exits based on strategy price vs actual fill price

[giulyko00]

Is there a way with the unmanaged approach to code and calculate the exits so that they're not based on the average filled price "Order.AverageFillPrice", but instead on the price the strategy would have wanted when the entry signal started?

[NinjaTrader_ChelseaB]

Hello giulyko00,

You could save the current Close[0] (or GetCurrentAsk()/GetCurrentBid()) to a variable in OnBarUpdate() and use this as the base for the calculation when submitting the exits.

private double marketPriceAtEntryCondition;

In OnBarUpdate():

if (/* condition to enter here */)
{
marketPriceAtEntryCondition = Close[0]; // you will want logic to ensure this condition only evaluates once until the trade is closed so this price is not continuously updated
SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.Market, 1, 0, 0, "", "longEntry");
}

In OnExecutionUpdate():
if (exection.Name == "longEntry")
{
SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.StopMarket, 1, 0, Math.Min(GetCurrentBid() - TickSize, marketPriceAtEntryCondition - 10 * TickSize), "longEntry", "longExit");
}

[giulyko00]

Ok thank you