2 entry orders help!

[NinjaTrader_ChelseaB]

Hello bobperez,

A few modifications would be necessary.

Lines 138 to 145 where the entries are being submitted in OnMarketData(), this would need to be moved to OnBarUpdate().

Then entry conditions (currently line 138) would need time conditions added.

if (longStopEntry == null && shortStopEntry == null && ToTime(Time[0]) == 93800)

Below is a link to an example of time conditions.

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

[bobperez]

Hello bobperez,

A few modifications would be necessary.

Lines 138 to 145 where the entries are being submitted in OnMarketData(), this would need to be moved to OnBarUpdate().

Then entry conditions (currently line 138) would need time conditions added.

if (longStopEntry == null && shortStopEntry == null && ToTime(Time[0]) == 93800)

Below is a link to an example of time conditions.
https://ninjatrader.com/support/help...to_limit_t.htm

Hi Chelsea,

I followed your suggestion, and it fills the order on the next bar, instead of placing the oco order on the desired bar.

protected override void OnBarUpdate()
{

if ( (longStopEntry == null && shortStopEntry == null )
&& ((ToTime(Time[0]) == 82900 )
|| (ToTime(Time[0]) == 113000 )
|| (ToTime(Time[0]) == 113800 )
|| (ToTime(Time[0]) == 142000 )
)
)

{
ocoString = string.Format("unmanagedentryoco{0}", DateTime.Now.ToString("hhmmssffff"));
longStopEntry = SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.Limit, 1, 0, (High[0] + 2 * TickSize), ocoString, "longStopEntry");
shortStopEntry = SubmitOrderUnmanaged(0, OrderAction.SellShort, OrderType.Limit, 1, 0, (Low[0] - 2 * TickSize), ocoString, "shortStopEntry");


}


}

[NinjaTrader_ChelseaB]

Hello bobperez,

When NinjaTrader is running with Calculate set to OnBarClose, orders are placed after the bar closes using logic calculated from that bar.

Below is a link to the help guide on the Calculate property.

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

This means that any orders that are triggered from that bar are submitted after the bar closes as the new bar opens. As the order is placed as the new bar opens and the timestamp of the order is within the time of the next bar, the order will show on the next bar.

If the strategy were running with Calculate as OnPriceChange or OnEachTick, or if the script has intra-bar granularity and submitted orders on a smaller timeframe, this would cause the timestamp of the order to be within the bar it is triggered on as the order may be submitted intra-bar. This order would show on the same bar as the bar that triggered the order submission.

In historical data, Calculate will always be OnBarClose unless TickReplay is enabled for the data series.

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

Further, TickReplay cannot be used for intra-bar order fills. A 1 tick series must be added for 1-tick intra-bar granularity to increase the accuracy of order fills to the price and time of a specific tick.
This is outlined in the help guide Discrepancies: Real-Time vs Backtest.

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

Also, below is a link to a forum thread about intra-bar granularity.
http://ninjatrader.com/support/forum...297#post491297

[bobperez]

Hello bobperez,

When NinjaTrader is running with Calculate set to OnBarClose, orders are placed after the bar closes using logic calculated from that bar.

Below is a link to the help guide on the Calculate property.

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

This means that any orders that are triggered from that bar are submitted after the bar closes as the new bar opens. As the order is placed as the new bar opens and the timestamp of the order is within the time of the next bar, the order will show on the next bar.

If the strategy were running with Calculate as OnPriceChange or OnEachTick, or if the script has intra-bar granularity and submitted orders on a smaller timeframe, this would cause the timestamp of the order to be within the bar it is triggered on as the order may be submitted intra-bar. This order would show on the same bar as the bar that triggered the order submission.

In historical data, Calculate will always be OnBarClose unless TickReplay is enabled for the data series.

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

Further, TickReplay cannot be used for intra-bar order fills. A 1 tick series must be added for 1-tick intra-bar granularity to increase the accuracy of order fills to the price and time of a specific tick.
This is outlined in the help guide Discrepancies: Real-Time vs Backtest.

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

Also, below is a link to a forum thread about intra-bar granularity.
http://ninjatrader.com/support/forum...297#post491297

Thank you, Chelsea,

I added the intrabar granularity as shown on the video link you sent. Still, I must be doing something wrong as the oco order does not appear and the fill is not where the script requires it to be.

The attached file includes the time modifications and added data series.
BobPerez

[NinjaTrader_ChelseaB]

Hello bobperez,

Are you running the script with Calculate set to OnPriceChange / or OnEachTick in the strategy parameters window?
Is TickReplay enabled?

[bobperez]

Hello bobperez,

Are you running the script with Calculate set to OnPriceChange / or OnEachTick in the strategy parameters window?
Is TickReplay enabled?

Yes. Both are set. I also modified the order submission and exit commands on the OnExecutionUpdate method to manage the order with the 1 tick bar:

 SubmitOrderUnmanaged(1, OrderAction.Sell, OrderType.Limit, 1, (High[0] + 20 * TickSize), 0, ocoString, "longProfitTarget");

,

[NinjaTrader_ChelseaB]

Hello bobperez,

Can you print the bar time from inside of the entry condition in OnBarUpdate() and print the order.ToString() object in OnOrderUpdate(), then post the output text file?

I just want to confirm we are seeing multiple updates for the bar on each price change in OnBarUpdate() and that the order is being submitted immediately.

[bobperez]

Hello bobperez,

Can you print the bar time from inside of the entry condition in OnBarUpdate() and print the order.ToString() object in OnOrderUpdate(), then post the output text file?

I just want to confirm we are seeing multiple updates for the bar on each price change in OnBarUpdate() and that the order is being submitted immediately.

Chelsea,

        protected override void OnBarUpdate()
        {
            
            if ( (longStopEntry == null && shortStopEntry == null )        
                && ((ToTime(Time[0]) == 82900 )
                ||    (ToTime(Time[0]) == 113000 )
                || (ToTime(Time[0]) == 113800 )
                ||    (ToTime(Time[0])  == 142000 )
                )
                )                
                
            {
                ocoString        = string.Format("unmanagedentryoco{0}", DateTime.Now.ToString("hhmmssffff"));
                longStopEntry    = SubmitOrderUnmanaged(1, OrderAction.Buy, OrderType.Limit, 1, 0, (High[0] + 2 * TickSize), ocoString, "longStopEntry");
                shortStopEntry    = SubmitOrderUnmanaged(1, OrderAction.SellShort, OrderType.Limit, 1, 0, (Low[0] - 2 * TickSize), ocoString, "shortStopEntry");
                
                Print(Time[0]+ " From OnBarUpdate after order submission" );
            }
                
        
        }

[NinjaTrader_ChelseaB]

Hello bobperez,

I'm seeing that the first two orders were submitted at 8:29. These were limit orders, and not market orders, so may not fill immediately and may fill at a later time when the limit price is reached.

2024-03-01 8:29:00 AM order.ToString()orderId='NT-00000-1378' account='Sim101' name='longStopEntry' orderState=Submitted instrument='CL 04-24' orderAction=Buy orderType='Limit' limitPrice=0 stopPrice=79.79 quantity=1 tif=Gtc oco='unmanagedentryoco0639187450' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2024-03-01 08:28:59' gtd='2099-12-01' statementDate='2024-03-11'

2024-03-01 8:29:00 AM order.ToString()orderId='NT-00001-1378' account='Sim101' name='shortStopEntry' orderState=Submitted instrument='CL 04-24' orderAction=SellShort orderType='Limit' limitPrice=0 stopPrice=79.72 quantity=1 tif=Gtc oco='unmanagedentryoco0639187450' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2024-03-01 08:28:59' gtd='2099-12-01' statementDate='2024-03-11'

Is the issue that the orders are being submitted at the correct time but are not filling until a later bar due to being limit orders and not market orders?


I should have had you put the print in a separate condition for the time, so we can see this print for each bar update at that time, and see if there are more bar updates after the order is submitted.

if  ((ToTime(Time[0]) == 82900 )
|| (ToTime(Time[0]) == 113000 )
|| (ToTime(Time[0]) == 113800 )
|| (ToTime(Time[0]) == 142000 )
)
)

{
Print(Time[0]+ " bar update" );
}​

if ( (longStopEntry == null && shortStopEntry == null )
&& ((ToTime(Time[0]) == 82900 )
|| (ToTime(Time[0]) == 113000 )
|| (ToTime(Time[0]) == 113800 )
|| (ToTime(Time[0]) == 142000 )
)
)

{
ocoString = string.Format("unmanagedentryoco{0}", DateTime.Now.ToString("hhmmssffff"));
longStopEntry = SubmitOrderUnmanaged(1, OrderAction.Buy, OrderType.Limit, 1, 0, (High[0] + 2 * TickSize), ocoString, "longStopEntry");
shortStopEntry = SubmitOrderUnmanaged(1, OrderAction.SellShort, OrderType.Limit, 1, 0, (Low[0] - 2 * TickSize), ocoString, "shortStopEntry");

Print(Time[0]+ " From OnBarUpdate after order submission" );
}

[bobperez]

Hello bobperez,

I'm seeing that the first two orders were submitted at 8:29. These were limit orders, and not market orders, so may not fill immediately and may fill at a later time when the limit price is reached.

2024-03-01 8:29:00 AM order.ToString()orderId='NT-00000-1378' account='Sim101' name='longStopEntry' orderState=Submitted instrument='CL 04-24' orderAction=Buy orderType='Limit' limitPrice=0 stopPrice=79.79 quantity=1 tif=Gtc oco='unmanagedentryoco0639187450' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2024-03-01 08:28:59' gtd='2099-12-01' statementDate='2024-03-11'

2024-03-01 8:29:00 AM order.ToString()orderId='NT-00001-1378' account='Sim101' name='shortStopEntry' orderState=Submitted instrument='CL 04-24' orderAction=SellShort orderType='Limit' limitPrice=0 stopPrice=79.72 quantity=1 tif=Gtc oco='unmanagedentryoco0639187450' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2024-03-01 08:28:59' gtd='2099-12-01' statementDate='2024-03-11'

Is the issue that the orders are being submitted at the correct time but are not filling until a later bar due to being limit orders and not market orders?


I should have had you put the print in a separate condition for the time, so we can see this print for each bar update at that time, and see if there are more bar updates after the order is submitted.

if ((ToTime(Time[0]) == 82900 )
|| (ToTime(Time[0]) == 113000 )
|| (ToTime(Time[0]) == 113800 )
|| (ToTime(Time[0]) == 142000 )
)
)

{
Print(Time[0]+ " bar update" );
}​

if ( (longStopEntry == null && shortStopEntry == null )
&& ((ToTime(Time[0]) == 82900 )
|| (ToTime(Time[0]) == 113000 )
|| (ToTime(Time[0]) == 113800 )
|| (ToTime(Time[0]) == 142000 )
)
)

{
ocoString = string.Format("unmanagedentryoco{0}", DateTime.Now.ToString("hhmmssffff"));
longStopEntry = SubmitOrderUnmanaged(1, OrderAction.Buy, OrderType.Limit, 1, 0, (High[0] + 2 * TickSize), ocoString, "longStopEntry");
shortStopEntry = SubmitOrderUnmanaged(1, OrderAction.SellShort, OrderType.Limit, 1, 0, (Low[0] - 2 * TickSize), ocoString, "shortStopEntry");

Print(Time[0]+ " From OnBarUpdate after order submission" );
}

Hello Chelsea,

I expect to place only one oco order per each time bar, at the High[0]+2 ticks and Low[0]-2 ticks. There should only be a total of 4 orders, one for each bar. So, on bar 8:29, the oco order should be placed immediately after the bar closes, when its final high and low are known.

[NinjaTrader_ChelseaB]

Hello bobperez,

The orders are being submitted while the bar is still open, are you wanting to wait until after the bar has closed to submit the orders?

In this output what is the behavior you are seeing that is incorrect?

[bobperez]

Hello bobperez,

The orders are being submitted while the bar is still open, are you wanting to wait until after the bar has closed to submit the orders?

In this output what is the behavior you are seeing that is incorrect?

Hi Chelsea,

I expect a behavior similar to your plain example. The orders should be placed about 2-3 ticks above/below the bars, instead of 15 ticks as you have in your example. They should be submitted when the timed bar closes to identify its final High/Low.

[NinjaTrader_ChelseaB]

Hello bobperez,

If you want to wait until after the bar closes to submit the order using the high and low values of the previous fully closed bar while Calculate is OnPriceChange and TickReplay is enabled, do this when IsFirstTickOfBar is true and use 1 bar ago indexes.

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

if (IsFirstTickOfBar)
{
int barsAgoIndex = Calculate != Calculate.OnBarClose && (State == State.Realtime || (State == State.Historical && BarsArray[0].IsTickReplay)) ? 1 : 0;
Print(string.Format("{0} | barsAgoIndex selected: {1}, {2}, High[{1}]: {3}, Low[{1}]: {4}", Time[0], barsAgoIndex, Time[barsAgoIndex], High[barsAgoIndex], Low[barsAgoIndex]));
}

[bobperez]

Hello bobperez,

If you want to wait until after the bar closes to submit the order using the high and low values of the previous fully closed bar while Calculate is OnPriceChange and TickReplay is enabled, do this when IsFirstTickOfBar is true and use 1 bar ago indexes.

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

if (IsFirstTickOfBar)
{
int barsAgoIndex = Calculate != Calculate.OnBarClose && (State == State.Realtime || (State == State.Historical && BarsArray[0].IsTickReplay)) ? 1 : 0;
Print(string.Format("{0} | barsAgoIndex selected: {1}, {2}, High[{1}]: {3}, Low[{1}]: {4}", Time[0], barsAgoIndex, Time[barsAgoIndex], High[barsAgoIndex], Low[barsAgoIndex]));
}

Hi Chelsea,

Great! Thank you!

[bobperez]

Hello bobperez,

If you want to wait until after the bar closes to submit the order using the high and low values of the previous fully closed bar while Calculate is OnPriceChange and TickReplay is enabled, do this when IsFirstTickOfBar is true and use 1 bar ago indexes.

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

if (IsFirstTickOfBar)
{
int barsAgoIndex = Calculate != Calculate.OnBarClose && (State == State.Realtime || (State == State.Historical && BarsArray[0].IsTickReplay)) ? 1 : 0;
Print(string.Format("{0} | barsAgoIndex selected: {1}, {2}, High[{1}]: {3}, Low[{1}]: {4}", Time[0], barsAgoIndex, Time[barsAgoIndex], High[barsAgoIndex], Low[barsAgoIndex]));
}

Hi Chelsea,

Here's what I interpreted from your suggestion. With this code, the chart freezes, and I have to force Ninjja to shut down with Ctr+Alt+Del.

            if ( (longStopEntry == null && shortStopEntry == null && IsFirstTickOfBar )        
                && ((ToTime(Time[0]) == 82900   )
                ||    (ToTime(Time[0]) == 113000  )
                ||  (ToTime(Time[0]) == 113800  )
                ||    (ToTime(Time[0])  == 142000 )
                )
                )                
                
            {
                int barsAgoIndex = Calculate != Calculate.OnBarClose && (State == State.Realtime || (State == State.Historical && BarsArray[0].IsTickReplay)) ? 1 : 0;
                Print(string.Format("{0} | barsAgoIndex selected: {1}, {2}, High[{1}]: {3}, Low[{1}]: {4}", Time[0], barsAgoIndex, Time[barsAgoIndex], High[barsAgoIndex], Low[barsAgoIndex]));
                ocoString        = string.Format("unmanagedentryoco{0}", DateTime.Now.ToString("hhmmssffff"));
                longStopEntry    = SubmitOrderUnmanaged(1, OrderAction.Buy, OrderType.Limit, 1, 0, (High[barsAgoIndex] + 4 * TickSize), ocoString, "longStopEntry");
                shortStopEntry    = SubmitOrderUnmanaged(1, OrderAction.SellShort, OrderType.Limit, 1, 0, (Low[barsAgoIndex] - 4 * TickSize), ocoString, "shortStopEntry");
                
            }
                
​

BobPerez