barUpdate resets Position

[madhav_ab]

Hi,
In My strategy, i am always trying to check if I am long or short. If I am already long then even though the signal indicates to go long, the strategy shouldnt enter any trade. To use this logic, I am using position.marketposition variable to check if I am already long at the current bar.
But I observed, that when the on the bar update, even though my position is not exited, the Position.MarketPosition indicates that I am flat.

Q. Should I be using MarketPosition variable.
Q. Is there any other variable / value i can use.

thanks,
Madhav

[mrlogik]

madhav.

Keep in mind that the Position.MarketPosition variable will not be updated until your order is filled.

If you're using Stop / Limit orders, the order may be sent by your strategy, Accepted by the broker, and never filled b/c the specified price is not reached. In that case, MarketPosition will remain flat and you may process the entry signal again and again.

I would suggest using an IOrder variable and overriding the onexecution method.

For example

private IOrder entryOrderL = null;

protected override void OnExecution(IExecution execution)
{
Print("OnExecution");

//Long Execution Check?
if (entryOrderL != null && entryOrderL.Token == execution.Order.Token)
{

//-----------------------------------------------------
// PENDING ORDERS (PendingSubmit / Working / Accepted)
//-----------------------------------------------------
if (
execution.Order.OrderState == OrderState.PendingSubmit ||
execution.Order.OrderState == OrderState.Working ||
execution.Order.OrderState == OrderState.Accepted
)
{
Print("Order Long State = " + execution.Order.OrderState.ToString());
//Save the current bar number
barNumberOfOrder = CurrentBar;
}

//----------------------------
// Filled Order Response?
//----------------------------
if (execution.Order.OrderState == OrderState.Filled)
{
//clear the order variable
Print("Order Long Filled");
entryOrderL = null;
}

//----------------------------
//Rejected Long Order?
//----------------------------
if (execution.Order.OrderState == OrderState.Rejected)
{
Print("Order Long Rejected");
//clear the order variable
entryOrderL = null;
}

return;
}


protected override void OnBarUpdate()
{
//some logic

if(entryOrderL != null)
return;
//entry logic
entryOrderL = EnterLong();

...
}

Get the idea? While an order is being processed you can add logic to keep specific functionality from taking place (like, entrances again and again). That said, you must be aware that your order may NEVER get filled, in which case you have to add some logic to cancel the order after some criteria.

Make sense?

I hope this is helpful. Its late and has been a long day of development.

Anthony

[madhav_ab]

Thanks,

That was the problem. My order was never filled and hence the Position was flat.

Thank you Anthony.

[NinjaTrader_Ray]

Hi,
In My strategy, i am always trying to check if I am long or short. If I am already long then even though the signal indicates to go long, the strategy shouldnt enter any trade. To use this logic, I am using position.marketposition variable to check if I am already long at the current bar.
But I observed, that when the on the bar update, even though my position is not exited, the Position.MarketPosition indicates that I am flat.

Q. Should I be using MarketPosition variable.
Q. Is there any other variable / value i can use.

thanks,
Madhav

If the strategy reports that the position is flat then the strategy itself is not holding a position.

In addition, you really don't need to check for position since any order method is ignored if you already have a position in the same direction dependant on the Entries per direction and Entry handling parameters. You could however, check for market position to make your strategy more efficient and skip a bunch of code etc...