2 entry orders help!

[NinjaTrader_RyanL]

Hello endystrike,


You can search our extensive library of NinjaScript consultants through the link below to assist with any conversions of NinjaScript orders to the unmanaged approach.

Simply enter a consultant name or search by using our filter categories. Once you have identified your consultants of choice, please visit each consultant's site for more information or contact them directly to learn more!

• http://ninjatraderecosystem.com/Part...ultants.php#81

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Please let me know if you have any questions, concerns or if I can provide any further assistance by responding to this thread at your convenience.

[endystrike]

Thank you endystrike. It looks like we were able to narrow down what is occurring to, at some point, your strategy attempting to go long and short at the same time. To determine why this is the case, please use the visual studio debugging instructions here,

http://ninjatrader.com/support/helpGuides/nt8/en-us/visual_studio_debugging.htm

, setting breakpoints on the lines containing all Enter and Exit methods. You may also want to review the Internal Order Handling rules here,

http://ninjatrader.com/support/helpGuides/nt8/en-us/managed_approach.htm

We are happy to help with any questions we may.

It's correct, I'd like to place at the same time 2 orders at different levels: 1 long on Yest high + 1 short order on Yest low but it seems not possible with Managed Approach, correct?
Can you please help me to convert this code to work in Unmanaged Approach if it's necessary to manage 2 orders?

It seems strange in any case you cannot send 2 orders at the same time, maybe I'm doing some mistakes...

Thanks a lot!

[NinjaTrader_JessicaP]

Thank you endystrike. It looks like we were able to narrow down what is occurring to, at some point, your strategy attempting to go long and short at the same time. To determine why this is the case, please use the visual studio debugging instructions here,

http://ninjatrader.com/support/helpGuides/nt8/en-us/visual_studio_debugging.htm

, setting breakpoints on the lines containing all Enter and Exit methods. You may also want to review the Internal Order Handling rules here,

http://ninjatrader.com/support/helpGuides/nt8/en-us/managed_approach.htm

We are happy to help with any questions we may.

[endystrike]

Hello,
thanks for your reply, I tried to give you all the informations required to solve the problem (probably I'm not ablecode 2 pending stop orders...)

Thanks!

Andrea


Do you see expected results when running the same test environment on the SampleMaCrossOver strategy in NinjaTrader with as many of the same settings as your strategy as possible?

How can I use this code that uses market orders while my strategy use different stop pending orders for this purpose? Anyway Sample SMA Crossover has no problem tested...

By expected results, I mean that the SampleMACrossover places trades whenever two SMAs with the specified periods cross.
Who are you connected to? This is displayed in green on lower left corner of the Control Center window.

I'm connected to CQG

Are you connected to your data feed provider when running this test?

Yes

What instrument(s) (and expiry if applicable) have you selected?

FDAX 12-16... Tested also on GC 02-17

What Data Series Type have you selected? Example: Tick, Minute, Day

Primary data series is 5 minute chart

What From and To date is selected?

To Today: 5000 days back

Is your strategy a multi instrument or multi time frame strategy?

Multitimeframe:
- primary data is 5 minutes
- 2nd (from code) is 15 minutes
- 3rd (from code) is 1440 minutes = 1 day from intraday data


Do you receive an error on screen?

No error on screen, but hundreads of thousands lines of this output

06/12/2016 15:59:00 Strategy 'Test2Orders/92501471': Ignored SubmitOrderManaged() method at 06/12/2016 15:59:00: BarsInProgress=0 Action=Buy OrderType=StopMarket Quantity=1 LimitPrice=0 StopPrice=1190,2 SignalName='LE' FromEntrySignal='' Reason='Order already has this stop price/limit price/quantity'
06/12/2016 15:59:00 Strategy 'Test2Orders/92501471': Entered internal SubmitOrderManaged() method at 06/12/2016 15:59:00: BarsInProgress=0 Action=SellShort OrderType=StopMarket Quantity=1 LimitPrice=0 StopPrice=1158,6 SignalName='SE' FromEntrySignal=''
06/12/2016 16:00:00 Strategy 'Test2Orders/92501471': Cancelled expired order: BarsInProgress=0, orderId='NT-61376-73' account='Sim101' name='LE' orderState=Working instrument='GC 02-17' orderAction=Buy orderType='Stop Market' limitPrice=0 stopPrice=1190.2 quantity=1 tif=Day oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2016-12-06 15:46:00' gtd='2099-12-01' statementDate='2016-12-06'
Enabling NinjaScript strategy 'Test2Orders/92501471' : On starting a real-time strategy - StartBehavior=WaitUntilFlatSynchronizeAccount EntryHandling=Unique entries EntriesPerDirection=1 StopTargetHandling=Per entry execution ErrorHandling=Stop strategy, cancel orders, close positions ExitOnSessionClose=True / triggering 30 seconds before close SetOrderQuantityBy=Strategy ConnectionLossHandling=Recalculate DisconnectDelaySeconds=10 CancelEntriesOnStrategyDisable=False CancelExitsOnStrategyDisable=False Calculate=On each tick IsUnmanaged=False MaxRestarts=4 in 5 minutes

Are there errors on the Log tab of the Control Center? If so, what do these errors report?

Time Category Message
06/12/2016 17:47:29 Default Strategy 'Test2Orders/92501471': An Enter() method to submit an entry order at '17/01/2008 08:00:00' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

[NinjaTrader_JessicaP]

Hello endystrike, and thank you for your question.

It will be easier to answer questions about strategies not producing expected results if we could answer as many of the following questions as possible. Could you take a few minutes to review these questions? I am happy to explain further any of the below questions and the rationale behind asking them.

• Do you see expected results when running the same test environment on the SampleMaCrossOver strategy in NinjaTrader with as many of the same settings as your strategy as possible?
• • By expected results, I mean that the SampleMACrossover places trades whenever two SMAs with the specified periods cross.
• Who are you connected to? This is displayed in green on lower left corner of the Control Center window.
• Are you connected to your data feed provider when running this test?
• What instrument(s) (and expiry if applicable) have you selected?
• What Data Series Type have you selected? Example: Tick, Minute, Day
• What From and To date is selected?
• Is your strategy a multi instrument or multi time frame strategy?
• Do you receive an error on screen? Are there errors on the Log tab of the Control Center? If so, what do these errors report?
  

[endystrike]

Hello,
I'm trying to test some trading ideas and I solved most of the problems I found...
But I cannot code a system with 2 entry orders: for example in this code, I'd like that will be active both entry orders, but in the report short trades are significally lower than long trades and sometimes it seems an open long position is not reverted into a short position by a short entry order...
In trying to convert some system from Multicharts to NinjaTrader and apart from this problem with different entry orders, everything else seems to be very fine in NinjaTrader 8...

I read somewhere there's the possibility to use another approach to manage orders but it seems too much complicated, then if you can help me I'd edit this file for the nexts strategies!

Thanks for your help!
Have a nice day!

#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

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
	public class Test2Orders : Strategy
	{
		private double MyAtr;
		private bool OkLong;
		private bool OkShort;
		private double highd1;
		private double lowd1;
		private double closed1;
		private double opend1;
		private double highd2;
		private double lowd2;
		private double closed2;
		private double opend2;

		protected override void OnStateChange()
		{
			if (State == State.SetDefaults)
			{
				Description									= @"Test to place 2 opposite entry orders: 1 long on High of Yesterday, 1 short on Low of Yesterday";
				Name										= "Test2Orders";
				Calculate									= Calculate.OnEachTick;
				EntriesPerDirection							= 1;
				EntryHandling								= EntryHandling.UniqueEntries;
				IsExitOnSessionCloseStrategy				= true;
				ExitOnSessionCloseSeconds					= 30;
				IsFillLimitOnTouch							= true;
				MaximumBarsLookBack							= MaximumBarsLookBack.TwoHundredFiftySix;
				OrderFillResolution							= OrderFillResolution.Standard;
				Slippage									= 0;
				StartBehavior								= StartBehavior.WaitUntilFlatSynchronizeAccount;
				TimeInForce									= TimeInForce.Day;
				TraceOrders									= true;
				RealtimeErrorHandling						= RealtimeErrorHandling.StopCancelClose;
				StopTargetHandling							= StopTargetHandling.ByStrategyPosition;
				BarsRequiredToTrade							= 20;
				// Disable this property for performance gains in Strategy Analyzer optimizations
				// See the Help Guide for additional information
				IsInstantiatedOnEachOptimizationIteration	= true;
				OffsetBrk					= 0;
				MyContracts					= 1;
				StopATR						= 1;
				BegTime 					= DateTime.Parse("08:00");
				EndTime						= DateTime.Parse("16:00");
				CloseTime					= DateTime.Parse("16:15");
				MyStopTicks					= 120;
				OkLong						= true;
				OkShort						= true;
			}
			else if (State == State.Configure)
			{
				AddDataSeries(BarsPeriodType.Minute, 15);		// Added to calculate ATR on 15 min chart
				AddDataSeries(BarsPeriodType.Minute, 1440);		// Added to calculate previous days OHLC values
				SetStopLoss(CalculationMode.Ticks, MyStopTicks);
			}
		}

		protected override void OnBarUpdate()
		{
		if (CurrentBars[0] < 1 || CurrentBars[2] < 2)
			return;
			
		if (ToDay(Times[0][0]) != ToDay(Times[0][1]))		// Do something when changes Day...
		{
			highd1 = Highs[2][0];	// Calculate previous days OHLC values from intraday data (1440 mins) => Data Index [2]
			lowd1 = Lows[2][0];
			closed1 = Closes[2][0];
			opend1 = Opens[2][0];
			highd2 = Highs[2][1];
			lowd2 = Lows[2][1];
			closed2 = Closes[2][1];
			opend2 = Opens[2][1];
			OkLong = true;		// 1 long trade per day
			OkShort = true;		// 1 short trade per day
		}

		MyAtr = ATR(BarsArray[1], 20)[0];	//ATR based on 15 mins chart => Data Index [1]

		if (Times[0][0].TimeOfDay >= BegTime.TimeOfDay && Times[0][0].TimeOfDay < EndTime.TimeOfDay)
		{
			if (OkLong)		//Send order only if it would be the first long trade of the day
			{
				EnterLongStopMarket(MyContracts, highd1+OffsetBrk, @"LE");
			}
			
			if (OkShort)	//Send order only if it would be the first short trade of the day
			{
				EnterShortStopMarket(MyContracts, lowd1-OffsetBrk, @"SE");
			}
		}
		
		if (Position.MarketPosition == MarketPosition.Long)
		{
			OkLong = false;		// No more Long trades for today!
			if (StopATR>0)
			{
				ExitLongStopMarket(Position.AveragePrice - StopATR*MyAtr, @"LE", @"LXx");
			}
			if (Times[0][0].TimeOfDay >= CloseTime.TimeOfDay)		// Time to close open long position
			{
				ExitLong(@"LX", @"LE");
			}
		}
		
		if (Position.MarketPosition == MarketPosition.Short)
		{
			OkShort = false;	// No more Short trades for today!
			if (StopATR>0)
			{
				ExitShortStopMarket(Position.AveragePrice + StopATR*MyAtr, @"SE", @"SXx");
			}
			if (Times[0][0].TimeOfDay >= CloseTime.TimeOfDay)		// Time to close open short position
			{
				ExitShort(@"SX", @"SE");
			}
		}

		}

		#region Properties
		[NinjaScriptProperty]
		[Range(-100, double.MaxValue)]
		[Display(ResourceType = typeof(Custom.Resource), Name="OffsetBrk", Description="Offset Breakout Levels: <0 anticipate >0 posticipate by X points", Order=1, GroupName="NinjaScriptStrategyParameters")]
		public double OffsetBrk
		{ get; set; }

		[NinjaScriptProperty]
		[Range(1, int.MaxValue)]
		[Display(ResourceType = typeof(Custom.Resource), Name="MyContracts", Description="Contracts", Order=2, GroupName="NinjaScriptStrategyParameters")]
		public int MyContracts
		{ get; set; }

		[NinjaScriptProperty]
		[Range(1, double.MaxValue)]
		[Display(ResourceType = typeof(Custom.Resource), Name="StopATR", Description="ATR Multiplier", Order=3, GroupName="NinjaScriptStrategyParameters")]
		public double StopATR
		{ get; set; }

		[NinjaScriptProperty]
		[PropertyEditor("NinjaTrader.Gui.Tools.TimeEditorKey")]
		[Display(ResourceType = typeof(Custom.Resource), Name="BegTime", Description="Begin Time: when start placing orders", Order=4, GroupName="NinjaScriptStrategyParameters")]
		public DateTime BegTime
		{ get; set; }
		
		[NinjaScriptProperty]
		[PropertyEditor("NinjaTrader.Gui.Tools.TimeEditorKey")]
		[Display(ResourceType = typeof(Custom.Resource), Name="EndTime", Description="End Time: when stop entering the market", Order=5, GroupName="NinjaScriptStrategyParameters")]
		public DateTime EndTime
		{ get; set; }
		
		
		[NinjaScriptProperty]
		[PropertyEditor("NinjaTrader.Gui.Tools.TimeEditorKey")]
		[Display(ResourceType = typeof(Custom.Resource), Name="CloseTime", Description="Close Time: When to Flat Positions", Order=6, GroupName="NinjaScriptStrategyParameters")]
		public DateTime CloseTime
		{ get; set; }

		[NinjaScriptProperty]
		[Range(1, int.MaxValue)]
		[Display(ResourceType = typeof(Custom.Resource), Name="MyStopTicks", Description="StopLoss Ticks: Maximum amount of ticks for stoploss value", Order=7, GroupName="NinjaScriptStrategyParameters")]
		public int MyStopTicks
		{ get; set; }
		#endregion

	}
}