Best way to reverse position on stop out?

[jaybedreamin]

I am trying to add some logic to an existing strategy that will reverse the position once a stop loss order has been filled. I've overridden onExecutionUpdate and added the following, but it doesn't seem to work:



protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity, Cbi.MarketPosition marketPosition, string orderId, DateTime time)

{

if (marketPosition == MarketPosition.Flat) return; // do nothing if position is flat



if (marketPosition == MarketPosition.Long && execution.Order.OrderAction == OrderAction.Sell) // if long position was stopped out

{

EnterShortLimit(IQ, Close[0]); // enter short position

SetStopLoss(CalculationMode.Price, Close[0] + StopLossATR * ATR(40)[0] );

}

else if (marketPosition == MarketPosition.Short && execution.Order.OrderAction == OrderAction.Buy) // if short position was stopped out

{

EnterLongLimit(IQ, Close[0]); // enter long position

SetStopLoss(CalculationMode.Price, Close[0] - StopLossATR * ATR(40)[0] );

}

}

I am wondering if it's because the market position cannot be NOT flat and a stop loss order is hit at the same time. Is there something I'm missing, or a different way to approach this?

[NinjaTrader_ChelseaB]

Hello jaybedreamin,

Always call Set methods before calling an entry method.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/97419-priceos-cs-expecting?p=802269#post802269

Further, ensure that the price you are supplying for the stop price is valid. A buy stop must be 1 tick above the ask, a sell stop must be 1 tick below the bid.

https://forum.ninjatrader.com/forum/ninjatrader-8/add-on-development/1198996-stop-price-can-t-be-changed#post1199001

If you are going to reverse the position using the managed approach, just call the entry in the opposite direction. Having an exit and an entry fill at the same time will double the position in the opposite direction.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/1036585-strategy-does-not-reverse-when-using-stoploss-trailstop?p=1036616#post1036616

Use prints if you want to understand the behavior. Print all of the values in the condition.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

With the check for the position being flat, I would suggest instead checking for the execution.Name to be the order name you are looking for.

[jaybedreamin]

Thanks for the reply Chelsea, always appreciated. I didn't know about this

Always call Set methods before calling an entry method.

I clicked the link you shared but couldn't really understand the context there, can you explain why this is necessary in simple terms? I've refactored my code to call these methods first now, but I want to understand why this is required.

[NinjaTrader_ChelseaB]

Hello jaybedreamin,

Certainly. The ProfitChaseStopTrailSetMethodsExample_NT8 example (the approach you are using), demonstrates dynamically setting the price of a stop using SetStopLoss().
On lines 94 to 103 the set methods are called before the entry to set these to a valid price before the entry is submitted.

The idea of a set method, is these are set and ready for an entry once the entry fills.

Use Exit methods when using the managed approach if you want to submit the exits after the entry is placed (ProfitChaseStopTrailExitOrdersExample_NT8).