Multiple limit entries and with 1 limit exit

[linkcou]

Hi team,

I want to develop an OnEachTick strategy that will have multiple limit entries with one single exit.

The idea will be to have multiple limit entries with 1 contract each order:
- LongEntry1 = Close[1] + 1
- LongEntry2 = Close[1] + 2
- LongEntry3 = Close[1] + 3
- LongEntry4 = Close[1] + 4

and 1 single ExitLimit with whatever is the quantity that has been filled in the bar at Close[1] - 0.25. This exit limit has to be dynamic and needs to be updated in each bar.

If the exitlimit is filled then cancel the entry limit orders that are in progress at the time the exit order happens.

Is there any documentation or example handy that you can share?

Thanks!

[NinjaTrader_Emily]

Hello linkcou,

Thank you for your note.

It is best to use separate signal names for each of your entry orders. You could either have a bool as part of the condition for your entries that is toggled between true/false when you want the orders to be active or not (you had mentioned cancel the orders in progress when the exit order happens) or you could use LIveUntilCanceled orders and explicitly cancel them with CancelOrder() when needed. We have more information about the two ways to "keep orders alive" in the following reference sample:

https://ninjatrader.com/support/helpGuides/nt8/keeping_orders_alive.htm

This sample demonstrates how to use CancelOrder() to cancel orders:

https://ninjatrader.com/support/helpGuides/nt8/using_cancelorder_method_to_ca.htm

Although you will have separate signal names for each entry order, you do not need to specify a fromEntrySignal name for the exit order. As noted in the help guide, if you use an empty string in fromEntrySignal the exit order is attached to all entries. This seems to be what you are looking for based on your description. For more info, see the ExitLongLimit() and ExitShortLimit() pages below:

https://ninjatrader.com/support/helpGuides/nt8/exitlonglimit.htm

https://ninjatrader.com/support/helpGuides/nt8/exitshortlimit.htm

Please let us know if we may be of further assistance.

[linkcou]

Thanks for your quick response, Emily!

I am running into some problems with the code. The code only generates the 1st entry limit order but not the rest. Therefore it's only entering once.

Below the piece of code in OnBarUpdate where i add the 4 entry limit orders. Do you see anything wrong with it?

[NinjaTrader_Emily]

Hello linkcou,

Thank you for your reply.

You may enable TraceOrders in State.SetDefaults to get useful output to the NinjaScript Output window and better understand why some orders might be ignored:

https://ninjatrader.com/support/helpGuides/nt8/traceorders.htm

I suggest reviewing your values for EntiresPerDirection and EntryHandling to ensure that multiple entries are allowed in the same direction:

https://ninjatrader.com/support/helpGuides/nt8/entriesperdirection.htm

https://ninjatrader.com/support/helpGuides/nt8/entryhandling.htm

Please let us know if we may be of further assistance.

[linkcou]

Hi Emily, thanks!!

Another issue that i am running into now is that i have a condition where if the price is between -0.25 and 0.25 of the previous close, it needs to cancel all orders. I realized though that it also cancel the Exit order.

Is there a way to exclude the exit order to be cancelled? Would a simple if condition with order.Name != "ExitLimitOrder" be enough?

For reference, the code below with the full entry logic:

[NinjaTrader_Emily]

Hello linkcou,

Thank you for your reply.

"Would a simple if condition with order.Name != "ExitLimitOrder" be enough?" This is my first thought; checking if the order.Name does not equal the name of the exit order should suffice to only cancel all orders other than the exit order when looping through the orders on the account. I suggest testing this out on a simulated account to ensure it behaves as desired, and you can always add print statements to make sure that the orders found in the loop are only the entry orders:

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

Please let us know if we may be of further assistance.

[linkcou]

Thanks Emily! i just added the condition and i think it's working well.

I have another question. I realized that the quantity of the exit order is not updated with every limit entry executed.

So the problem with this is that in some occassions i have a 3 contract position with an open exit order of 1 contract only. Do you know how can I fix this issue?

Below is the current code that i have for the OnExecutionUpdate:

[NinjaTrader_Emily]

Hello linkcou,

Thank you for your reply.

It seems as though you are setting the exit order quantity to execution.Order.Filled, which would only be the quantity from one of the entry executions and not all of them as a whole. You could try setting the quantity to null, which means that the following tip should apply:

• "If you do not specify a quantity the entire position is exited rendering your strategy flat"
  • https://ninjatrader.com/support/help...tlonglimit.htm

Otherwise, you could consider keeping track of an int variable, such as sumFilled, that changes quantity as the entries/exits are filled and use that sumFilled value as the quantity in your exit orders. The SampleOnOrderUpdate strategy has a sumFilled int that you could review as a resource to get started with tracking the sum filled in an int variable:

https://ninjatrader.com/support/helpGuides/nt8/using_onorderupdate_and_onexec.htm

Thank you for your time and patience.