Exit Execution

[proptradingshop]

Hello, I have a strategy that is set to Calculate.OnBarClose

I have some logic in OnOrderUpdate that will set my profit & stop loss as below

protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice, int quantity, int filled, double averageFillPrice, OrderState orderState, DateTime time, ErrorCode error, string comment)
        {
            if(order.OrderState == OrderState.Filled)
            {
                if (order.IsShort)
                {
                    ExitShortStopMarket((double)openingRangeHigh, @"cover loss", @"short");
                    ExitShortLimit(StrategyHelpers.GetProfitTargetBasedOnRR(Close[0], (double)openingRangeHigh, RR), @"cover profit", @"short");
                }
                else
                {
                    ExitLongStopMarket((double)openingRangeLow, @"sell loss", @"long");
                    ExitLongLimit(StrategyHelpers.GetProfitTargetBasedOnRR(Close[0], (double)openingRangeLow, RR), "sell profit", @"long");
                }
            }
            
        }​ 

My question is will the exits trigger when price is hit or will it also wait for the bar close?

[NinjaTrader_Gaby]

Hello proptradingshop,

Thank you for your post.

As a heads up, if you are basing your strategy logic based on order fills, we recommend you do this from OnExecutionUpdate() instead.

"For triggering actions such as the submission of a stop loss order and target order using custom OCO logic when your entry order is filled, we recommend working directly in OnExecutionUpdate() instead."

"Critical: If you want to drive your strategy logic based on order fills you must use OnExecutionUpdate() instead of OnOrderUpdate(). OnExecutionUpdate() is always triggered after OnOrderUpdate(). There is internal strategy logic that is triggered after OnOrderUpdate() is called but before OnExecutionUpdate() that can adversely affect your strategy if you are relying on tracking fills within OnOrderUpdate()."

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

OnExecutionUpdate() is called on an incoming execution of an order managed by a strategy. It will not wait for the bar to close, the Calculate setting only affects how often OnBarUpdate() is called.

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

Please let me know if you have any further questions.

[proptradingshop]

Thank you NinjaTrader_Gaby for the resources. I have moved my code to OnExecutionUpdate...however I am unable to see my stop loss or profit target being hit within backtests. By glancing at the code can you tell why?

I have validated my print statements and have my targets set accordingly, just seems that when price is breaching these values the orders are not being executed.

        protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
        {
            base.OnExecutionUpdate(execution, executionId, price, quantity, marketPosition, orderId, time);

            if (execution.Order.OrderState == OrderState.Filled && (execution.Order.Name.Equals(@"buy") || execution.Order.Name.Equals(@"short")))
            {
                {
                    Cbi.Order stopOrder = new Cbi.Order();
                    Cbi.Order targetOrder = new Cbi.Order();
                    if (execution.Order.IsShort)
                    {
                        stopOrder = ExitShortStopMarket((double)openingRangeHigh, @"cover loss", @"short", );
                        targetOrder = ExitShortLimit(StrategyHelpers.GetProfitTargetBasedOnRR(Close[0], (double)openingRangeHigh, RR), @"cover profit", @"short");
                        stopOrder.IsLiveUntilCancelled = true;
                        targetOrder.IsLiveUntilCancelled = true;
                        Print(Bars.Instrument.FullName + " Setting Stop Loss @" + (double)openingRangeHigh + " Setting Profit Target @" + StrategyHelpers.GetProfitTargetBasedOnRR(Close[0], (double)openingRangeHigh, RR));
                    }
                    if (execution.Order.IsLong)
                    {
                        stopOrder = ExitLongStopMarket((double)openingRangeLow);
                        targetOrder = ExitLongLimit(StrategyHelpers.GetProfitTargetBasedOnRR(Close[0], (double)openingRangeLow, RR), "sell profit", @"long");
                      
                        Print(Bars.Instrument.FullName + " Setting Stop Loss @" + (double)openingRangeLow + " Setting Profit Target @" + StrategyHelpers.GetProfitTargetBasedOnRR(Close[0], (double)openingRangeLow, RR));
                    }

                    stopOrder.IsLiveUntilCancelled = true;
                    targetOrder.IsLiveUntilCancelled = true;
                }
            }
        }​ 

[NinjaTrader_Gaby]

Hello proptradingshop,

If the expected trade(s) are not appearing, this would indicate that the condition to place the order is not evaluating as true and the order is not being submitted, or the order is being ignored for other reasons, or the order is being cancelled.

To understand why the script is behaving as it is, such as placing orders or not placing orders or drawing objects when expected, it is necessary to add prints to the script that print the values used for the logic of the script to understand how the script is evaluating.

In the strategy add prints (outside of any conditions) that print the date time of the bar and all values compared in every condition that places an order.

The prints should include the time of the bar and should print all values from all variables and all hard coded values in all conditions that must evaluate as true for this action to be triggered. It is very important to include a text label for each value and for each comparison operator in the print to understand what is being compared in the condition sets.

Prints will appear in the NinjaScript Output window (New > NinjaScript Output window).

It is also helpful to set TraceOrders to true in State.Configure as well as print the order object in OnOrderUpdate().

TraceOrders will output to the NinjaScript Output window a message when orders are being submitted, ignored, cancelled, or rejected.

Printing the order object in OnOrderUpdate() will allow you to track the progression of the order from submitted, to working, to filled, cancelled, or rejected.
These tools will let you know what happens to the order.

TraceOrders - https://ninjatrader.com/support/help...raceorders.htm
OnOrderUpdate() - https://ninjatrader.com/support/help...rderupdate.htm

I am happy to assist you with analyzing the output from the output window.

Run or backtest the script and when the output from the output window appears save this by right-clicking the output window and selecting Save As... -> give the output file a name and save -> then attach the output text file to your reply.

Below is a link to a forum post that demonstrates using informative prints to understand behavior and includes a link to a video recorded using the Strategy Builder to add prints.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

Please let me know if I may further assist with analyzing the output or if you need any assistance creating a print or enabling TraceOrders.

[proptradingshop]

Thank you NinjaTrader_Gaby. I figured the issue above was related to a null reference and fixed it. However I do have one other question. It seems that when running my strategy live, only 1 of the orders is ever placed, since my stopOrder is first in the code it will be placed but not my targetOrder. I can switch the order and have my targetOrder be placed first. I am using TDA. How can I have it be a OCO order for my take profit and stop loss.

[NinjaTrader_Gaby]

Hello proptradingshop,

With the managed approach, you cannot tie orders via true OCO. This would only be possible using the Unmanaged Approach. With the Managed Approach, you can however tie orders together using signal names. You can specify the fromEntrySignal in your exit orders to tie the exit to the entry and exit the position quantity represented by the actual entry.

ExitLongStopMarket(double stopPrice, string fromEntrySignal)

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

ExitLongLimit(double limitPrice, string fromEntrySignal)

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

Please let me know if you have any other questions.

[proptradingshop]

Thank you NinjaTrader_Gaby for your support. Good catch, I was missing the fromSignal param on my ExitLongStopMarket but can you confirm that both orders would post on TDA. I added the fromSignal and I am only seeing the stopOrder post to TDA not the targetOrder.

[NinjaTrader_Gaby]

Hello proptradingshop,

I recommend adding prints and enabling TraceOrders to confirm anything. TraceOrders in particular will let us know if/when orders are being submitted, ignored, cancelled, or rejected when the conditions for submit your target order are true.

Please let us know if we can assist further.

[proptradingshop]

One last question, NinjaTrader_Gaby. If I have a strategy running live, I then make updates to the code/strategy. I then disable and reenable the strategy. Would the new updates take effect? Or would it require me to delete and recreate the strategy again?

[NinjaTrader_Gaby]

Hello,

If this is on a chart, you would need to right-click within the chart > Reload NinjaScript. If you made changes in State.SetDefaults, this would require removing that instance of the strategy and then adding a new instance.

From the Strategies tab of the Control Center, you should remove the old instance and add a new instance when you make a change to the code in order for it to update.

Please let me know if you have any further questions.