Help with Breakout ATM Strategy

[oz-dog]

Hi,

As I'm relatively new to using ATM I would appreciate whether what I'm trying to do is actually possible.

I'm attempting to manage a range breakout strategy using two BUY STOP orders, one just above the range and the other just below. When they are filled the ATM strategy is set up to create a bracket trade with the long trade having a stop at the entry price for the short trade and vis-versa, this means that only one trade will be in play at once.

Note that the trades operate independently, I don't want one to cancel the other - this is the cause of my grief as below...

Now, I have pretty much got this working except that when one side is filled and its stop is placed at the same price as the still working BUY STOP on the other side they appear to "merge" - I get the indicator with "2S", if I then try and manage this trade it also "manages" the BUY STOP. I created both sides with their own ATM strategy, the same strategy but a different instance.

I hope this makes sense, please let me know if its too confusing as I've had my head in this all day!!

Am I doing something wrong?

Really appreciate any help.

Thanks

Oz

[NinjaTrader_RyanM1]

Hello Oz-Dog,

I'm not sure what your'e looking to do. Walk me through your scenario with an example and I should be able to figure it out.

Current Traded Price
Levels for each buy stop order
ATM strategy settings for stop loss and profit target.

One thing that was unclear was that you wanted two buy stop orders and then discussed a long trade and a short trade. Is this a reveral at stop?

create a bracket trade with the long trade having a stop at the entry price for the short trade

[oz-dog]

Hi,

No worries, I suspected that it was making limited sense!

The two BUY STOP orders was a "typo" mistake, I have a BUY STOP to the long side and SELL STOP to the short side. I also forgot to say that I tend to do all of this via the Chart Trader interface.

My goal is to catch a breakout from a range on the long side with the BUY STOP order and to the short side with the SELL STOP order. However, in case I've got it completely wrong and its a false breakout followed by a retracement and breakout the other side I wanted the unfilled order to remain in force to catch this move, stopping out the failed trade at the same time. Essentially it is a reverse position at stop as you pointed out - but in either direction.

For example, if the price was trading at $10 and had been in a range of $9 to $11, I might set my BUY STOP and SELL STOP orders at $11.50 and $8.50 respectively, looking for a break out either way. The stop loss orders would be set the other way around, for example the BUY STOP would have a stop loss set at $8.50.

My ATM strategy is really simple, I just set the quantity, my target and the stop loss is set as the difference between the two orders, so in the example above it would be $11.50 - $8.50 hence $3. As this changes for each trade I set this manually, I plan to use a dummy value in here and make the adjustments on the chart. I also have a break-even and simple trailing stop set up but these haven't even come into play yet so I don't think there is anything funny in there.

As I mentioned before the big issue is that doing it this way the BUY/SELL TO ENTER STOP orders appear to get mixed up with the STOP LOSS orders after one side gets filled. When this happens the OCO logic which comes with the bracket trades get in the way and my STOP ORDER gets cancelled too!

I hope that's enough info, please don't hesitate to let me know if anything is still unclear and thanks for the quick response.

Oz

[NinjaTrader_RyanM1]

Thanks, I understand now but I'm not seeing the same thing. The stops and targets should be linked with OCO, but not the separate stop entry order.

Are you at any point enabling OCO through Right Click > OCO order. It doesn't seem like you would want to enable OCO manually for this scenario.

[oz-dog]

Hi Ryan,

I'm aware of the OCO Enable option and have used that in the past but I haven't used it with this set up. To be sure I just checked the setting and it is un-ticked so I don't think that is the cause. Encouraging that you don't see the same issue, so hopefully user error!

I'll take a fresh look at what I'm doing now that I'm certain it should work. If you have any ideas what I could be doing wrong then do please let me know!

Thanks.

For reference I'm using Version 6.5.1000.16.

[oz-dog]

Hi,

I've just tried again and still seeing the same behaviour.

Just to clarify what I am doing:

From within the chart trader interface.

Using my basic ATM strategy, click above the current price and select "BUY STOP 1 @ XXX"
-> Order appears at the price selected

Re-select my basic ATM strategy from the drop-down list, click below the current price and select "SELL STOP 1 @ YYY"
-> Another order appears at the other, lower price

Wait for the price to trigger and the order to fill, I'm using the replay function to do this.

Let's say the long position is filled...

I now have my long trade in play, a target in place and a stop loss.
I also still have my other order, the SELL STOP ORDER in place waiting for a possible break to the short side.

Now, if I select the stop loss icon associated with the long trade and pull it down/up towards the SELL STOP ORDER so that the two orders can co-exist at the same price they are combined into a "2S" stop loss icon. When this happens I am using the same ATM strategy but it is a new instance again - there is no "*" prefix for example.

Is this exactly what you are doing to replicate? If not, what am I doing wrong? Otherwise is there perhaps a global setting/property that I've not changed perhaps?

Thanks again.

[NinjaTrader_RyanM1]

Yes, I'm following the same steps but not seeing the behavior. The position is closed and then opened in the opposite direction.

If your stop loss order is consisently at the same level as your entry order, You may want to consider reverse at stop property you can set. Right click > advanced option and set this.

To investigate what's happening: Please attach your log and trace files and indicate the time where this occurred. You can find these files at:
My Documents\NinjaTrader\trace\trace.20100916.txt
My Documents\NinjaTrader\log\log.20100916.txt

You can also mail to [email protected] and reference this thread:

http://www.ninjatrader.com/support/forum/showthread.php?t=33679

[oz-dog]

Thanks, have just sent a message from within NT with the files attached.

[NinjaTrader_RyanM1]

Thanks. I've not seen anything come in. Do you have the ticket # that was sent with the auto-reply?

[oz-dog]

Hi,

I had a reply from Bertrand. He thought that the behaviour I was observing was expected and suggested changing the ATM selection mode to "Display Selected Only". Not had an opportunity to try this yet.

Thanks.

[oz-dog]

This does just what I need, thanks for your help.