Multiple orders at the same direction

[PageNotFound404]

Trying to create test strategy using historical data to get multiple order in the same direction, basically "average in" strategy, change setting "Entries per direction" for 100 (do not need, but "in case") and still have only one order executed at the time. Note i'm using 2 time series "long" and "short". "long is decision making, "short" is execution. Yes using if (BarsInProgress == 1) "short" for all entries. Would appreciate some advise, high level pseudo-code, sample, reference point how to accomplish that, so far on my own - no such luck.
--PNF.

[NinjaTrader_BrandonH]

Hello PNF,

Thanks for your post.

Placing multiple orders in the same direction is controlled with the signal names of your strategy, and properties EntryHandling and EntriesPerDirection.

This reference sample can help with scaling in and out of a strategy:
https://ninjatrader.com/suppport/helpGuides/nt8/en-us/scaling_out_of_a_position.htm

This sample can assist further with managing multiple exit/entry signals:
https://ninjatrader.com/support/helpGuides/nt8/en-us/using_multiple_entry_exit_sign.htm

Note that 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, and fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the known information.

Because of this, OnBarUpdate will only update 'On bar close' as it does not have the intra-bar information necessary for 'On price change' or 'On each tick' and the script will not have the intra-bar information to accurately fill an order at the exact price and time.

Please review the help guide document on the differences on real-time vs backtest (historical).
http://ninjatrader.com/support/helpG...ime_vs_bac.htm

Additional information may be found in this NinjaTrader Forum post —
https://ninjatrader.com/support/foru...mance?t=102504

Let us know if we may be of further assistance to you.

[PageNotFound404]

Brandon Hn.,

Thank you for information. I was able to get out the loop i was in. After fix code and run i have 2 more questions.
Please take a look on attached picture, i do not understand why numbers are so different and 2. when i submit limit order and close price is higher than limit, system will be using market order? Appreciate all your help.
--PNF

[NinjaTrader_BrandonH]

Hello PageNotFound404,

Thanks for your note.

Please run an optimization using the SampleMACrossOver in the Strategy Analyzer window using the same settings seen in the demonstration video below.

Demonstration video: https://brandonh-ninjatrader.tinytak...NF8yMDYxNDU2Mg

Do you see similar results occurring on your end when testing the SampleMACrossOver strategy as seen in the demonstration video?

I look forward to further assisting.

[PageNotFound404]

Hi Brandon H.,
Well i do see see similar numbers, yet not the same ???, which i would have expect.
I do not know what that similar indicates.
How about question #2:
when i submit limit order and close price is higher than limit, system will be using market order?

Instrument	Performance	Parameters	Total net profit	Gross profit	Gross loss	Profit factor	Max. drawdown	Total # of trades	Percent profitable
ES 12-22	0.97	6/21 (Fast,Slow)	($3,337.50)	$129,887.50	($133,225.00)	0.97	($23,900.00)	1734	33.74%
	0.97	10/22 (Fast,Slow)	($3,550.00)	$124,087.50	($127,637.50)	0.97	($24,150.00)	1488	35.48%
	0.97	10/25 (Fast,Slow)	($4,075.00)	$117,525.00	($121,600.00)	0.97	($23,062.50)	1355	33.36%
	0.96	6/22 (Fast,Slow)	($4,962.50)	$125,625.00	($130,587.50)	0.96	($23,750.00)	1680	32.98%
	0.95	9/25 (Fast,Slow)	($5,575.00)	$118,200.00	($123,775.00)	0.95	($22,825.00)	1392	34.12%
	0.95	10/24 (Fast,Slow)	($5,875.00)	$119,225.00	($125,100.00)	0.95	($24,350.00)	1403	33.86%
	0.95	6/23 (Fast,Slow)	($6,862.50)	$124,575.00	($131,437.50)	0.95	($24,037.50)	1631	32.92%
	0.94	10/23 (Fast,Slow)	($7,250.00)	$120,425.00	($127,675.00)	0.94	($25,787.50)	1448	33.84%
	0.94	6/25 (Fast,Slow)	($7,525.00)	$120,300.00	($127,825.00)	0.94	($25,412.50)	1558	33.06%
	0.94	8/22 (Fast,Slow)	($8,237.50)	$122,762.50	($131,000.00)	0.94	($26,762.50)	1549	34.86%
Performance	All trades	Long trades	Short trades
Total net profit	($3,337.50)	$4,925.00	($8,262.50)
Gross profit	$129,887.50	$70,137.50	$59,750.00
Gross loss	($133,225.00)	($65,212.50)	($68,012.50)
Commission	$0.00	$0.00	$0.00
Profit factor	0.97	1.08	0.88
Max. drawdown	($23,900.00)	($11,612.50)	($19,325.00)
Sharpe ratio	-0.85	0.80	-0.82
Sortino ratio	-1.73	81.49	-1.50
Ulcer index	0.07	0.03	0.06
R squared	0.48	0.02	0.70
Probability	59.04%	27.50%	82.62%
Start date	11/1/2022
End date	11/30/2022
Total # of trades	1734	867	867
Percent profitable	33.74%	34.37%	33.10%
# of winning trades	585	298	287
# of losing trades	1079	531	548
# of even trades	70	38	32
Total slippage	0	0	0
Avg. trade	($1.92)	$5.68	($9.53)
Avg. winning trade	$222.03	$235.36	$208.19
Avg. losing trade	($123.47)	($122.81)	($124.11)
Ratio avg. win / avg. loss	1.80	1.92	1.68
Max. consec. winners	10	5	7
Max. consec. losers	12	12	11
Largest winning trade	$3,987.50	$3,987.50	$3,225.00
Largest losing trade	($3,875.00)	($1,450.00)	($3,875.00)
Avg. # of trades per day	81.02	40.51	40.51
Avg. time in market	17.03 min	17.48 min	16.58 min
Avg. bars in trade	17.02	17.47	16.58
Profit per month	($3,283.67)	$4,845.56	($8,129.23)
Max. time to recover	21.04 days	19.65 days	21.04 days
Longest flat period	2.20 days	2.21 days	2.21 days
Avg. MAE	$129.58	$128.85	$130.32
Avg. MFE	$199.97	$201.79	$198.15
Avg. ETD	$201.90	$196.11	$207.68
Item	Value
Strategy parameters
Fast	6 (5;10;1)
Slow	21 (20;25;1)
Data Series
Start date	11/1/2022
End date	11/30/2022
Price based on	Last
Type	Minute
Value	1
Tick Replay	False
Trading hours
Break at EOD	True
Setup
Include commission	False
Label	Sample MA crossover
Maximum bars look back	256
Bars required to trade	20
Historical fill processing
Order fill resolution	Standard (Fastest)
Fill limit orders on touch	False
Slippage	0
Order handling
Entries per direction	1
Entry handling	All entries
Exit on session close	True
Order properties
Set order quantity	Strategy
Time in force	GTC