I am using Ninja trader to trade through the brokerage Mb Trading. My program is occasionally entering trades that are being rejected, and not entering many more than should have occurred according to back tested results. My connections are fine and I'm pretty sure about my default order quantity. I am running the strategy off the chart and in the control center the strategy appears green and running. I will post my main segment of code below, can anyone think of any problems that may be causing this or identify any problems in my main segment of code, more specifically especially with order entry or something?
#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 USDJPY : Strategy
{
#region Variables
// Wizard generated variables
private int momperiod =5;
private int momemaperiod = 2;
private double momlimit = .04;
private int tperiod = 9;
private double tlimit = .003;
private int mom2period = 4;
private double mom2limit= 4;
private int mom2emaperiod = 1;
private int dperiod = 3;
private double smoroclimit = .1;
private int smorocema = 1;
private int smorocperiod = 1;
private double stoploss = .005;
// User defined variables (add any user defined variables below)
#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(PeriodType.Minute, 90);
Add(PeriodType.Minute, 90);
Add(PeriodType.Day, 1);
SetStopLoss("", CalculationMode.Percent, Stoploss, false);
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
double dval1 = SweetIndicator(BarsArray[2], dperiod)[0];
double dval2 = SweetIndicator(BarsArray[2], dperiod)[1];
if (BarsInProgress != 0)
return;
if (SmoothedExpMomentumJPY(momemaperiod, momperiod)[0] > momlimit && (TRIXSlope(BarsArray[1], tperiod)[0] > tlimit && MomentumSquaredJPY(BarsArray[3], mom2emaperiod, mom2period)[0] > mom2limit && dval1 >= dval2 && SmoothROCJPY(BarsArray[3], smorocema, smorocperiod)[0] > smoroclimit )){
EnterLong(DefaultQuantity);
}
else if (SmoothedExpMomentumJPY(momemaperiod, momperiod)[0] < - momlimit && (TRIXSlope(BarsArray[1],tperiod)[0] < - tlimit)&& MomentumSquaredJPY(BarsArray[3], mom2emaperiod, mom2period)[0] > mom2limit && dval2 >= dval1 && SmoothROCJPY(BarsArray[3], smorocema, smorocperiod)[0] > smoroclimit){
EnterShort(DefaultQuantity);
}
else{
ExitLong();
ExitShort();
}
}
#region Properties
[Description("")]
[Category("Parameters")]
public int Momperiod
{
get { return momperiod; }
set { momperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Momemaperiod
{
get { return momemaperiod; }
set { momemaperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Momlimit
{
get { return momlimit; }
set { momlimit = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Tlimit
{
get { return tlimit; }
set { tlimit = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Tperiod
{
get { return tperiod; }
set { tperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Dperiod
{
get { return dperiod; }
set { dperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Mom2period
{
get { return mom2period; }
set { mom2period = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Mom2emaperiod
{
get { return mom2emaperiod; }
set { mom2emaperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Mom2limit
{
get { return mom2limit; }
set { mom2limit = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Smorocperiod
{
get { return smorocperiod; }
set { smorocperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Smorocema
{
get { return smorocema; }
set { smorocema = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Smoroclimit
{
get { return smoroclimit; }
set { smoroclimit = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Stoploss
{
get { return stoploss; }
set { stoploss = Math.Max(0, value); }
}
#endregion
}
}
#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 USDJPY : Strategy
{
#region Variables
// Wizard generated variables
private int momperiod =5;
private int momemaperiod = 2;
private double momlimit = .04;
private int tperiod = 9;
private double tlimit = .003;
private int mom2period = 4;
private double mom2limit= 4;
private int mom2emaperiod = 1;
private int dperiod = 3;
private double smoroclimit = .1;
private int smorocema = 1;
private int smorocperiod = 1;
private double stoploss = .005;
// User defined variables (add any user defined variables below)
#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(PeriodType.Minute, 90);
Add(PeriodType.Minute, 90);
Add(PeriodType.Day, 1);
SetStopLoss("", CalculationMode.Percent, Stoploss, false);
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
double dval1 = SweetIndicator(BarsArray[2], dperiod)[0];
double dval2 = SweetIndicator(BarsArray[2], dperiod)[1];
if (BarsInProgress != 0)
return;
if (SmoothedExpMomentumJPY(momemaperiod, momperiod)[0] > momlimit && (TRIXSlope(BarsArray[1], tperiod)[0] > tlimit && MomentumSquaredJPY(BarsArray[3], mom2emaperiod, mom2period)[0] > mom2limit && dval1 >= dval2 && SmoothROCJPY(BarsArray[3], smorocema, smorocperiod)[0] > smoroclimit )){
EnterLong(DefaultQuantity);
}
else if (SmoothedExpMomentumJPY(momemaperiod, momperiod)[0] < - momlimit && (TRIXSlope(BarsArray[1],tperiod)[0] < - tlimit)&& MomentumSquaredJPY(BarsArray[3], mom2emaperiod, mom2period)[0] > mom2limit && dval2 >= dval1 && SmoothROCJPY(BarsArray[3], smorocema, smorocperiod)[0] > smoroclimit){
EnterShort(DefaultQuantity);
}
else{
ExitLong();
ExitShort();
}
}
#region Properties
[Description("")]
[Category("Parameters")]
public int Momperiod
{
get { return momperiod; }
set { momperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Momemaperiod
{
get { return momemaperiod; }
set { momemaperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Momlimit
{
get { return momlimit; }
set { momlimit = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Tlimit
{
get { return tlimit; }
set { tlimit = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Tperiod
{
get { return tperiod; }
set { tperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Dperiod
{
get { return dperiod; }
set { dperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Mom2period
{
get { return mom2period; }
set { mom2period = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Mom2emaperiod
{
get { return mom2emaperiod; }
set { mom2emaperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Mom2limit
{
get { return mom2limit; }
set { mom2limit = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Smorocperiod
{
get { return smorocperiod; }
set { smorocperiod = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public int Smorocema
{
get { return smorocema; }
set { smorocema = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Smoroclimit
{
get { return smoroclimit; }
set { smoroclimit = Math.Max(0, value); }
}
[Description("")]
[Category("Parameters")]
public double Stoploss
{
get { return stoploss; }
set { stoploss = Math.Max(0, value); }
}
#endregion
}
}
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