Announcement

Collapse

Looking for a User App or Add-On built by the NinjaTrader community?

Visit NinjaTrader EcoSystem and our free User App Share!

Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
See more
See less

Partner 728x90

Collapse

trace vs Long Limit Entry signal

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    trace vs Long Limit Entry signal

    if my trace shows a SubmitOrderManaged() Limit Order on 13:23:56

    why does "Long Limit Entry" appear on the chart on the next bar 13:25:00

    using real-time with 1000 volume interval.

    #2
    Hello dibDab,

    Was the order submitted after the bar closed or before the bar closed?

    Is this Calculate OnEachTick or OnBarClose?
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      I Calculate OnEachTick.but these are historic bars, the trace shows a SubmitOrderManaged() Limit Order on 13:23:56 but the chart shows "Long Limit Entry" on the next bar 13:25:00?

      Comment


        #4
        is it because NT8 can accurately predict the price was hit on the next bar?

        Comment


          #5
          Hello dibDab,

          As this is historical, have you added a 1 tick series, placed orders to the barsInProgressIndex of that series for intra-bar granularity, and enabled TickReplay?

          Below is a link to a forum post with instructions.
          https://ninjatrader.com/support/foru...377#post773377
          Chelsea B.NinjaTrader Customer Service

          Comment


            #6
            no just working on the chart data series, is that a problem?

            Comment


              #7
              ok have read the link, very useful thanks.

              just one point, re "When in historical data, only the Open, High, Low, and Close will be available and there will be no intra-bar data. This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known."

              but it allows exit on the same bar as the entry.

              shouldn't this apply to exit i.e. has to happen on subsequent bars?
              Last edited by dibDab; 11-09-2022, 11:34 AM.

              Comment


                #8
                Hello dibDab,

                If an entry and exit is placed on the bar without intra-bar granularity, this would be a historical overfill.

                An exit will "happen" or fill when a valid price from the data series can fill the order after it becomes working working.
                Chelsea B.NinjaTrader Customer Service

                Comment


                  #9
                  Unless I've misunderstood, I think it would better (at least without the granularity) if entry actions could happen intrabar but not exit actions since we don't know which price came first (but we do if the exit is on a subsequent bar)?
                  Last edited by dibDab; 11-09-2022, 12:29 PM.

                  Comment


                    #10
                    Hello dibDab,

                    Without intra-bar granularity no actions or order fills happen intra-bar.

                    An entry and an exit at the same time is a historical overfill. Add intra-bar granularity to resolve.
                    Last edited by NinjaTrader_ChelseaB; 11-09-2022, 12:34 PM.
                    Chelsea B.NinjaTrader Customer Service

                    Comment


                      #11
                      yes will do and thank you for great support.

                      but I may not have fully grasped this yet, do I have 2 options:

                      1. add a 1 tick series, place orders to the barsInProgressIndex of that series for intra-bar granularity, and enable TickReplay?

                      or

                      2. place my entry limit orders (isLiveUntilCancelled) on whatever chart series is in use but disallow exit limit orders (isLiveUntilCancelled) on the entry bar. If the price I need is anywhere on the bar then I have accurate fills?
                      Last edited by dibDab; 11-10-2022, 01:25 AM.

                      Comment


                        #12
                        Hello dibDab,

                        1-tick intra-bar granularity provides the order fills the tick data necessary to have order fills accurate to 1 tick.

                        TickReplay allows OnBarUpdate() to update before the bar closes with Calculate.OnPriceChange and .OnEachTick.

                        Both are necessary to have intra-bar order submissions (TickReplay) and have those orders fill intra-bar (1-tick intra-bar granularity).

                        IsLiveUntilCancelled being true prevents an order from automatically being cancelled when the bar closes. This is not related to order fill accuracy. This is related to whether or not you want the order to continue working or if you want the order to be cancelled.
                        Chelsea B.NinjaTrader Customer Service

                        Comment


                          #13
                          done. thanks again for your support.

                          Comment


                            #14
                            So, if I understand correctly, for historic data, even if a script places a unmanaged market order on a specific bar, it will not be placed until the next bar?

                            Comment


                              #15
                              Hello MisterTee,

                              In historical Calculate is On bar close only unless TickReplay is enabled. The bar closes, the logic for the bar is checked, and if an order is submitted, it's submitted as a new bar is opening.

                              With TickReplay and 1-tick intra-bar granularity orders can be submitted before the condition bar closes and orders can fill on the same bar.

                              This is true with managed and unmanaged.
                              Chelsea B.NinjaTrader Customer Service

                              Comment

                              Latest Posts

                              Collapse

                              Topics Statistics Last Post
                              Started by ngchun1, Today, 09:29 PM
                              0 responses
                              1 view
                              0 likes
                              Last Post ngchun1
                              by ngchun1
                               
                              Started by ngchun1, Today, 09:25 PM
                              0 responses
                              5 views
                              0 likes
                              Last Post ngchun1
                              by ngchun1
                               
                              Started by ngchun1, Today, 09:21 PM
                              0 responses
                              3 views
                              0 likes
                              Last Post ngchun1
                              by ngchun1
                               
                              Started by Alaina19, Today, 09:17 PM
                              0 responses
                              3 views
                              0 likes
                              Last Post Alaina19  
                              Started by ngchun1, Today, 09:05 PM
                              0 responses
                              4 views
                              0 likes
                              Last Post ngchun1
                              by ngchun1
                               
                              Working...
                              X