Using enum to change trade entry type

[daven]

I am trying to figure out how to use enum to vary how I enter a trade in a strategy. The two examples I have seen, use enum to vary a complete code line, For example,

UniversalMovingAverage.SMA in SampleUniversalMovingAverage

and

						case DrawSelection.ArrowDown:
						{
							DrawArrowDown("My down arrow" + CurrentBar, true, 0, High[0] + TickSize * DrawOffsetTicks, DrawColor);
							break;
						}

in MACrossBuilder.

Is it only possible to use enum in an indicator method?

Here's what I am trying to do:

			myEntryOrder_L = EnterLongLimit(DefaultQuantity, Open[0], "EE_L");

I want to be able to substitute Median[0], Open[0], Close[0], or the value of an averaging indicator, (SMA, EMA, HMA, etc.) for the Open[0] in the entry order above.
Is this possible? If so, do you have an example I could emulate?

I built a strategy using enum and a variable as above in SampleUniversalMovingAverage but I could never get it to compile successfully.

Thanks for your help.

DaveN

[daven]

As a follow on to my first question, I would like to pick the entry method to use in the strategy when I place it on a chart, so just like changing a period value only in this case the choices of entry method would be a discrete list, that the user chooses when placing the strategy on a chart and activating it. Is this what you get when using enum?
Thanks againd
DaveN

[daven]

Is there a problem with how I have asked this question. No reply since 8:56 AM PDT, yet several questions after this have already been responded to?

[NinjaTrader_CalH]

Hi Daven,

Apologies for the delayed response.

Would you be willing to share your script so I may test the compile you are receiving.

You are on the right track but we could just be missing a step somewhere.

[daven]

I'll have to recreate what I did, since after working on it for a few hours I gave up and deleted it so other indicators and strategies would compile. I will take another crack at it, and post what I have.
Thanks

[eDanny]

Next time just move the indicator out of the Indicators folder so you will get a successful compile. Move it back to continue your work.


Dan

[daven]

enum Problems

Here's the code I have so far, and I am attaching the compile errors I get when I try to compile.

/* REVISION NOTES




*/
#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class VariableEntryTest : Strategy
    {
        #region Variables
		private int stop = 6;
		private int profit = 4; // Default setting for variable profit target.
		private int p_Short = 3; //Period setting for the long/short EMA filter.
//		private int period_S = 6; //Period setting for the long/short EMA filter.
		private int p_Long = 3; // Value in ticks for limit order offset from EMA line.
		
		// Create a variable that stores the user's selection for trade entry value.
		private UniversalEntry	entertype	= UniversalEntry.Open;
		
		// Timed Trading Variables
		private int tt1_Start = 060000 ; // Start Time for first trading period
		private int tt1_End = 130000 ; // End Time for first trading period
		private int tt2_Start = 103000 ; // Start Time for second trading period
		private int tt2_End = 103000 ; // end Time for second trading period

        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
//			Add (EMAEnvelope(P_Short, P_Long));
			TimeInForce = Cbi.TimeInForce.Day;			
			SetProfitTarget("", CalculationMode.Ticks, Profit);
			

        }
		
			private IOrder myEntryOrder_L = null;
			private IOrder myEntryOrder_S = null;		
		
		protected override void OnStartUp()
		{	

		}

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
		{
			// use a switch to determine which entry value to use.
			switch (entertype)
			{
				// If the order entry type is defined as Open then...
				case UniversalEntry.Open:
				{
				// sets the entry value to the bar open
					Value.Set(Open[0]);
					break;
				}
				
				// If the order entry type is defined as Close then...
				case UniversalEntry.Close:
				{
				// sets the entry value to the bar close
					Value.Set(Close[0]);
					break;
				}
				
				// If the order entry type is defined as High then...
				case UniversalEntry.High:
				{
				// sets the entry value to the bar high
					Value.Set(High[0]);
					break;
				}
				
				// If the order entry type is defined as Low then...
				case UniversalEntry.Low:
				{
				// sets the entry value to the bar low
					Value.Set(Low[0]);
					break;
				}
			}
			if (BarsInProgress != 0)
				return;

			if(Position.MarketPosition == MarketPosition.Flat)
					{
					SetStopLoss("", CalculationMode.Ticks, Stop, false);
					SetProfitTarget("", CalculationMode.Ticks, Profit);
					}
					
				
			// Long Entry
			if (Position.MarketPosition == MarketPosition.Flat
				&& EMA(P_Short)[0] > EMA(P_Long)[0]
				&& ((ToTime(Time[0]) > TT1_Start && ToTime(Time[0]) < TT1_End ) || (ToTime(Time[0]) > TT2_Start && ToTime(Time[0]) < TT2_End )))
				{
				myEntryOrder_L = EnterLongLimit(DefaultQuantity, UniversalEntry.Open, "EE_L");
				}
				
			// Short entry
			if (Position.MarketPosition == MarketPosition.Flat
				&& EMA(P_Short)[0] < EMA(P_Long)[0]
				&& ((ToTime(Time[0]) > TT1_Start && ToTime(Time[0]) < TT1_End ) || (ToTime(Time[0]) > TT2_Start && ToTime(Time[0]) < TT2_End )))
				{
				myEntryOrder_S = EnterShortLimit(DefaultQuantity, UniversalEntry.Open, "EE_S");
				}
			
				


        }


        #region Properties
		// Creates the user definable parameter for the trade entry type.
		[Description("Choose a trade entry type.")]
		[Category("Parameters")]
		public UniversalEntry EnterType
		{
			get { return entertype; }
			set { entertype = value; }
		}
		
		
        [Description("")]
        [GridCategory("Parameters")]
        public int Stop
        {
            get { return stop; }
            set { stop = Math.Max(1, value); }
        }
		
        [Description("")]
        [GridCategory("Parameters")]
        public int Profit
        {
            get { return profit; }
            set { profit = Math.Max(1, value); }
        }
		
        [Description("")]
        [GridCategory("Parameters")]
        public int P_Short
        {
            get { return p_Short; }
            set { p_Short = Math.Max(1, value); }
        }
		
        [Description("")]
        [GridCategory("Parameters")]
        public int P_Long
        {
            get { return p_Long; }
            set { p_Long = Math.Max(1, value); }
        }
		
		
        [Description("")]
        [Category("Parameters")]
        public int TT1_Start
        {
            get { return tt1_Start; }
            set { tt1_Start = Math.Max(000001, value); }
        }
		
        [Description("")]
        [Category("Parameters")]
        public int TT1_End
        {
            get { return tt1_End; }
            set { tt1_End = Math.Max(000001, value); }
        }
		
        [Description("")]
        [Category("Parameters")]
        public int TT2_Start
        {
            get { return tt2_Start; }
            set { tt2_Start = Math.Max(000001, value); }
        }
		
        [Description("")]
        [Category("Parameters")]
        public int TT2_End
        {
            get { return tt2_End; }
            set { tt2_End = Math.Max(000001, value); }
		}
        #endregion
    }
}
/* Creates an enum that is assigned to UniversalMovingAverage.
Basically it assigns a numerical value to each item in the list and the items can be referenced without the use
of their numerical value.
For more information on enums you can read up on it here: http://www.csharp-station.com/Tutorials/Lesson17.aspx */
public enum UniversalEntry
{
	Open,
	Close,
	High,
	Low,
}

[NinjaTrader_CalH]

Daven,

You will need to set the Data Prices in a variable rather than Value.Set as this will refer to a plot series.

Create a variable that will reference the Data Series that you can use later to use in the switch for the Close, Open, High, Low prices.

[daven]

Ok,
I created a new double variable,

private double te_Price = 0; // variable to use for switching price to open trade at.

Then I substituted it into the switch value statement as below,

switch (entertype)
{
// If the order entry type is defined as Open then...
case UniversalEntry.Open:
{
// sets the entry value to the bar open
te_Price = Open;
break;
}

and I substituted the variable into the order entry statement:

myEntryOrder_L = EnterLongLimit(DefaultQuantity, te_Price[0], "EE_L");

but I am still getting compiler errors.

Strategy\VariableEntryTest.cs Cannot implicitly convert type NinjaTrader.Data.IDataSeries' to 'double' NT0029 - click for info 82 17

Cannot apply indexing with [] to an expression of type double.

Do I have to create a dataseries for this to work? If so, how do I set the value of the data series so it can be used in the order entry statement?

Thanks

DaveN

[koganam]

Here's the code I have so far, and I am attaching the compile errors I get when I try to compile.

/* REVISION NOTES




*/
#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class VariableEntryTest : Strategy
    {
        #region Variables
        private int stop = 6;
        private int profit = 4; // Default setting for variable profit target.
        private int p_Short = 3; //Period setting for the long/short EMA filter.
//        private int period_S = 6; //Period setting for the long/short EMA filter.
        private int p_Long = 3; // Value in ticks for limit order offset from EMA line.
        
        // Create a variable that stores the user's selection for trade entry value.
        private UniversalEntry    entertype    = UniversalEntry.Open;
        
        // Timed Trading Variables
        private int tt1_Start = 060000 ; // Start Time for first trading period
        private int tt1_End = 130000 ; // End Time for first trading period
        private int tt2_Start = 103000 ; // Start Time for second trading period
        private int tt2_End = 103000 ; // end Time for second trading period

        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
//            Add (EMAEnvelope(P_Short, P_Long));
            TimeInForce = Cbi.TimeInForce.Day;            
            SetProfitTarget("", CalculationMode.Ticks, Profit);
            

        }
        
            private IOrder myEntryOrder_L = null;
            private IOrder myEntryOrder_S = null;        
        
        protected override void OnStartUp()
        {    

        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // use a switch to determine which entry value to use.
            switch (entertype)
            {
                // If the order entry type is defined as Open then...
                case UniversalEntry.Open:
                {
                // sets the entry value to the bar open
                    Value.Set(Open[0]);
                    break;
                }
                
                // If the order entry type is defined as Close then...
                case UniversalEntry.Close:
                {
                // sets the entry value to the bar close
                    Value.Set(Close[0]);
                    break;
                }
                
                // If the order entry type is defined as High then...
                case UniversalEntry.High:
                {
                // sets the entry value to the bar high
                    Value.Set(High[0]);
                    break;
                }
                
                // If the order entry type is defined as Low then...
                case UniversalEntry.Low:
                {
                // sets the entry value to the bar low
                    Value.Set(Low[0]);
                    break;
                }
            }
            if (BarsInProgress != 0)
                return;

            if(Position.MarketPosition == MarketPosition.Flat)
                    {
                    SetStopLoss("", CalculationMode.Ticks, Stop, false);
                    SetProfitTarget("", CalculationMode.Ticks, Profit);
                    }
                    
                
            // Long Entry
            if (Position.MarketPosition == MarketPosition.Flat
                && EMA(P_Short)[0] > EMA(P_Long)[0]
                && ((ToTime(Time[0]) > TT1_Start && ToTime(Time[0]) < TT1_End ) || (ToTime(Time[0]) > TT2_Start && ToTime(Time[0]) < TT2_End )))
                {
                myEntryOrder_L = EnterLongLimit(DefaultQuantity, UniversalEntry.Open, "EE_L");
                }
                
            // Short entry
            if (Position.MarketPosition == MarketPosition.Flat
                && EMA(P_Short)[0] < EMA(P_Long)[0]
                && ((ToTime(Time[0]) > TT1_Start && ToTime(Time[0]) < TT1_End ) || (ToTime(Time[0]) > TT2_Start && ToTime(Time[0]) < TT2_End )))
                {
                myEntryOrder_S = EnterShortLimit(DefaultQuantity, UniversalEntry.Open, "EE_S");
                }
            
                


        }


        #region Properties
        // Creates the user definable parameter for the trade entry type.
        [Description("Choose a trade entry type.")]
        [Category("Parameters")]
        public UniversalEntry EnterType
        {
            get { return entertype; }
            set { entertype = value; }
        }
        
        
        [Description("")]
        [GridCategory("Parameters")]
        public int Stop
        {
            get { return stop; }
            set { stop = Math.Max(1, value); }
        }
        
        [Description("")]
        [GridCategory("Parameters")]
        public int Profit
        {
            get { return profit; }
            set { profit = Math.Max(1, value); }
        }
        
        [Description("")]
        [GridCategory("Parameters")]
        public int P_Short
        {
            get { return p_Short; }
            set { p_Short = Math.Max(1, value); }
        }
        
        [Description("")]
        [GridCategory("Parameters")]
        public int P_Long
        {
            get { return p_Long; }
            set { p_Long = Math.Max(1, value); }
        }
        
        
        [Description("")]
        [Category("Parameters")]
        public int TT1_Start
        {
            get { return tt1_Start; }
            set { tt1_Start = Math.Max(000001, value); }
        }
        
        [Description("")]
        [Category("Parameters")]
        public int TT1_End
        {
            get { return tt1_End; }
            set { tt1_End = Math.Max(000001, value); }
        }
        
        [Description("")]
        [Category("Parameters")]
        public int TT2_Start
        {
            get { return tt2_Start; }
            set { tt2_Start = Math.Max(000001, value); }
        }
        
        [Description("")]
        [Category("Parameters")]
        public int TT2_End
        {
            get { return tt2_End; }
            set { tt2_End = Math.Max(000001, value); }
        }
        #endregion
    }
}
/* Creates an enum that is assigned to UniversalMovingAverage.
Basically it assigns a numerical value to each item in the list and the items can be referenced without the use
of their numerical value.
For more information on enums you can read up on it here: http://www.csharp-station.com/Tutorials/Lesson17.aspx */
public enum UniversalEntry
{
    Open,
    Close,
    High,
    Low,
}

Strategy\VariableEntryTest.cs The name 'Value' does not exist in the current context CS0103 - click for info 81 6
Strategy\VariableEntryTest.cs The name 'Value' does not exist in the current context CS0103 - click for info 89 6
Strategy\VariableEntryTest.cs The name 'Value' does not exist in the current context CS0103 - click for info 97 6
Strategy\VariableEntryTest.cs The name 'Value' does not exist in the current context CS0103 - click for info 105 6

You are assigning values to a DataSeries that you did not create. Create a DataSeries to hold your values if that is what you want to do. You may want to call the DataSeries something other than "Value" as it will provide better clarity when you come to read the code later on. ("Value" is a reserved word for Plots in NinjaTrader indicators).

Strategy\VariableEntryTest.cs The best overloaded method match for 'NinjaTrader.Strategy.StrategyBase.EnterLongLimit( int double string)' has some invalid arguments CS1502 - click for info 124 22
Strategy\VariableEntryTest.cs Argument '2': cannot convert from 'UniversalEntry' to 'double' CS1503 - click for info 124 54

You have tried to pass to the IOrder, an enum where a double is expected. Where you have used the enum, instead use the double that you assigned to the DataSeries, in the switch block that processed entertype.

[daven]

Using enum to vary trade entry price choices.

Got it now, thanks for your help. I incorporated the indexing [0] into the variable value, then placed the variable into the order entry statement, Here's what it looks like now:

It compiles and runs as expected. Thanks again for your help.
this is going to open up a whole world of choices for setting up my strategies now.
DaveN

/* REVISION NOTES




*/
#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class VariableEntryTest : Strategy
    {
        #region Variables
		private int stop = 6;
		private int profit = 4; // Default setting for variable profit target.
		private int p_Short = 3; //Period setting for the long/short EMA filter.
//		private int period_S = 6; //Period setting for the long/short EMA filter.
		private int p_Long = 3; // Value in ticks for limit order offset from EMA line.
		private double te_Price = 0;  // variable to use for switching price to open trade at.
		
		// Create a variable that stores the user's selection for trade entry value.
		private UniversalEntry	entertype	= UniversalEntry.Open;
		
		// Timed Trading Variables
		private int tt1_Start = 060000 ; // Start Time for first trading period
		private int tt1_End = 130000 ; // End Time for first trading period
		private int tt2_Start = 103000 ; // Start Time for second trading period
		private int tt2_End = 103000 ; // end Time for second trading period

        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
//			Add (EMAEnvelope(P_Short, P_Long));
			TimeInForce = Cbi.TimeInForce.Day;			
			SetProfitTarget("", CalculationMode.Ticks, Profit);
			

        }
		
			private IOrder myEntryOrder_L = null;
			private IOrder myEntryOrder_S = null;		
		
		protected override void OnStartUp()
		{	

		}

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
		{
			// use a switch to determine which entry value to use.
			switch (entertype)
			{
				// If the order entry type is defined as Open then...
				case UniversalEntry.Open:
				{
				// sets the entry value to the bar open
					te_Price = Open[0];
					break;
				}
				
				// If the order entry type is defined as Close then...
				case UniversalEntry.Close:
				{
				// sets the entry value to the bar close
					te_Price = Close[0];
					break;
				}
				
				// If the order entry type is defined as High then...
				case UniversalEntry.High:
				{
				// sets the entry value to the bar high
					te_Price = High[0];
					break;
				}
				
				// If the order entry type is defined as Low then...
				case UniversalEntry.Low:
				{
				// sets the entry value to the bar low
					te_Price = Low[0];
					break;
				}
			}
			if (BarsInProgress != 0)
				return;

			if(Position.MarketPosition == MarketPosition.Flat)
					{
					SetStopLoss("", CalculationMode.Ticks, Stop, false);
					SetProfitTarget("", CalculationMode.Ticks, Profit);
					}
					
				
			// Long Entry
			if (Position.MarketPosition == MarketPosition.Flat
				&& EMA(P_Short)[0] > EMA(P_Long)[0]
				&& ((ToTime(Time[0]) > TT1_Start && ToTime(Time[0]) < TT1_End ) || (ToTime(Time[0]) > TT2_Start && ToTime(Time[0]) < TT2_End )))
				{
				myEntryOrder_L = EnterLongLimit(DefaultQuantity, te_Price, "EE_L");
				}
				
			// Short entry
			if (Position.MarketPosition == MarketPosition.Flat
				&& EMA(P_Short)[0] < EMA(P_Long)[0]
				&& ((ToTime(Time[0]) > TT1_Start && ToTime(Time[0]) < TT1_End ) || (ToTime(Time[0]) > TT2_Start && ToTime(Time[0]) < TT2_End )))
				{
				myEntryOrder_S = EnterShortLimit(DefaultQuantity, te_Price, "EE_S");
				}
			
				


        }


        #region Properties
		// Creates the user definable parameter for the trade entry type.
		[Description("Choose a trade entry type.")]
		[Category("Parameters")]
		public UniversalEntry EnterType
		{
			get { return entertype; }
			set { entertype = value; }
		}
		
		
        [Description("")]
        [GridCategory("Parameters")]
        public int Stop
        {
            get { return stop; }
            set { stop = Math.Max(1, value); }
        }
		
        [Description("")]
        [GridCategory("Parameters")]
        public int Profit
        {
            get { return profit; }
            set { profit = Math.Max(1, value); }
        }
		
        [Description("")]
        [GridCategory("Parameters")]
        public int P_Short
        {
            get { return p_Short; }
            set { p_Short = Math.Max(1, value); }
        }
		
        [Description("")]
        [GridCategory("Parameters")]
        public int P_Long
        {
            get { return p_Long; }
            set { p_Long = Math.Max(1, value); }
        }
		
		
        [Description("")]
        [Category("Parameters")]
        public int TT1_Start
        {
            get { return tt1_Start; }
            set { tt1_Start = Math.Max(000001, value); }
        }
		
        [Description("")]
        [Category("Parameters")]
        public int TT1_End
        {
            get { return tt1_End; }
            set { tt1_End = Math.Max(000001, value); }
        }
		
        [Description("")]
        [Category("Parameters")]
        public int TT2_Start
        {
            get { return tt2_Start; }
            set { tt2_Start = Math.Max(000001, value); }
        }
		
        [Description("")]
        [Category("Parameters")]
        public int TT2_End
        {
            get { return tt2_End; }
            set { tt2_End = Math.Max(000001, value); }
		}
        #endregion
    }
}
/* Creates an enum that is assigned to UniversalMovingAverage.
Basically it assigns a numerical value to each item in the list and the items can be referenced without the use
of their numerical value.
For more information on enums you can read up on it here: http://www.csharp-station.com/Tutorials/Lesson17.aspx */
public enum UniversalEntry
{
	Open,
	Close,
	High,
	Low,
}

[NinjaTrader_Bertrand]

Glad to hear and thanks for sharing the updated script Daven.