I have a Ninja script for a strategy. The strategy places orders automatically when criteria is met. However, it is not fully respecting the math.truncate or math.floor functions to round down the position size. Position size is calculated almost accurately but whenever the position size calculation results in a decimal answer like 9.33, it will place order with 10. I also noticed that a position size calculation was 12.5 and it placed order with 12 which was correct. But more often than not, it is not rounding down, especially when the stop distance is small. Can somebody help?
The calculations are for $MNQ symbol where one tick is 0.25 and value for one tick is $0.50.
Search for "// Calculate the position size based on the dollar risk" code section.
The calculations are for $MNQ symbol where one tick is 0.25 and value for one tick is $0.50.
Search for "// Calculate the position size based on the dollar risk" code section.
Code:
#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
namespace NinjaTrader.NinjaScript.Strategies
{
public class orderblockshort : Strategy
{
private int merkbar = 0;
private bool signal = true;
private bool exitsignal = false;
private bool positionClosedOnBar = false; // New flag to track if a position was closed on the current bar
private double entryprice = 0.0;
private double stopprice = 0.0;
private double profitTarget = 0.0;
private bool entrybedingung = false;
private Order entryOrder = null;
[NinjaScriptProperty]
[Range(0, double.MaxValue)]
[Display(Name="Dollar Risk", Description="The dollar risk per trade", Order=1)]
public double DollarRisk { get; set; }
[NinjaScriptProperty]
[Range(0, double.MaxValue)]
[Display(Name="Entry Offset", Description="Offset in ticks for limit entry price", Order=2)]
public int EntryOffset { get; set; }
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "orderblockshort";
Calculate = Calculate.OnEachTick;
EntriesPerDirection = 3;
EntryHandling = EntryHandling.UniqueEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
IsInstantiatedOnEachOptimizationIteration = true;
signal = true;
exitsignal = false;
entrybedingung = false;
entryprice = 0.0;
stopprice = 0.0;
profitTarget = 0.0;
positionClosedOnBar = false; // Initialize the new flag
EntryOffset = 1; // Default to 1 tick
DollarRisk = 100; // Default dollar risk
}
else if (State == State.Configure)
{
}
else if (State == State.DataLoaded)
{
SetProfitTarget("short1", CalculationMode.Ticks, 160);
}
}
protected override void OnBarUpdate()
{
if (BarsInProgress != 0)
return;
if (CurrentBars[0] < 1)
return;
// Cancel order if condition for cancellation occurs
if ((State == State.Realtime) && Open[1] < Close[1])
{
exitsignal = false;
entrybedingung = false;
return;
}
if (signal == false)
return;
// Reset the flag on each new bar
if (CurrentBar != merkbar)
{
positionClosedOnBar = false;
merkbar = CurrentBar;
}
if ((State == State.Realtime)
&& (Position.MarketPosition == MarketPosition.Flat)
&& Open[2] < Close[2]
&& entrybedingung == false)
{
entrybedingung = true;
entryprice = Low[2];
stopprice = High[2];
}
if (entrybedingung == true && High[ 1] > stopprice) stopprice = High[1];
if ((State == State.Realtime)
&& (Position.MarketPosition == MarketPosition.Flat)
&& signal == true
&& entrybedingung == true
&& Close[1] < entryprice
&& positionClosedOnBar == false)
{
double stopLossDistance = stopprice - entryprice; // Distance to stop loss in price
int stopLossTicks = (int)(stopLossDistance / TickSize); // Convert to ticks
profitTarget = entryprice - (1.5 * stopLossDistance);
[B] // Calculate the position size based on the dollar risk
double tickValue = 0.50; // Value of one tick
double riskPerContract = stopLossTicks * tickValue; // Total risk per contract
double positionSize = DollarRisk / riskPerContract; // Calculate position size
int roundedPositionSize = (int)Math.Floor(positionSize); // Round to nearest whole number[/B]
// Apply entry offset to limit order price
double offsetEntryPrice = entryprice - (TickSize * EntryOffset);
entryOrder = EnterShortLimit(0, true, roundedPositionSize, offsetEntryPrice, "short1");
SetStopLoss("short1", CalculationMode.Price, stopprice, false); // Set stop loss
signal = false;
exitsignal = true;
merkbar = CurrentBar;
}
// If the entry order is still pending and the current bar's high is above the stop loss
if (entryOrder != null && entryOrder.OrderState == OrderState.Working)
{
if (High[0] > stopprice)
{
stopprice = High[0]; // Adjust stop loss to the new high
SetStopLoss("short1", CalculationMode.Price, stopprice, false); // Update the stop loss
}
}
// Check if the position has been closed and mark the flag
if (Position.MarketPosition != MarketPosition.Flat)
{
positionClosedOnBar = true; // Set the flag to prevent new position on the same bar
}
}
}
}
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