The Donchian trading system coded by Ninjatrader

[makemo8]

Ninjatrader,

It seems the Donchian trading system you coded and provided under the Download section has a bug. Please see the system detail below.

The Donchian trading system, as discussed by Oscar Cagigas in his article in this issue, “The Degree Of Complexity,” has been implemented as a strategy available for download at www.ninjatrader.com/SC/February2014SC.zip.

The error message I am getting each time an order is submitted by the strategy are:

For a Sell order:
"CQG, Sell stop or sell stop limit orders can't be placed above the market. affected Order: Sell 1 Stop @ 0.8973"

Strategy 'DonchianTradingSystem/0a8986f90bc040aab87b397e3b027179' submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.

And, for a buy order:
CQG, Buy stop or buy stop limit orders can't be placed below the market. affected Order: BuyToCover 1 Stop @ 0.8971

Strategy 'DonchianTradingSystem/0a8986f90bc040aab87b397e3b027179' submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.


Please see if this can be rectified.


Many thanks

[NinjaTrader_Bertrand]

Thanks for the report and welcome to our forums here. We will look into matters and be back in touch then.

[makemo8]

Looking forward to it

Thanks, looking forward to the amendments you will be making.
Further error messages on the strategy are:

17/03/2014 12:43:51 Entered internal PlaceOrder() method at 17/03/2014 12:43:51: BarsInProgress=0 Action=Sell OrderType=Stop Quantity=0 LimitPrice=0 StopPrice=0.8976 SignalName='' FromEntrySignal='Buy Stop'

17/03/2014 12:43:51 Ignore order amendment: Action=Sell OrderType=Stop Quantity=0 LimitPrice=0 StopPrice=0.8976 SignalName=Sell' FromEntrySignal='Buy Stop' Reason='Order already has this stop price/limit price/quantity'

17/03/2014 12:45:15 Cancelled expired order: BarsInProgress=0: Order='NT-00028/Sim101' Name='Sell' State=Working Instrument='6A 06-14' Action=Sell Limit price=0 Stop price=0.897634776213928 Quantity=0 Strategy='DonchianTradingSystem' Type=Stop Tif=Day Oco='' Filled=0 Fill price=0 Token='682259d9e0a64d3290ee81e3269d1430' Gtd='01/12/2099 00:00:00'

[makemo8]

Any update

Hi Ninjatrader,

Thanks for taking a look at the Dunchian trading system code. I was wondering if you have found the bug and possibly the fix for it.

Regards

[NinjaTrader_CalH]

Makemo8,

To confirm, this happened on 3/17, at what time did you get the rejection notice?

What session template are you running for the 6A?

What time interval did you use for the chart?

How manys days to load did you use for the chart?

[makemo8]

Ninjatrader,

The trade of 3/17 was just an example. Donchian Trading System has not been taking any trades successfully since I put it in a chart. I am using 6A ,Timeframe of 3 Range and "Use instrument settings" as the session template. I usually load the default 3 days data on the chart. All the trades it submitted were rejected, not just one day but each time. I reckon the routine of submitting a stop order need to be changed.

Thanks for looking into this.

[NinjaTrader_CalH]

Hello Makemo,

I wanted this chance to update you on what I have been doing so far this week.

I have not been able to replicate the issue that you are having with the strategy.

I would ask that the next you have this occur to send me a request to support[at]ninjatrader[dot]com with your log and trace attached at the time of the occurrence.

You will find the log file on your PC in the (My) Documents > NinjaTrader 7 > Log folder.

The log file will be named "log.YYYYMMDD.txt"

You will find the trace file on your PC in the (My) Documents > NinjaTrader 7 > Trace folder.

The trace file will be named "trace.YYYYMMDD.txt"

[n1144n]

Does this strategy work?

I have download the indicator and strategy files and place on an ES chart.
No trades were made.
How does this strategy work? Do I have to manually enter stop and limit orders?
I tried it in the strategy analyzer and nothing happened.

Can someone answer my questions?
If NinjaTrader distributed this code why is there no documentation etc.
thanks, Dave

[sledge]

If NinjaTrader distributed this code why is there no documentation etc.

I believe you would need February 2014 of Technical Analysis of Stocks and Commodities magazine.

http://traders.com/

[NinjaTrader_ZacharyG]

Hello n1144n,

The strategy is based on the system discussed by Oscar Cagigas' article "The Degree Of Complexity" in the February 2014 issue of Technical Analysis of Stocks & Commodities.

Can you please provide a screenshot of the parameters used in the Strategy Analyzer for the strategy?

To send a screenshot with Windows 7 or newer I would recommend using Window's Snipping Tool.

Click here for instructions

Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.

Click here for detailed instruction

[ScorpioTravis]

Was this ever fixed? The version I have still crashes with

Strategy 'DonchianTradingSystem/0a8986f90bc040aab87b397e3b027179' submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.

Market Replay Connection. Buy Stop or buy stop limit orders can't be placed below the market. affected Order: Buy 1 Stop @ 2252.75

Running on ES 60 min bars.

Here's a good explanation of the system:

https://tlc.thinkorswim.com/center/charting/studies/strategies-library/Donchian.html

[NinjaTrader_PatrickH]

Hello ScorpioTravis,

Thank you for your response.

Can you provide a screenshot of the settings you are using in NinjaTrader 7?

I look forward to your response.