Possible timespan coding issue

[wisdomspoon]

Hello,

Currently I'm working on developing code that uses 2 timespans.
1) 8:30a - 9:30a
2) 9:30a - 1:00p

Within the first timespan, I'm tracking highest high and lowest low. These numbers are accurately being updated and printed throughout both timespans.
Within the second timespan, I'm trying to take a trade based on a close above or below either the highest high or lowest low. The trade should stay active until filled.
The issue I'm having is that with strategy analyzer and playback, no trades are being taken so it must be in my code.

Hoping to get some eyes on my code to see what might be causing the issue, please.

Establishing Timespans within OnBarUpdate:

TimeSpan sessionStartTime = new TimeSpan(8, 30, 30);
TimeSpan sessionEndTime = new TimeSpan(9, 30, 0);
TimeSpan tradeStartTime = new TimeSpan(9, 31, 0);
TimeSpan tradeEndTime = new TimeSpan(13, 0, 0);​

Establishing HighestHigh/LowestLow:

// Wait for the first bar after 8:30 AM
if (Time[0].TimeOfDay < tradeStartTime)
return;

// Wait for the second bar to close
if (CurrentBar < 2)
return;

// Update the pivotHighestHigh whenever a new highest high is found within the session time
if (High[0] > pivotHighestHigh)
{
pivotHighestHigh = High[0];
Print("New highest high: " + pivotHighestHigh + " at " + Time[0]);
}

// Update the pivotHighestHigh whenever a new lowest low is found within the session time
if (Low[0] < pivotLowestLow)
{
pivotLowestLow = Low[0];
Print("New lowest low: " + pivotLowestLow + " at " + Time[0]);
}​

Establishing Long Entry Condition:

// Check if the current time is within the trade time range
if (Time[0].TimeOfDay >= tradeStartTime && Time[0].TimeOfDay <= tradeEndTime)
{
// Check if the current close is greater than pivotHighestHigh
if (Close[0] > pivotHighestHigh)
{
// Calculate the Long Limit order price 20 points below pivotHighestHigh
double limitPrice = pivotHighestHigh - 20 * TickSize;

// Place the Long Limit order
EnterLongLimit(0, true, 1, limitPrice, "LongTrade");
}
}
}​

I'm using SetProfitTarget and SetStopLoss accordingly and I think I'm using the EnterLongLimit string correctly, with "true" being isLiveUntilCancelled. But again, no trades are being taken. Any help would be greatly appreciated.

Thanks,
J

[NinjaTrader_Emily]

Hello J,

Thank you for your post.

So I may accurately assist you, please answer all of the following questions:

• What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.?.?.?)
• Do you get any errors on the Log tab of the Control Center when you enable the strategy in playback or attempt a backtest in the Strategy Analyzer? If so, what do the errors report?
• Are you connected to your data feed provider when running this test in the Strategy Analyzer? If so, who is your data provider?
• What instrument(s) (and expiry if applicable) have you selected?
• What Data Series Type have you selected? Example: Tick, Minute, Day
• What From and To date is selected?

I look forward to your reply.

[wisdomspoon]

Hello J,

Thank you for your post.

So I may accurately assist you, please answer all of the following questions:

• What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.?.?.?)
  8.1.1.7 64-bit
• Do you get any errors on the Log tab of the Control Center when you enable the strategy in playback or attempt a backtest in the Strategy Analyzer? If so, what do the errors report?
  I do not receive any errors on the output. When I enable the script on a SIM account, this is the full printout from output:
  Enabling NinjaScript strategy 'IBHighLowSimple/256058866' : On starting a real-time strategy - StartBehavior=WaitUntilFlat EntryHandling=All entries EntriesPerDirection=1 StopTargetHandling=Per entry execution ErrorHandling=Stop strategy, cancel orders, close positions ExitOnSessionClose=True / triggering 30 seconds before close SetOrderQuantityBy=Strategy ConnectionLossHandling=Keep running DisconnectDelaySeconds=10 CancelEntriesOnStrategyDisable=False CancelExitsOnStrategyDisable=False Calculate=On bar close IsUnmanaged=False MaxRestarts=4 in 5 minutes
• Are you connected to your data feed provider when running this test in the Strategy Analyzer? If so, who is your data provider?
  Yes, I am running this using the same data provider I run all other strategies through (those work). My provider is Rithmic, but I have also tried this on Kinetick (End of Day).
• What instrument(s) (and expiry if applicable) have you selected?
  NQ Sep23. Same as other backtests that work.
• What Data Series Type have you selected? Example: Tick, Minute, Day
  30 seconds (Price based on Last), same on other backtests that work.
• What From and To date is selected?
  I've tried multiple settings. 01/2023 - 08/07/23, just 08/07/23-08/07/23, just August, etc. This really is just a coding issue, I believe. I have experience running backtests and analyzer.

I look forward to your reply.

Hi Emily,

Thanks for the response. I've added the answers to your questions above.

[NinjaTrader_ChelseaB]

Hello wisdomspoon,

Enable TraceOrders in State.Configure, and print the limit price, and the current ask just one line above where this is used in the order submission method call.

Print(string.Format("{0} | limitPrice: {1} < GetCurrentAsk(): {2}", Time[0], limitPrice, GetCurrentAsk()));

Temporarily comment out all other prints, so can focus on the output of just this one print and the output from TraceOrders.

Then please attach the output from the output window.

[wisdomspoon]

Hi ChelseaB,

Nice to hear from you on this. Thanks for your input. I've added that line and commented out all other prints.Unfortunately the only output I'm getting is this:

8/7/2023 1:16:39 PM Strategy 'IBHighNinjaForum/-1': Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Long Entry' Mode=Ticks Value=50 IsSimulatedStop=False IsMarketIfTouched=False
8/7/2023 1:16:39 PM Strategy 'IBHighNinjaForum/-1': Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Long Entry' Mode=Ticks Value=50 IsSimulatedStop=False IsMarketIfTouched=False
8/7/2023 1:16:39 PM Strategy 'IBHighNinjaForum/-1': Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Short Entry' Mode=Ticks Value=50 IsSimulatedStop=False IsMarketIfTouched=False
8/7/2023 1:16:39 PM Strategy 'IBHighNinjaForum/-1': Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Short Entry' Mode=Ticks Value=50 IsSimulatedStop=False IsMarketIfTouched=False​ 

That's with TraceOrders = true; in State.SetDefaults. I've also tried it in State.Configure as you've suggested using: TraceOrder = true; as well as within SetDefaults.

Again this is the only thing I'm getting:

8/7/2023 1:26:27 PM Strategy 'IBHighNinjaForum/-1': Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Long Entry' Mode=Ticks Value=50 IsSimulatedStop=False IsMarketIfTouched=False
8/7/2023 1:26:27 PM Strategy 'IBHighNinjaForum/-1': Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Long Entry' Mode=Ticks Value=50 IsSimulatedStop=False IsMarketIfTouched=False
8/7/2023 1:26:27 PM Strategy 'IBHighNinjaForum/-1': Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Short Entry' Mode=Ticks Value=50 IsSimulatedStop=False IsMarketIfTouched=False
8/7/2023 1:26:27 PM Strategy 'IBHighNinjaForum/-1': Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Short Entry' Mode=Ticks Value=50 IsSimulatedStop=False IsMarketIfTouched=False​ 

This backtest is from 07/03/23 - 08/07/23.

I also had tried adding a flag for condition met and tried printing the flag but this was not printing either. I've also tried nesting the double variable outside of the entry conditions but within OnBarUpdate to no avail. Here is the updated code I used, but note that I commented the other prints out as you suggested:

double limitPriceLow = pivotLowestLow + 20 * TickSize;
double limitPrice = pivotHighestHigh - 20 * TickSize;

// Check if the current time is within the trade time range
if (Time[0].TimeOfDay >= tradeStartTime && Time[0].TimeOfDay <= tradeEndTime)
{
// Check if the initial condition is met (Close[0] > pivotHighestHigh)
if (!isEntryConditionMet && Close[0] > pivotHighestHigh)
{
isEntryConditionMet = true;
// Print("Initial condition met. Waiting for additional conditions.");
}

// If the initial condition is met, check the additional conditions
if (isEntryConditionMet && Close[0] >= pivotHighestHigh)
{
// // Check additional conditions:
// if (Close[0] <= limitPrice)
// {

Print(string.Format("{0} | limitPrice: {1} < GetCurrentAsk(): {2}", Time[0], limitPrice, GetCurrentAsk()));

// Place the Long Limit order
EnterLongLimit(0, true, 1, limitPrice, "Long Entry");
// Print("Long Limit order placed at: " + limitPrice + " at " + Time[0]);

// Reset the flag to wait for the next initial condition
isEntryConditionMet = false;
}
}&#8203; 

Also including my State.Configure just in case I perhaps am using TraceOrders incorrectly.

            else if (State == State.Configure)
            {
            SetProfitTarget("Long Entry", CalculationMode.Ticks, longProfitTarget);
            SetStopLoss("Long Entry", CalculationMode.Ticks, longStopLoss, false);
            SetProfitTarget("Short Entry", CalculationMode.Ticks, shortProfitTarget);
            SetStopLoss("Short Entry", CalculationMode.Ticks, shortStopLoss, false);
            TraceOrders                = true;
            AddDataSeries(BarsPeriodType.Tick, 1);        
            } 

Any other suggestions would be helpful. Thank you kindly,
J

[wisdomspoon]

Also, I wanted to add this... do you suppose the reason I'm not able to "track" pivotHighestHigh, or pivotLowestLow, has something to do with the timespan? That's how I initially posited the question, is that because I'm tracking it in a timespan, then acting on it in a different timespan, perhaps that's why I'm not getting anything to print or unable to store the value of pivotHighestHigh pivotLowestLow because those occurred in a different timespan. See code from post 1 https://forum.ninjatrader.com/forum/...ue#post1263417 That's the only thing I can think of.. is that because I'm started a new timespan, it can't find the price of the pivots previously stored.

[wisdomspoon]

I have been able to update the code to take trades now. The issue was on the second timespan. By removing this, I was able to get it to work:

// Wait for the first bar after 9:30 AM
if (Time[0].TimeOfDay < new TimeSpan(9, 31, 0) || Time[0].TimeOfDay > new TimeSpan(13, 30, 0))
return;&#8203; 

However, the problem I'm having is that the trades are being taken during this time period with this timespan:

// Wait for the first bar after 8:30 AM
if (Time[0].TimeOfDay < new TimeSpan(8, 31, 0) || Time[0].TimeOfDay > new TimeSpan(9, 30, 0))
return;&#8203; 

I need to be able to segregate it into another timespan so that the pivotHighestHigh and pivotLowestLow are checked in only the 8:31 to 9:30, but trades are taken after that timespan is complete. How can that be done without adding the first timespan code that is posted above (9:31 - 13:30)?

Also, Chelsea, thanks for the print read-out.... that's now functioning correctly, sample below:

Short Limit order placed at: 15823 at 7/27/2023 8:33:00 AM
7/27/2023 8:34:30 AM | limitPriceLow: 15823 < GetCurrentAsk(): 15863
7/27/2023 8:34:31 AM Strategy 'IBHighNinjav3/256058918': Entered internal SubmitOrderManaged() method at 7/27/2023 8:34:31 AM: BarsInProgress=0 Action=SellShort OrderType=Limit Quantity=1 LimitPrice=15823.00 StopPrice=0 SignalName='Short Entry' FromEntrySignal=''
Short Limit order placed at: 15823 at 7/27/2023 8:34:30 AM
7/27/2023 8:41:30 AM | limitPriceLow: 15823 < GetCurrentAsk(): 15886.5
7/27/2023 8:41:31 AM Strategy 'IBHighNinjav3/256058918': Entered internal SubmitOrderManaged() method at 7/27/2023 8:41:31 AM: BarsInProgress=0 Action=SellShort OrderType=Limit Quantity=1 LimitPrice=15823.00 StopPrice=0 SignalName='Short Entry' FromEntrySignal=''
Short Limit order placed at: 15823 at 7/27/2023 8:41:30 AM
7/27/2023 8:49:30 AM | limitPriceLow: 15823 < GetCurrentAsk(): 15888.75
7/27/2023 8:49:31 AM Strategy 'IBHighNinjav3/256058918': Entered internal SubmitOrderManaged() method at 7/27/2023 8:49:31 AM: BarsInProgress=0 Action=SellShort OrderType=Limit Quantity=1 LimitPrice=15823.00 StopPrice=0 SignalName='Short Entry' FromEntrySignal=''
Short Limit order placed at: 15823 at 7/27/2023 8:49:30 AM&#8203; 

[NinjaTrader_Emily]

Hello wisdomspoon,

Thank you for the update.

You mentioned you need to check pivotHighestHigh and pivotLowestLow only between 8:31 and 9:30, yet you also want to allow trades after that timespan. Please clarify; are there any restricted times when you do not want any trades placed? If so, what are the times you want to place trades and the times you do not? You would likely need to put your entry logic into its own time filters.

I look forward to your clarification.

[wisdomspoon]

Hello wisdomspoon,

Thank you for the update.

You mentioned you need to check pivotHighestHigh and pivotLowestLow only between 8:31 and 9:30, yet you also want to allow trades after that timespan. Please clarify; are there any restricted times when you do not want any trades placed? If so, what are the times you want to place trades and the times you do not? You would likely need to put your entry logic into its own time filters.

I look forward to your clarification.

Hi Emily,

Please note the initial post. https://forum.ninjatrader.com/forum/...ue#post1263417

These are the timespans:

TimeSpan sessionStartTime = new TimeSpan(8, 30, 30);
TimeSpan sessionEndTime = new TimeSpan(9, 30, 0);
TimeSpan tradeStartTime = new TimeSpan(9, 31, 0);
TimeSpan tradeEndTime = new TimeSpan(13, 0, 0);​

Thanks,
J

[wisdomspoon]

I got it to work, you can close this ticket.
Thanks,
J