2 questions about order management

[Sidhartha]

Hi All,

I spent most of yesterday reading your references on Order Management, Advanced Order Management and relevant examples. I still can't quite get the behaviour I am looking for/expecting from NT. Hopefully you can help.

Question 1:

If I enter a Long position via EnterLong() and set a stop loss for this order via SetStopLoss() - both from within OnBarUpdate() - is it possible for me to simply exit the order (via ExitLong) when certain conditions are met...? If so, how would I do it...? Would I have to cancel the stop first? Or is it simply not possible at all?

Question 2:

If I have entered a Long position via EnterLong() within OnBarUpdate(), and subsequently set a stop loss for the order via ExitLongStop() within OnOrderUpdate(), then similar to above, how do I change the existing stop order to an 'at market' exit order when certain conditions are met...? At the moment I am calling CancelOrder(the stop order) first, which works fine, but any subsequent ExitLong() that I call seems to have no effect. Any ideas?

Many Thanks

[Sidhartha]

Also guys if I can another question too...

I'm using a multi-time frame strategy. 5min for signals, 1 min for execution.
My EnterLong() is called on the 1 min dataseries. If I then place a SetStopLoss() against this long position is it automatically placed for execution in the 1 min dataseries...? If so, is there a way with the Set() methods to force the stop to be placed for execution in another (e.g. 5 min) time series. I ask because obviously the Set() methods have no reference to a BarsInProgress parameter.

Many Thanks

(p.s. This is all from a backtesting point of view. The real world would obviously not work like this.)

[Sidhartha]

At the risk of being declared insane for talking to myself, I have gathered from other material I've read that Set() methods can't be cancelled... is that correct...??

Also, is it possible to replicate a market order by changing (for example) the stop price of a short stop loss to below the current market close...? I seem to be getting log errors here...

I'd appreciate it if one you order management guru's could cast your eye over this...?

Thanks

[NinjaTrader_Ray]

1) Your understanding is correct

2) Unfortunately not for stop orders since most if not all exchanged would reject an order if for example a buy stop was placed below the last traded price. Limit orders you can.

[Sidhartha]

Thanks Ray. Just to push two further points I made below... for reference...

1. I'm using a multi-time frame strategy. 5min for signals, 1 min for execution.
My EnterLong() is called on the 1 min dataseries. If I then place a SetStopLoss() against this long position is it automatically placed for execution in the 1 min dataseries...? If so, is there a way with the Set() methods to force the stop to be placed for execution in another (e.g. 5 min) time series. I ask because obviously the Set() methods have no reference to a BarsInProgress parameter.

2. If I have entered a Long position via EnterLong() within OnBarUpdate(), and subsequently set a stop loss for the order via ExitLongStop() within OnOrderUpdate(), then similar to above, how do I change the existing stop order to an 'at market' exit order when certain conditions are met...? At the moment I am calling CancelOrder(the stop order) first, which works fine, but any subsequent ExitLong() that I call seems to have no effect. Any ideas?

I am getting to the bottom of this. Hopefully I'll be out of your hair soon!!!

[NinjaTrader_Ray]

1) No there is not.

2) If you have called ExitLongStop() and then a condition is true to exit, just call ExitLong()...A market order will go through and the stop will be cancelled.

[Sidhartha]

Many Thanks

[adrian]

You've probably solved this problem already, but...

1. I'm using a multi-time frame strategy. 5min for signals, 1 min for execution.
My EnterLong() is called on the 1 min dataseries. If I then place a SetStopLoss() against this long position is it automatically placed for execution in the 1 min dataseries...? If so, is there a way with the Set() methods to force the stop to be placed for execution in another (e.g. 5 min) time series. I ask because obviously the Set() methods have no reference to a BarsInProgress parameter.

The SetStopLoss() method takes a fromEntrySignal parameter, so if you want to adjust the stoploss of one particular entry that was made on a different time frame, you can specify the signal.

So you could enter long with a signal ("Long " + BarsInProgress) so when you need to adjust the stop, you can refer to it directly:

if( BarsInProgress == 1 ) {
   SetStopLoss("Long 0", CalculationMode.Price, 100, false);
}

The stoploss affects all running strategies, but by tweaking the signal name, you can get it to apply to different entries, different instruments or different BarInProgress's.