Multi Instrument Exit On Session Behavior

[nandhumca]

Hi,

I am using ES Mini as main (0) series and ES Micro as secondary data series (1) . My bot will do the analysis on ES Mini and place orders on ES Micro. While I was doing back testing on playback I observed that NT is placing Exit order on session close (30 seconds before) on ES-Mini for the open position ES-Micro. This is not expected. Do I need configure anything on strategy to place existing on session close orders on secondary data series ?

[NinjaTrader_Gaby]

Hello nandhumca,

Thank you for your post.

This is the expected behavior. From the Help Guide:

"Determines if the strategy will cancel all strategy generated orders on all strategy instruments and close all open strategy positions at the close of ANY session for multi-time frame/multi-instrument strategies."

https://ninjatrader.com/support/helpguides/nt8/isexitonsessionclosestrategy.htm

If you wanted to exit based on the session close of a particular instrument / data series, you would need to set IsExitOnSessionCloseStrategy to false and come up with your own custom logic to exit on session close of a secondary series.

Please let us know if you have any further questions.

[nandhumca]

Actually my strategy has opened a Long position for MES. The expected behavior at the end of the session should be Short on MES. Instead of that it is opening Short Position on ES. This is unexpected. Please check the SS attached.

[NinjaTrader_Gaby]

To understand why the script is behaving as it is, such as placing orders or not placing orders 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.

The debugging print output should clearly show what the condition is, what time the conditions are being compared, all values being compared, and how they are being compared.

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

Further, enable TraceOrders which will let us know if any orders are being ignored and not being submitted when the condition to place the orders is evaluating as true.

After enabling TraceOrders remove the instance of the strategy from the Configured list in the Strategies window and add a new instance of the strategy from the Available list.

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 support article that demonstrates using informative prints to understand behavior and includes a link to a video recorded using the Strategy Builder to add prints.

https://support.ninjatrader.com/s/ar...nd-TraceOrders