2 entry orders help!

[NinjaTrader_ChelseaB]

Hello bobperez,

In the UnmanagedOCOBracketExample_NT8 note I've used OrderType.StopMarket orders.
A buy stop order would be placed above the ask, a sell stop order would be placed below the bid.

In this code you have chosen to use OrderType.Limit which are placed on the reverse side of the market.
A buy limit would be placed below the ask, a sell limit would be placed above the bid.

I see in your code you've submitted the buy limit at the High of the most recently closed bar and the sell limit at the Low of the most recently closed bar. These orders will most likely be on the wrong side of the market when the new bar opens.
With some brokerages that order will be immediately filled (including NinjaTrader), with other brokerages that order would be rejected (such as Forex brokerages).

Also, orders should be assigned to variables in OnOrderUpdate() and not directly from the order method.

I've changed is and tested the suggested code and I am finding this is working.

Below is a link to a video of the test.

https://drive.google.com/file/d/1cw1wifQ__jKzgZuk7v9FxUMIKHUqfyRS/view?usp=drivesdk

BobperezTest_NT8.zip

There are no exit orders or setting the variables back to null so it only places orders once, but this works as expected.

[bobperez]

Hello bobperez,

In the UnmanagedOCOBracketExample_NT8 note I've used OrderType.StopMarket orders.
A buy stop order would be placed above the ask, a sell stop order would be placed below the bid.

In this code you have chosen to use OrderType.Limit which are placed on the reverse side of the market.
A buy limit would be placed below the ask, a sell limit would be placed above the bid.

I see in your code you've submitted the buy limit at the High of the most recently closed bar and the sell limit at the Low of the most recently closed bar. These orders will most likely be on the wrong side of the market when the new bar opens.
With some brokerages that order will be immediately filled (including NinjaTrader), with other brokerages that order would be rejected (such as Forex brokerages).

Also, orders should be assigned to variables in OnOrderUpdate() and not directly from the order method.

I've changed is and tested the suggested code and I am finding this is working.

Below is a link to a video of the test.

https://drive.google.com/file/d/1cw1wifQ__jKzgZuk7v9FxUMIKHUqfyRS/view?usp=drivesdk

[ATTACH]n1295472[/ATTACH]

There are no exit orders or setting the variables back to null so it only places orders once, but this works as expected.

Hi Chelsa,

Thank you so much for your continued support. I'll check the video and your suggestions and will let you know later my results.

I've implemented your suggestions and they work perfectly. I've also changed the entry Limit orders for Stop Orders.

Cheers!

Bob Perez

[bobperez]

Hello bobperez,

In the UnmanagedOCOBracketExample_NT8 note I've used OrderType.StopMarket orders.
A buy stop order would be placed above the ask, a sell stop order would be placed below the bid.

In this code you have chosen to use OrderType.Limit which are placed on the reverse side of the market.
A buy limit would be placed below the ask, a sell limit would be placed above the bid.

I see in your code you've submitted the buy limit at the High of the most recently closed bar and the sell limit at the Low of the most recently closed bar. These orders will most likely be on the wrong side of the market when the new bar opens.
With some brokerages that order will be immediately filled (including NinjaTrader), with other brokerages that order would be rejected (such as Forex brokerages).

Also, orders should be assigned to variables in OnOrderUpdate() and not directly from the order method.

I've changed is and tested the suggested code and I am finding this is working.

Below is a link to a video of the test.

https://drive.google.com/file/d/1cw1wifQ__jKzgZuk7v9FxUMIKHUqfyRS/view?usp=drivesdk

[ATTACH]n1295472[/ATTACH]

There are no exit orders or setting the variables back to null so it only places orders once, but this works as expected.

Hi Chelsea,

If I want to enter the oco trades with 2 contracts instead of 1, and each contract with a different target, will I need to send one pair of orders for each contract separately?

[NinjaTrader_ChelseaB]

Hello bobperez,

Yes, this would be necessary to have independent OCO pairing. Use two entry orders with unique signal names and two exit orders with the from entry signals of those entries.

[bobperez]

Hello bobperez,

Yes, this would be necessary to have independent OCO pairing. Use two entry orders with unique signal names and two exit orders with the from entry signals of those entries.

Ok, thank you, Chelsea.

[bobperez]

Hello bobperez,

Yes, this would be necessary to have independent OCO pairing. Use two entry orders with unique signal names and two exit orders with the from entry signals of those entries.

Hi Chelsea,

I am getting the attached errors after a while .



Is there anything missing?

BobPerez

[NinjaTrader_ChelseaB]

Hello bobperez,

The message is stating there is no real-time data.

Who are you connected to for data? (Do you see changing ask and bid prices in Chart Trader?)

Are these orders being submitted during market hours?

[bobperez]

Hello bobperez,

The message is stating there is no real-time data.

Who are you connected to for data? (Do you see changing ask and bid prices in Chart Trader?)

Are these orders being submitted during market hours?

HI Chelsea, During the weekend I was connected to Rithmic, as well as today. Today it worked fine.

Bob

[NinjaTrader_ChelseaB]

Hello Bob,

During the weekend the markets are closed and there is no real-time data.

However the Trading hours template should have prevented any trades.
Do you have Trading hours set to 'use instrument settings' in the Data Series window?
What Start behavior is selected in the Strategies window?

[bobperez]

Hello Bob,

During the weekend the markets are closed and there is no real-time data.

However the Trading hours template should have prevented any trades.
Do you have Trading hours set to 'use instrument settings' in the Data Series window?
What Start behavior is selected in the Strategies window?

'use instrument settings' I : Yes
Start behavior I: Waiting UntilFlat

Bob

[NinjaTrader_ChelseaB]

Hello Bob,

With 'Wait until flat' and not 'Wait until flat synchronize account' and the exchange trading hours, I would not expect an order to be submitted while the market is closed.

If you would like me to investigate further, please send an email to scriptingsupport[at]ninjatrader[dot]com so that I may request your log and trace files.
In the email, please include a link to this forum thread.

[bobperez]

Hello bobperez,

In the UnmanagedOCOBracketExample_NT8 note I've used OrderType.StopMarket orders.
A buy stop order would be placed above the ask, a sell stop order would be placed below the bid.

In this code you have chosen to use OrderType.Limit which are placed on the reverse side of the market.
A buy limit would be placed below the ask, a sell limit would be placed above the bid.

I see in your code you've submitted the buy limit at the High of the most recently closed bar and the sell limit at the Low of the most recently closed bar. These orders will most likely be on the wrong side of the market when the new bar opens.
With some brokerages that order will be immediately filled (including NinjaTrader), with other brokerages that order would be rejected (such as Forex brokerages).

Also, orders should be assigned to variables in OnOrderUpdate() and not directly from the order method.

I've changed is and tested the suggested code and I am finding this is working.

Below is a link to a video of the test.

https://drive.google.com/file/d/1cw1wifQ__jKzgZuk7v9FxUMIKHUqfyRS/view?usp=drivesdk

[ATTACH]n1295472[/ATTACH]

There are no exit orders or setting the variables back to null so it only places orders once, but this works as expected.

Hi Chelsea,

Regarding this topic, if two OCO orders are simultaneously filled at say 3:55 PM, each with different targets and stop-losses, and I want to enter again at 3:58 PM, do the 3:55 orders need to be closed before submitting the new ones at 3:58? If so, how do I close the open position?

Also, how do I close any open OCO orders at session end?

Thanks,

Bob Perez

[NinjaTrader_ChelseaB]

Hello Bob,

"Regarding this topic, if two OCO orders are simultaneously filled at say 3:55 PM, each with different targets and stop-losses, and I want to enter again at 3:58 PM, do the 3:55 orders need to be closed before submitting the new ones at 3:58? If so, how do I close the open position?"

You can continue scaling in with new entries in the same direction if you would like. With the unmanaged approach you can submit new orders without the position being closed or previous orders cancelled.

If you want to exit the position, call SubmitOrderUnmanaged() with a market order in the opposite direction of the position. (For example if the position is Long 5, submit a sell market order with a quantity of 5).

"Also, how do I close any open OCO orders at session end?"

If you are not wanting to rely on the Exit on session close behavior to cancel working orders and close open positions, you can write custom logic and use a SessionIterator to call CancelOrder() on working orders some time before the sesssion ends.

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

The PreventEntryAfterExitOnCloseExample example below has sample logic of using a sessionIterator.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100666-exit-on-close#post100666

Instead of setting a bool to prevent new entries when the time is reached, you could instead call CancelOrder() and supply the variable holding the order.

[bobperez]

Hello Bob,

"Regarding this topic, if two OCO orders are simultaneously filled at say 3:55 PM, each with different targets and stop-losses, and I want to enter again at 3:58 PM, do the 3:55 orders need to be closed before submitting the new ones at 3:58? If so, how do I close the open position?"

You can continue scaling in with new entries in the same direction if you would like. With the unmanaged approach, you can submit new orders without the position being closed or previous orders cancelled.

If you want to exit the position, call SubmitOrderUnmanaged() with a market order in the opposite direction of the position. (For example if the position is Long 5, submit a sell market order with a quantity of 5).

"Also, how do I close any open OCO orders at session end?"

If you are not wanting to rely on the Exit on session close behavior to cancel working orders and close open positions, you can write custom logic and use a SessionIterator to call CancelOrder() on working orders some time before the sesssion ends.

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

The PreventEntryAfterExitOnCloseExample example below has sample logic of using a sessionIterator.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100666-exit-on-close#post100666

Instead of setting a bool to prevent new entries when the time is reached, you could instead call CancelOrder() and supply the variable holding the order.

Thank you Chelsea,

Scale-In

- The issue with continuing to scale in is that the new OCO order may trigger a Short entry while the previous open order is in a Long position. This would generate an error, correct?

Custom SessionIterator

I do prefer to rely on the Exit on session close behavior to cancel working orders and close open positions, but it does not seem to be working. So I tried using your custom iterator:

        // prevents entry orders after the exit on close until the start of the new session
        private bool ExitOnCloseWait(DateTime QuickTime)
        {
            // the sessionIterator only needs to be updated when the session changes (after its first update)
            if (Bars.IsFirstBarOfSession)
                sessionIterator.GetNextSession(Time[0], true);

            // if after the exit on close, prevent new orders until the new session
            if (tickTime >= sessionIterator.ActualSessionEnd.AddSeconds(-ExitOnSessionCloseSeconds) && tickTime <= sessionIterator.ActualSessionEnd)
                exitOnCloseWait = true;

            // an exit on close occurred in the previous session, reset for a new entry on the first bar of a new session
            if (exitOnCloseWait && Bars.IsFirstBarOfSession)
                exitOnCloseWait = false;

            return exitOnCloseWait;
        }
​

I want to see Historical results, so I placed this command on the OnBarUpdate() method, instead of OnMarketData()

                if (ExitOnCloseWait(Time[0]))
                {
                    return;
                }            
                
            sessionIterator.GetNextSession(Time[0], true);
​

Is there something I did incorrectly because it does not work either?

Bob Perez

[NinjaTrader_ChelseaB]

Hello Bob,

"The issue with continuing to scale in is that the new OCO order may trigger a Short entry while the previous open order is in a Long position. This would generate an error, correct?"

This would depend on the broker and if they are sensitive to the OrderAction being correct in relation to the position. However, I would recommend that you submit an exit order using OrderAction.Sell before calling an entry with OrderAction.SellShort to ensure this works with all brokerages.

"I do prefer to rely on the Exit on session close behavior to cancel working orders and close open positions, but it does not seem to be working."

The forum post I've linked does have a video demonstrating the Exit on session close behavior does work, but does not prevent new entries after the event and before the end of the session.

The code you suggested does not appear to calling CancelOrder() to cancel any orders. Further there are no entry orders below the return that would not be reached.