Entry at day close

[mrboltuae]

Hi!

I'm struggling to enter at the day close correctly.

I have two data series:
1. timeframe day
2. timeframe 1m

So, what is the approach:
1. On day timeframe I analyze specific metrics as signals to enter
2. On a minute timeframe I enter and exit positions

In the strategy I have

            
endDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 14, 59, 0);    
if(BarsInProgress == 0)
            {
if(Condition1 > 120){
LongCon1 = true}

if(ConditionExit <= 0.5)
{
  LongExit = true
}
}
if(BarsInProgress == 1)
            {
                if(LongCon1
                    && Time[0] == endDateTime_RTH
                    )
                {
                    EnterLong (0, 1, RegularLong);
                }

                if(Position.MarketPosition == MarketPosition.Long
                    && Time[0] == endDateTime_RTH
                    && LongExit
                    ){

                    ExitLong();​​
}​

​

but results are still not correct, what I'm missing here? How to correctly enter and exit and day close?

Thank you!

[NinjaTrader_Emily]

Hello mrboltuae,

Thank you for your post.

What are the results you are seeing vs. the results you are expecting to see? You could always add Print() statements to further debug your strategy's behavior and understand why it is not behaving as expected:

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

As for placing trades at specific times, you could implement a time filter to limit your trades to specific hours. This concept is demonstrated in the following reference sample:

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

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

[mrboltuae]

Hi, Emily

As you can see I already implemented such timefilter, so, don't see any value here.

As per expectations: now orders open at next candle Open, not the Close, see image below. So, order should have opened at 25.10 close, not 26.10 open.

[NinjaTrader_Emily]

Hello mrboltuae,

Thank you for your reply.

Are you seeing this happen in real-time, historical (backtest), or both? What is the "Calculate" property for your strategy set to?

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

I would expect this behavior to happen in historical processing or in real-time with calculate set to Calculate.OnBarClose because the condition would be evaluated at the close of a bar and intrabar actions would not be available. For historical backtests, if you'd like intrabar fill prices, you must use the High Order Fill Resolution or submit orders to a more granular data series, with 1-tick being the most granular option. More information may be found at the following links:

• https://ninjatrader.com/support/help...ime_vs_bac.htm
• https://ninjatrader.com/support/help...ical_fill_.htm
• https://ninjatrader.com/support/help...ipt_strate.htm
• https://ninjatrader.com/support/foru...ive#post773377

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

[mrboltuae]

yes, it's in historical backtest, with OnBarClose.

I do understand what you are saying, that's why from the begining I mentioned that I have already two data series, and it doesn't help, I'm trying to understand at what time I should place entry and exit as I need to wait for close daily bar and then enter.

[NinjaTrader_Emily]

Hello mrboltuae,

Thank you for your reply.

When are you specifically looking to enter? You mention "day close" though do you mean on the last 1 minute bar of the session or at a different time? A bar's close is signaled by the first tick of the next bar, which means the close of a daily bar is signaled by the first tick of the next session. If you want to enter/exit at the close of a day, it is expected that it would occur on the very first tick of the next session. Please clarify exactly when you are looking to enter/exit so I may better understand and assist you. Keep in mind that (depending on the instrument you are trading) there may be a session break at the close of the day and trades may not be allowed at that time until the next session begins.

I look forward to your reply.

[mrboltuae]

Ok, Emily.

I'm trying to enter/exit at 15.00 Chicago time.The instrument is NQ.

Btw, also wanted to ask: Ninja is not good platform for swing trading, like when you hold position for 3-4 days? I'm running some strategy, with such swing trading, and faced with issue when connection was lost and after positions were not showen in positions tab, so, trying to understand how to handle it in real environment.

[NinjaTrader_Emily]

Ok, Emily.

I'm trying to enter/exit at 15.00 Chicago time.The instrument is NQ.

Btw, also wanted to ask: Ninja is not good platform for swing trading, like when you hold position for 3-4 days? I'm running some strategy, with such swing trading, and faced with issue when connection was lost and after positions were not showen in positions tab, so, trying to understand how to handle it in real environment.

If your primary (daily) data series is using RTH, I suspect your added 1-minute data series is also using RTH. To enter on the 1-minute candle stamped at 15:00, you will need to add the 1-minute series with a trading hours template that includes that time, such as the ETH trading hours template. There are a few method signatures for AddDataSeries() that allow you to specify the tradingHoursName:

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

With that said, this warning should also be kept in mind: "If your NinjaScript object is using AddDataSeries() allowing to specify a tradingHoursName, please keep in mind that: An indicator / strategy with multiple DataSeries of the same instrument will only process realtime OnBarUpdate() calls when a tick occurs in session of the trading hour template of all added series. Any ticks not processed will be queued and processed as a tick comes in for all subsequent DataSeries."

As for holding positions for multiple days, especially if they are managed by automated strategies, the platform must remain open and connected for the strategy logic to properly manage the position. If the connection is lost, the strategy won't be connected to manage the position. If you ever have questions about live orders/positions, you should immediately reach out to your broker's orders desk for assistance.

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

[mrboltuae]

I even did this:

            else if (State == State.Configure)
            {    
                AddDataSeries(null, Data.BarsPeriodType.Minute, 1);
            }​
            startDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 08, 30, 0);
            endDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 14, 58, 0);    
            endDateTime_RTH2 = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 14, 59, 0);  

            if(BarsInProgress == 0 && Time[0] >= startDateTime_RTH && Time[0] <= endDateTime_RTH)
            {​
         <HERE I'm calculating metrics on Day close>
            if(BarsInProgress == 1){
                if(Time[0] == endDateTime_RTH2
                    && LongExit
                    ){
                    ExitLong();

                }            

                if(LongCon1
                    && Time[0] == endDateTime_RTH2
                    )
                {
                    EnterLong (0, IQ, RegularLong);
                }​
} ​

So, I guess no need to add another trading hours if I want to enter last minute at session close, right?

Still struggling to find an error, in Trades tab I see that trades entries like 00:00:00

[NinjaTrader_Emily]

I even did this:

 else if (State == State.Configure)
{
AddDataSeries(null, Data.BarsPeriodType.Minute, 1);
}​
startDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 08, 30, 0);
endDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 14, 58, 0);
endDateTime_RTH2 = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 14, 59, 0);

if(BarsInProgress == 0 && Time[0] >= startDateTime_RTH && Time[0] <= endDateTime_RTH)
{​
<HERE I'm calculating metrics on Day close>
if(BarsInProgress == 1){
if(Time[0] == endDateTime_RTH2
&& LongExit
){
ExitLong();

}

if(LongCon1
&& Time[0] == endDateTime_RTH2
)
{
EnterLong (0, IQ, RegularLong);
}​
} ​

So, I guess no need to add another trading hours if I want to enter last minute at session close, right?

Still struggling to find an error, in Trades tab I see that trades entries like 00:00:00

I previously mentioned using print statements to debug your strategy. What prints have you tried so far? What values print out if you print the values for startDateTime_RTH, endDateTime_RTH, and endDateTime_RTH2? Please print the time of the current bar when you call EnterLong() and ExitLong() as well to compare the time of the bar with the times used in your variables and conditions to get a deeper understanding of the strategy's behavior.

If you are unsure of the meaning of the output, please right-click the NinjaScript Output and save the output to a text file that may be attached to your reply.

Thank you for your time and patience.

[mrboltuae]

Hi, Emily

So, what I tried already
1. "If your primary (daily) data series is using RTH, I suspect your added 1-minute data series is also using RTH. To enter on the 1-minute candle stamped at 15:00, you will need to add the 1-minute series with a trading hours template that includes that time, such as the ETH trading hours template. There are a few method signatures for AddDataSeries() that allow you to specify the tradingHoursName"

Added Data series with new trading hours
AddDataSeries(null, new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 1 }, "CME US Index Futures ETH");
2. Main trading hours for Day timeframe is "CME US Index Futures RTH"

Given that:

            else if (State == State.Configure)
            {    
                AddDataSeries(null, new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 1 }, "CME US Index Futures ETH");
            }    ​

    protected override void OnBarUpdate()
        {

            startDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 08, 30, 0);
            endDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 16, 00, 0);    
            endDateTime_RTH2 = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 16, 00, 0);​

if(BarsInProgress == 0 && Time[0] == endDateTime_RTH)
            {​
<CALCULATING DAY METRICS>
}

if(BarsInProgress == 1){
                if(LongCon1
                    && Time[0] == endDateTime_RTH2
                    )
                {
                    EnterLong (0, IQ, RegularLong);
                }​

What I got: trades exit at 17.01 (don't understand why) and entry is 00:00

[NinjaTrader_Emily]

Hi, Emily

So, what I tried already
1. "If your primary (daily) data series is using RTH, I suspect your added 1-minute data series is also using RTH. To enter on the 1-minute candle stamped at 15:00, you will need to add the 1-minute series with a trading hours template that includes that time, such as the ETH trading hours template. There are a few method signatures for AddDataSeries() that allow you to specify the tradingHoursName"

Added Data series with new trading hours
AddDataSeries(null, new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 1 }, "CME US Index Futures ETH");
2. Main trading hours for Day timeframe is "CME US Index Futures RTH"

Given that:

 else if (State == State.Configure)
{
AddDataSeries(null, new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 1 }, "CME US Index Futures ETH");
} ​

protected override void OnBarUpdate()
{

startDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 08, 30, 0);
endDateTime_RTH = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 16, 00, 0);
endDateTime_RTH2 = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 16, 00, 0);​

if(BarsInProgress == 0 && Time[0] == endDateTime_RTH)
{​
<CALCULATING DAY METRICS>
}

if(BarsInProgress == 1){
if(LongCon1
&& Time[0] == endDateTime_RTH2
)
{
EnterLong (0, IQ, RegularLong);
}​

What I got: trades exit at 17.01 (don't understand why) and entry is 00:00

"What I got: trades exit at 17.01 (don't understand why) and entry is 00:00"

In this case, please see the questions from my previous reply:

I previously mentioned using print statements to debug your strategy. What prints have you tried so far? What values print out if you print the values for startDateTime_RTH, endDateTime_RTH, and endDateTime_RTH2? Please print the time of the current bar when you call EnterLong() and ExitLong() as well to compare the time of the bar with the times used in your variables and conditions to get a deeper understanding of the strategy's behavior.

If you are unsure of the meaning of the output, please right-click the NinjaScript Output and save the output to a text file that may be attached to your reply.

You have advised what behavior you got (what times the entries/exits happened) but not what the prints are showing you for the time values used in your conditions. Please try adding prints and let me know the results from the output if you still do not understand why the exit was at 17:01 and the entry was 00:00.

Thank you for your time and patience.

[mrboltuae]

Hi, Emily

I solved the problem, I just used one main data series with 1 minute time frame and then filtered it in the strategy, thank you!