Sample using Multi-Instruments in strategy

[MGHORBEL]

Hello Ninjas
I coded an example to understand the use of several instruments in a strategy.

I noticed that there are only two instruments to trade at a time. I do not understand why ?

I have attached the file for you to try and tell me your comments and if there is a setting or problem that needs to be resolved.

I await your feedback

THANKS

[NinjaTrader_Jesse]

Hello MGHORBEL,

When using multiple instruments you need to use the Positions object to check the other instruments position, the Position object references only the primary series position. Beyond that you would need to add Print statements into your entry conditions to make sure that those conditions are becoming true. If they are not you can add a Print outside each of the conditions to print out the value being used in the condition to see why it was not true.

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

[MGHORBEL]

Hello Jesse
Thank you for your comments and advice.
I changed as you recommended.
I forced the strategy so that there will be one position in each instrument but I always find two positions in total.

[NinjaTrader_Jesse]

Hello MGHORBEL,

I see that you added prints for your conditions, are you seeing that the values being printed would lead to the condition to trade becoming true?

[MGHORBEL]

Hello Jesse
with this condition :

if(Positions[BarsInProgress].MarketPosition == MarketPosition.Flat)
{
sR = sRandom();
cdt = sR<1;
Print("Entry condition : " + cdt.ToString() + " _ " + Instrument.FullName + " _ " + DateTime.Now.ToString());
if(cdt)
{ EnterLong(BarsInProgress, appliedQuantity, Instrument.FullName + " _ " + DateTime.Now.ToString()); }
else
{ EnterShort(BarsInProgress, appliedQuantity, Instrument.FullName + " _ " + DateTime.Now.ToString()); }
}
else
{
Print(Instrument.FullName + " _ " + DateTime.Now.ToString() + " _ OnBarUpdate BarsInProgress = " + BarsInProgress);
Print("\t _ Position is " + Positions[BarsInProgress].MarketPosition);
}

I must have a position in each instrument.

[NinjaTrader_Jesse]

Hello MGHORBEL,

I understand that you want a position on each instrument, did that condition become true? You have prints that should be outputting the value of your condition, was the condition to trade true when you ran the script?

[MGHORBEL]

from what I see the condition is not true for all instruments

The image shows only two instruments with which the condition is true

[MGHORBEL]

I applied the strategy on the graphic CL

When I restart the strategy, other instruments which have the condition true but only two at a time.

if you try the strategy and you will notice the same thing

[NinjaTrader_Jesse]

Hello MGHORBEL,

For the purpose of testing I would suggest making your entry condition a simple bool value so you can be sure all conditions become true when the OnBarUpdate event is called for that series. Using the position and removing your other condition would be a easy way to do that.

if(Positions[BarsInProgress].MarketPosition == MarketPosition.Flat)
{​
   EnterLong(); 
}

[MGHORBEL]

I used this condition and it's not good because only one instrument have position. You can test it


if(Positions[BarsInProgress].MarketPosition == MarketPosition.Flat)
{
//EnterLong(BarsInProgress, appliedQuantity, Instrument.FullName + " _ " + DateTime.Now.ToString());
EnterLong();
}
else
{
Print(Instrument.FullName + " _ " + DateTime.Now.ToString() + " _ OnBarUpdate BarsInProgress = " + BarsInProgress);
Print("\t _ Position is " + Positions[BarsInProgress].MarketPosition);
}

[NinjaTrader_Jesse]

Hello MGHORBEL,

I would suggest to simplify your test further, I see this works on my end. You can do the following as a test:

protected override void OnStateChange()
{
   if (State == State.SetDefaults)
   {
      Calculate = Calculate.OnEachTick;
   }
   else if (State == State.Configure)
   {
      AddDataSeries("YM 03-24", BarsPeriodType.Minute, 5);
      AddDataSeries("NQ 03-24", BarsPeriodType.Minute, 5);
      AddDataSeries("RTY 03-24", BarsPeriodType.Minute, 5);
   }
}

protected override void OnBarUpdate()
{
   if(State == State.Historical) return;
   Print(BarsInProgress + " " + Positions[BarsInProgress].MarketPosition);
   if(Positions[BarsInProgress].MarketPosition == MarketPosition.Flat)
   {
      EnterLong();
   }
}

[MGHORBEL]

The Output is :

1 Flat
0 Long
2 Flat
1 Flat
2 Flat
2 Flat
0 Long
3 Flat
2 Flat
2 Flat

[MGHORBEL]

Can you send me your strategy file, please

[NinjaTrader_Jesse]

Hello MGHORBEL,

The code I posted is the full file, did you make any changes or did you try to use that in an existing strategy? For the purpose of testing create a new empty strategy and then use only that code. The only settings change you need to make to the new file is the Calculate setting to OnEachTick so that each instrument is called in realtime immediately. Additionally make sure you are using a chart for an instrument that is not being used with AddDataSeries so you have 4 different instruments.

I see that all instruments have a position opened when using that code.

[MGHORBEL]

I attached the file used and the result is :
2 Flat
0 Long
1 Flat
3 Flat
2 Flat
3 Flat
2 Flat
2 Flat
1 Flat
2 Flat
2 Flat
2 Flat
1 Flat
0 Long
2 Flat

I will watch again and I will come back to you tomorrow