Multiple Instrument exits

[thehammer]

i have a pairs strategy that i have entering on 2 different instruments and i cant seem to get it to trigger the exits on the secondary instrument

here is the code : private bool ManageExit()
{
double currentSpread = CalculateSpread();
double spreadMean = spreadMeanIndicator[0];
double spreadStdDev = spreadStdDevIndicator[0];
double currentCorrelation = CalculateCurrentCorrelation();

Print("Checking Exit Conditions:");
Print("Current Spread: " + currentSpread);
Print("Spread Mean: " + spreadMean);
Print("Spread StdDev: " + spreadStdDev);
Print("Spread Deviation from Mean for Exit: " + Math.Abs(currentSpread - spreadMean));
Print("Required Deviation (StdDev) for Exit: " + spreadStdDev);

// Calculate the ATR-based profit target with multiplier
double atrProfitTargetPrimary = atrIndicatorPrimary[0] * atrMultiplier;
double atrProfitTargetSecondary = atrIndicatorSecondary[0] * atrMultiplier;


Print("Checking Exit Conditions based on ATR targets:");
Print("ATR Profit Target Primary: " + atrProfitTargetPrimary);
Print("ATR Profit Target Secondary: " + atrProfitTargetSecondary);



// Check if both positions are in profit and meet ATR target
bool primaryProfitTargetMet = Positions[0].MarketPosition == MarketPosition.Long && Close[0] - Positions[0].AveragePrice >= atrProfitTargetPrimary ||
Positions[0].MarketPosition == MarketPosition.Short && Positions[0].AveragePrice - Close[0] >= atrProfitTargetPrimary;

bool secondaryProfitTargetMet = Positions[1].MarketPosition == MarketPosition.Long && Closes[1][0] - Positions[1].AveragePrice >= atrProfitTargetSecondary ||
Positions[1].MarketPosition == MarketPosition.Short && Positions[1].AveragePrice - Closes[1][0] >= atrProfitTargetSecondary;


// Apply the exit logic for each instrument based on the profit target met condition
if (primaryProfitTargetMet)
{
Print("Exiting primary position based on ATR target.");
if (Position.MarketPosition == MarketPosition.Long) ExitLong("ExitATRLongNQ", "NQ_F_Long");
else if (Position.MarketPosition == MarketPosition.Short) ExitShort("ExitATRShortNQ", "NQ_F_Short");
}

if (secondaryProfitTargetMet)
{
Print("Exiting secondary position based on ATR target.");
if (Position.MarketPosition == MarketPosition.Long) ExitLong("ExitATRLongES", "ES_F_Long");
else if (Position.MarketPosition == MarketPosition.Short) ExitShort("ExitATRShortES", "ES_F_Short");
}



// Check if the spread-based exit condition is met
if (Math.Abs(CalculateSpread() - spreadMeanIndicator[0]) <= spreadStdDevIndicator[0])
{
Print("Exiting all positions based on spread condition.");
ExitLong("ExitSPRDLongNQ", "NQ_F_Long");
ExitShort("ExitSPRDShortNQ", "NQ_F_Short");
ExitLong("ExitSPRDLongES", "ES_F_Long");
ExitShort("ExitSPRDShortES", "ES_F_Short");
}


return primaryProfitTargetMet || secondaryProfitTargetMet; // Return true if any exit was executed
}


please help , i cant seem to figure this one out

[NinjaTrader_Jesse]

Hello thehammer,

For this type of situation it would generally be suggested to use prints to confirm that your condition is becoming true. I see that you are only using Position.MarketPosition which is the primary position. For multiple instruments you need to use Positions plural to be able to access the position of the second instrument. You can see an example here:

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

[thehammer]

so i made the changes to the plural with the positions and it is printing that the exits are being made on the secondary positions

but the exits on the secondary positions are still not exiting properly and the exit names are not showing on the chart like they are on the primary

but the position entrance names on both primary and secondary positions are correct

so i don’t know what I’m doing wrong with this ?

here is a portion of the output

OnBarUpdate called - Bar #9933 - Spread: 12204.5
Spread Mean: 12183.2925
Spread StdDev: 9.57092308766507
Series NQ 03-24 - Bar Count: 9933, Last Close: 17022.75, Timestamp: 12/19/2023 1:27:00 PM
Series ES 03-24 - Bar Count: 9933, Last Close: 4818.25, Timestamp: 12/19/2023 1:27:00 PM
Series ^VIX - Bar Count: 5328, Last Close: 12.52, Timestamp: 12/19/2023 1:15:00 PM
Correlation between NQ 03-24 and ES 03-24 is: 0.91
Entering Short NQ and Long ES
NQ position is Short
ES positions is Long
Exiting secondary position based on ATR target.
OnBarUpdate called - Bar #9933 - Spread: 12204.5
Spread Mean: 12183.2925
Spread StdDev: 9.57092308766507
Series NQ 03-24 - Bar Count: 9933, Last Close: 17022.75, Timestamp: 12/19/2023 1:27:00 PM
Series ES 03-24 - Bar Count: 9933, Last Close: 4818.25, Timestamp: 12/19/2023 1:27:00 PM
Series ^VIX - Bar Count: 5328, Last Close: 12.52, Timestamp: 12/19/2023 1:15:00 PM
OnBarUpdate called - Bar - Spread: 12205.5
Spread Mean: 12183.5125
Spread StdDev: 9.82270170319755
Series NQ 03-24 - Bar Count: 9934, Last Close: 17023.5, Timestamp: 12/19/2023 1:30:00 PM
Series ES 03-24 - Bar Count: 9934, Last Close: 4818, Timestamp: 12/19/2023 1:30:00 PM
Series ^VIX - Bar Count: 5328, Last Close: 12.52, Timestamp: 12/19/2023 1:15:00 PM
Correlation between NQ 03-24 and ES 03-24 is: 0.91
Entering Short NQ and Long ES
NQ position is Short
ES positions is Long
Exiting secondary position based on ATR target.

and here is the updated code

private bool ManageExit()
{
double currentSpread = CalculateSpread();
double spreadMean = spreadMeanIndicator[0];
double spreadStdDev = spreadStdDevIndicator[0];
double currentCorrelation = CalculateCurrentCorrelation();

/*Print("Checking Exit Conditions:");
Print("Current Spread: " + currentSpread);
Print("Spread Mean: " + spreadMean);
Print("Spread StdDev: " + spreadStdDev);
Print("Spread Deviation from Mean for Exit: " + Math.Abs(currentSpread - spreadMean));
Print("Required Deviation (StdDev) for Exit: " + spreadStdDev);*/

// Calculate the ATR-based profit target with multiplier
double atrProfitTargetPrimary = atrIndicatorPrimary[0] * atrMultiplier;
double atrProfitTargetSecondary = atrIndicatorSecondary[0] * atrMultiplier;


/*Print("Checking Exit Conditions based on ATR targets:");
Print("ATR Profit Target Primary: " + atrProfitTargetPrimary);
Print("ATR Profit Target Secondary: " + atrProfitTargetSecondary);*/

Print("NQ position is " + Positions[0].MarketPosition);
Print("ES positions is " + Positions[1].MarketPosition);


// Check if both positions are in profit and meet ATR target
bool primaryProfitTargetMet = Positions[0].MarketPosition == MarketPosition.Long && Close[0] - Positions[0].AveragePrice >= atrProfitTargetPrimary ||
Positions[0].MarketPosition == MarketPosition.Short && Positions[0].AveragePrice - Close[0] >= atrProfitTargetPrimary;

bool secondaryProfitTargetMet = Positions[1].MarketPosition == MarketPosition.Long && Closes[1][0] - Positions[1].AveragePrice >= atrProfitTargetSecondary ||
Positions[1].MarketPosition == MarketPosition.Short && Positions[1].AveragePrice - Closes[1][0] >= atrProfitTargetSecondary;


// Apply the exit logic for each instrument based on the profit target met condition
if (primaryProfitTargetMet)
{

if (Positions[0].MarketPosition == MarketPosition.Long) ExitLong("ExitATRLongNQ", "NQ_F_Long");
else if (Positions[0].MarketPosition == MarketPosition.Short) ExitShort("ExitATRShortNQ", "NQ_F_Short");
Print("Exiting primary position based on ATR target.");
}


if (secondaryProfitTargetMet)
{

if (Positions[1].MarketPosition == MarketPosition.Long) ExitLong("ExitATRLongES", "ES_F_Long");
else if (Positions[1].MarketPosition == MarketPosition.Short) ExitShort("ExitATRShortES", "ES_F_Short");
Print("Exiting secondary position based on ATR target.");
}



// Check if the spread-based exit condition is met
if (Math.Abs(CalculateSpread() - spreadMeanIndicator[0]) <= spreadStdDevIndicator[0])
{

if (Positions[0].MarketPosition == MarketPosition.Long) ExitLong("ExitSPRDLongNQ", "NQ_F_Long");
else if (Positions[0].MarketPosition == MarketPosition.Short) ExitShort("ExitSPRDShortNQ", "NQ_F_Short");
Print("Exiting NQ positions based on spread condition.");


if (Positions[1].MarketPosition == MarketPosition.Long) ExitLong("ExitSPRDLongES", "ES_F_Long");
else if (Positions[1].MarketPosition == MarketPosition.Short) ExitShort("ExitSPRDShortES", "ES_F_Short");
Print("Exiting ES positions based on spread condition.");
}


return primaryProfitTargetMet || secondaryProfitTargetMet; // Return true if any exit was executed
}

[NinjaTrader_Jesse]

Hello thehammer,

When you say the exits are not happening properly what do you mean?

Do you see the exits happening in the strategies performance report?

[thehammer]

so this is a picture it is entering and exiting on the secondary position but exits is happening because of the new entry direction not because it is properly exiting

[NinjaTrader_Jesse]

Hello thehammer,

If you are seeing a reversal that means your entry logic is becoming true while you are in a position. You need to disable the entry condition while in a position to avoid a reversal.

[thehammer]

actually i got it to work k properly with this solution: EnterLong(int barsInProgressIndex, int quantity, string signalName)

thanks for the help

[thehammer]

and this ExitLong(int barsInProgressIndex, int quantity, string signalName, string fromEntrySignal)

[judysamnt7]

Hi Jesse and thehammer,
I have had similar issue with it. In order to call ExitLong() for 2nd data series, the difficulty is how to obtain remaining position quantity.
BTW, for #5 thread above, how did you get the entry/exit signal on the chart , along with the red/green dotted line ? is there a place to configure the dotted line ?

thanks in advance

[NinjaTrader_Gaby]

You would need to get the Positions quantity.

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

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

[judysamnt7]

thanks Gaby.
you didn't reply my question regarding how to generate the red dotted line which connects entry order and exit order. do I need configure it somewhere from strategy or data series?
thanks

[NinjaTrader_Jesse]

Hello judysamnt7,

To have the lines between orders you would need to apply the strategy directly to a chart and make sure in the data series menu the plot executions option is set to text and markers.

[judysamnt7]

Jesse,
what do you mean by applying strategy directly to the chart? I always enable the strategy and turn on execution plot to text and marker. Just curious why I am not seeing the line between orders.

[judysamnt7]

this is a screenshot for post #13

[NinjaTrader_Jesse]

Hello judysamnt7,

You can also apply a strategy directly to the control center, in that situation no strategy information is shown in the charts. You would only see executions but no connecting lines. That may also relate to the chart trader, try and close the chart trader to see if that helps.