

I am now using Playback connection or Live account and can no longer place an order I think it has to do with account subscriptions which I addressed.

I have completely removed the strategy and am about to reboot, I have rebooted but that did not fix it

#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 ManageExitsStrat : Strategy
{
private Account myAccount;
private Order myEntryOrder;
private Order profitTarget;
private Order stopLoss;

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "ManageExitsStrat";
Calculate = Calculate.OnPriceChange;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 99;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = true;
RealtimeErrorHandling = RealtimeErrorHandling.IgnoreAllErrors;///TODO: BE VERY CAREFUL
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
IsInstantiatedOnEachOptimizationIteration = true;
// lock (Account.All) myAccount = Account.All.FirstOrDefault(a => a.Name == "Sim101");
lock (Account.All) myAccount = Account.All.FirstOrDefault(a => a.Name == "Playback101");
//myAccount = "Sim101";
}
else if (State == State.Configure) {
}
else if (State == State.DataLoaded) {
Subscribe();
lock (myAccount.Positions)
{
Print("Positions in State.DataLoaded:");

foreach (Position position in myAccount.Positions) {
Print(String.Format("Position: {0} at {1}", position.MarketPosition, position.AveragePrice));
}
}
/* if (myAccount != null) {
myAccount.ExecutionUpdate += OnExecutionUpdate;
myAccount.OrderUpdate += OnOrderUpdate;
}
*/
foreach (Account sampleAccount in Account.All) Print(String.Format("The account {0} has a {1} unit FX lotsize set", sampleAccount.Name, sampleAccount.ForexLotSize));
Print("Selected Account="+myAccount);

} else if (State == State.Terminated)
{
// Unsubscribe to events
myAccount.ExecutionUpdate -= OnExecutionUpdate;
myAccount.OrderUpdate -= OnOrderUpdate;
}///State == State.SetDefaults
}///OnStateChange


private void Subscribe()
{
if (myAccount != null)
{
// Unsubscribe to any prior account subscriptions
// myAccount.AccountItemUpdate -= OnAccountItemUpdate;
myAccount.ExecutionUpdate -= OnExecutionUpdate;
myAccount.OrderUpdate -= OnOrderUpdate;
// myAccount.PositionUpdate -= OnPositionUpdate;

// Subscribe to new account subscriptions
// myAccount.AccountItemUpdate += OnAccountItemUpdate;
myAccount.ExecutionUpdate += OnExecutionUpdate;
myAccount.OrderUpdate += OnOrderUpdate;
// myAccount.PositionUpdate += OnPositionUpdate;
}
}


private void OnOrderUpdate(object sender, OrderEventArgs e) {
// Submit stop/target bracket orders
Print("OnOrderUpdate "+ PositionAccount.MarketPosition);

/* if (myEntryOrder != null && myEntryOrder == e.Order) {
if (e.OrderState == OrderState.Filled) {
string oco = Guid.NewGuid().ToString("N");

profitTarget = myAccount.CreateOrder( e.Order.Instrument,
OrderAction.Sell,
OrderType.Limit, OrderEntry.Manual, TimeInForce.Day,
e.Quantity,
e.AverageFillPrice + 10 * e.Order.Instrument.MasterInstrument.TickSize,
0, oco,
"Profit Target",
Core.Globals.MaxDate,
null);

stopLoss = myAccount.CreateOrder( e.Order.Instrument,
OrderAction.Sell,
OrderType.StopMarket,
OrderEntry.Manual,
TimeInForce.Day,
e.Quantity,
0,
e.AverageFillPrice - 10 * e.Order.Instrument.MasterInstrument.TickSize,
oco,
"Stop Loss",
Core.Globals.MaxDate,
null);

myAccount.Submit(new[] { profitTarget, stopLoss });

}

} */

}


private void OnExecutionUpdate(object sender, ExecutionEventArgs e) {
// Output the execution
Print("OnExecutionUpdate "+ PositionAccount.MarketPosition);
//NinjaTrader.Code.Output.Process("__OnExecutionUpda te "+ PositionAccount.MarketPosition), PrintTo.OutputTab1");
NinjaTrader.Code.Output.Process(string.Format("Ins trument: {0} Quantity: {1} Price: {2}", e.Execution.Instrument.FullName, e.Quantity, e.Price), PrintTo.OutputTab1);
Print("OnExecutionUpdate "+ PositionAccount.MarketPosition);
}



private void ManageStop(){
}


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

if (PositionAccount.MarketPosition != MarketPosition.Flat) Print("Open PnL Ticks/Dollars: " + PositionAccount.GetUnrealizedProfitLoss(Performanc eUnit.Ticks, Close[0]) +"/"+ PositionAccount.GetUnrealizedProfitLoss(Performanc eUnit.Currency, Close[0]) + " MarketPosition="); //+MarketPosition.ToString());+position.MarketPositi on
// if (PositionAccount.MarketPosition != MarketPosition.Flat) Print("Open PnL Dollars: " + PositionAccount.GetUnrealizedProfitLoss(Performanc eUnit.Currency, Close[0]));


switch ( Position.MarketPosition )
{
case MarketPosition.Flat:
return;
case MarketPosition.Long:
Print ("Long");
break;
case MarketPosition.Short:
Print ("Short");
break;
}




}

}
}

[BartMan]

After removal of the script and reboot, I can again place orders