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strategy/auto trade problem: stops/etc. initiate upon starting of strategy

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    strategy/auto trade problem: stops/etc. initiate upon starting of strategy

    Here's the odd situation:
    Upon adding a strategy and STARTING it with the following initialize portion, the following profittarget limit order and stoploss order get sent to my broker. But there is no trigger and the actual buy doesn't occur. The scripts backtest properly. They just do this strange behavior -sometimes- upon starting the script. Anyway to make sure the contigent orders only enter when the conditions are met for my long order?

    Whats fascinating is that in the control center, upon starting the strategy, it says it establishes a long position for X contracts, but does it without sending the actual order and without the actual trigger being met. I know this because i have some debug print statements to an output window that go with my long order section.

    Any ideas?

    protectedoverridevoid Initialize()
    {
    SetProfitTarget(
    "LongHammer", CalculationMode.Ticks, ProfitTarget);
    /// SetStopLoss("", CalculationMode.Ticks, StopLoss, false);
    SetTrailStop("LongHammer", CalculationMode.Ticks, StopLoss, false);
    Add((Bollinger(
    2, 14)));
    CalculateOnBarClose =
    true;
    }

    #2
    This is expected behaviour.

    - When you start a strategy, a current position based on historical data is calculated. (Lets say 1 long)
    - NinjaTrader will never submit an order to open a historical position
    - The trader must (if it makes sense) manually sync their brokerage account to the strategy position by placing a manual order in the Order tab of the control center
    - NinjaTrader will optionally submit pending orders live

    You can control if a strategy submits pending orders live or not via option settings. See this part of our Help Guide.

    http://www.ninjatrader-support.com/H...tegiesTab.html
    RayNinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_Ray View Post
      This is expected behaviour.

      - When you start a strategy, a current position based on historical data is calculated. (Lets say 1 long)
      - NinjaTrader will never submit an order to open a historical position
      - The trader must (if it makes sense) manually sync their brokerage account to the strategy position by placing a manual order in the Order tab of the control center
      - NinjaTrader will optionally submit pending orders live

      You can control if a strategy submits pending orders live or not via option settings. See this part of our Help Guide.

      http://www.ninjatrader-support.com/H...tegiesTab.html

      So basically clicking 'wait until flat before executing live' will do what i want and ignore the historical condition? (only waiting for new entries going forward?)

      Or does wait until flat mean I actually have 0 position on the account previous to running the strategy?

      Comment


        #4
        It will complete any open historical trade and once your strategy goes flat, then it will start executing live.
        RayNinjaTrader Customer Service

        Comment


          #5
          Originally posted by scriabinop23 View Post
          So basically clicking 'wait until flat before executing live' will do what i want and ignore the historical condition? (only waiting for new entries going forward?)

          Or does wait until flat mean I actually have 0 position on the account previous to running the strategy?

          so attempted to test this and chose 'wait until flat before executing live'. It appears the stops/limits didn't appear, but yet it shows a position is on in Strategy listing, when there isn't on the actual acct. Anyway to make it appear 'neutral' upon initation [so new signals that occur after commencement of the strategy aren't missed]?

          Comment


            #6
            This is correct behaviour.

            Signals will not be missed. The strategy will execute just like it does in backtest (historically) and once the strategy is flat (based on your logic) only then will new signals be executed live.

            If you don't want your strategy to perform any historical calculations, then add this code to your OnBarUpdate() method.

            Code:
            if (Historical)
                return;
            Keep in mind, the above code will not backtest.
            RayNinjaTrader Customer Service

            Comment


              #7
              what are the other side effects of not having historical calculations?


              Also... does the closing of an actually unexecuted trade (based on historical data) that runs at startup go into P&L history for analysis of performance? Or is that P&L based only on executed trades / true P&L?

              Comment


                #8
                There are no negative implications.

                PnL displayed in the Control Center window Performance tab is calculated from live executions, not historical.
                RayNinjaTrader Customer Service

                Comment


                  #9
                  Originally posted by NinjaTrader_Ray View Post
                  There are no negative implications.

                  PnL displayed in the Control Center window Performance tab is calculated from live executions, not historical.

                  excellent.. am learning this software quick, thanks to you guys.
                  very helpful.

                  Comment


                    #10
                    Originally posted by NinjaTrader_Ray View Post
                    There are no negative implications.

                    PnL displayed in the Control Center window Performance tab is calculated from live executions, not historical.

                    Which brings me to another question.. how do you clear the P&L from live executions which are not simulated? (ie i am using my IB paper trading acct versus live, and want to clear test data).

                    Comment


                      #11
                      The only thing you can do is reset the entire database which will wipe out all executions from all accounts.

                      Tools > Options > Misc > Reset DB
                      RayNinjaTrader Customer Service

                      Comment


                        #12
                        Am having a new quirk related to this issue:

                        When I start the strategy at night, it denotes an existing long entry from the time of the last session's entry, but at the current ask price upon system initation, even if the position shows properly exited at last session's close in the graph. ie, it would show an unclosed entry at 7.763 (current ask price) at 11:06am in my debug, even though the graph itself of the security shows a price of 7.688 as the actual historical entry at 11:06am. Current time of system initiation (from the previous night to the next morning) is 10:21pm, and current price of security is 7.763.


                        I have my session rules set to have session time frame from 6:00am-11:30am, and my system itself is programmed not to enter between other than in that time frame (and in some cases, not even enter after 11:15am, etc).

                        I have a debug line output every period iteration from the system, and the historical runthrough doesn't show the 'exit at close' order, even though it appears on the graph itself of the same security. This explains why the system shows an already 'open' position upon running.

                        Any ideas here?
                        Last edited by scriabinop23; 05-29-2007, 11:22 PM.

                        Comment


                          #13
                          Hi,

                          Unfortunately I am having a hard time understanding the issue. I have read your post several times and I am not sure I would be on the right path.

                          At a high level, could you comment what behaviour you are seeing? I can then dig deeper by asking guided questions.

                          Thanks in advance for your cooperation.
                          RayNinjaTrader Customer Service

                          Comment


                            #14
                            Originally posted by NinjaTrader_Ray View Post
                            Hi,

                            Unfortunately I am having a hard time understanding the issue. I have read your post several times and I am not sure I would be on the right path.

                            At a high level, could you comment what behaviour you are seeing? I can then dig deeper by asking guided questions.

                            Thanks in advance for your cooperation.
                            Where should I email you the screenshots which show the problem. It is kind of tough to explain ... Makes sense when you see it.

                            Comment


                              #15
                              Send to ray at ninjatrader dot com.
                              RayNinjaTrader Customer Service

                              Comment

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