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Stop Loss comprehension

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    #1

    Stop Loss comprehension

    Hi ,

    I really have problems with the link between stoploss and orders...

    I have a simple strategy that have 4 targets...

    The stop loss is initialized at a certain % under the enter prize
    Each time a target is reached , the stoploss must move to the precedent target.

    So I have 4 orders named T1 T2 T3 T4 , and 4 stoploss (one on each)

    The stopLoss is initialized on OnBarUpdate cause it's not static...

    Everything run well except in the case of a 'reverse'

    I have 4 methods GoLong , GoShort , OutLong , OutShort

    For example , this is the GoLong code :

    Code:
    [FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]protected[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]void[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] GoLong([/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]string[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] name)
{
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]PrintDebug (name + [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]" : "[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] + Close[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]].ToString() + [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]","[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] + checkSignalTypeMessage);
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]double[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] stopValue = CalculateInitStopValue(StrategyOrderTypeEnum.EnterLong);
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] (stopValue != [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]) 
{
SetStopLoss(shortNameT1,CalculationMode.Price , stopValue,[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]false[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);
SetStopLoss(shortNameT2,CalculationMode.Price , stopValue,[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]false[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);
SetStopLoss(shortNameT3,CalculationMode.Price , stopValue,[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]false[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);
SetStopLoss(shortNameT4,CalculationMode.Price , stopValue,[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]false[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);
PrintDebug (name + [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]" : Init Stops : "[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] + stopValue.ToString());
}
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]double[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] target1Value = Close[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]] + (targetTicks * TickSize * target1Test);
PrintDebug (name + [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]" : Init Target1 : "[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] + target1Value.ToString());

[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]double[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] target2Value = Close[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]] + (targetTicks * TickSize * target2Test);
PrintDebug (name + [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]" : Init Target2 : "[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] + target2Value.ToString());
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]double[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] target3Value = Close[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]] + (targetTicks * TickSize * target3Test);
PrintDebug (name + [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]" : Init Target3 : "[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] + target3Value.ToString());

EnterLong(nbreContratparTarget,shortNameT1);
EnterLong(nbreContratparTarget,shortNameT2);
EnterLong(nbreContratparTarget,shortNameT3);
EnterLong(nbreContratparTarget,shortNameT4);

InitTargets();
}
[/SIZE][/FONT][/SIZE][/FONT]
    As you see , the SetStopLost is called before the EnterLong

    So , this is the problem...

    If I'm in a long position and I call GoShort (cause my logic ask for a reverse)

    It runs well on Simulated account but on real account , it's cancelled because the SetStopLoss try to put a value above the market....


    So I test another way : Try to be flat before the reverse

    So I did this in case of reverse :

    OutShort()
    GoLong()

    The OutShort calls ExitShort for each target still running
    Example :
    ExitShort(shortNameT1);
    Normaly it shoud cancel the stoploss also... So I shoud be flat.
    And then GoLong...

    When I do that , imagine I have 1 contract per target , so 4S position , after calling the 2 methods , I have 8L postion !!!!!

    Like if the StopLoss didn't cancelled but get filled...

    So in the two cases , it doesn't work !

    Can you please explain me what the stoploss become when you call ExitLong() or ExitShort()

    If the order to cancel stopLoss need time , how can I know when I can call GoLong and be sure the postion (and stoploss) was flat before.

    Can you show me a simple code that manage a Reverse of postion when you work with stopLoss.

    Thank you very much

    BestRegards
    Tags: None
    #2
    Trumumflu, since you're using Market Orders here you should not run into the internal order handling rules in NinjaTrader - http://www.ninjatrader-support.com/H...verview36.html (bottom section here).

    What would be helpful nonetheless is adding TraceOrders = true to the Initialize of your strategy and then opening the output window when running the strategy to get valuable debug insight into your order behavior -

    TraceOrders - NinjaTrader Support Forum
    http://www.ninjatrader.com/support/forum/showthread.php?t=3627
    Official NinjaScript tips and tricks


    From your description it sounds more like you are not synched up correctly as needed - please review this info and ensure this is the case the next time you start up the strategy for testing -

    ninjatrader-support.com
    http://www.ninjatrader-support.com/HelpGuideV6/StrategyPositionVsAccountPosition.html
    BertrandNinjaTrader Customer Service

    Comment

      #3
      Thanks for the answer...

      I'm sure that the strategy and account is synchronized... that's not the problem...

      I already have a lot of debug line in the output , but I will add the TraceOrder=true

      I'm looking every line in the log (order , position , execution) to try to find the problem...
      As I said I have 4 targets , so 4 orders + 4 stopLoss and that create a lot of lines with the log (with all status)

      The problem is that my log DateTime is hh:mm

      So all those orders are on the same minute and not sorted well (when I look the status)
      How can I have more precision on the log Datetime ? To go the the second ore even milisecond ?

      Thanks

      Comment

        #4
        I would suggest you check into your regional settings for the PC you're working on - my logtab's show all events down to the second here. The TraceOrders output should prove very useful for analyzing your order behavior...it might also be good to simplify this down to managing one position only for now and then ensuring it works as you would expect, then add the scaling aspects back into. You should also reset stoplosses when flat to an initial default value, so that old values are getting properly reset.

        Strategy: Modifying the price of stop loss and profit target orders - NinjaTrader Support Forum
        http://www.ninjatrader.com/support/forum/showthread.php?t=3222
        Official NinjaScript reference code samples
        BertrandNinjaTrader Customer Service

        Comment

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