Simultaneous Long and Short Strategies

[jlbishop]

Hi,

I'm trying to figure out the best way to implement simultaneously trade long and short strategies using the same underlying, but may not always be mutually exclusive in terms of when they are in the market.

In other words, I have a long strategy that scales into the market by beinning with an entry limit order, then keeps track of average price to scale in by buying again 2 to 3 more times at lower prices. When an exit signal occurs, the entire position is sold.

I have similar strategies for short trades - but I don't want them to be mutually exclusive. If I'm in a long trade and a short starts to be put on - I want the NET exposure to be the net of the long and short positions.

The table below summarizes what I'm talking about for the following transacction stream:

1. At time 1 buy 100 XYZ
2. At time 2 buy 100 XYZ
3. While in the long trade, new short trade to sell 100 XYZ
4. Exit Long trade (1 and 2).
5. Exit Short Trade
Long Short Net
100 0 100
200 0 200
200 -100 100
0 -100 -100
0 0 0

Remember, I'm going to have to scale in for both longs and shorts. Any ideas code examples greatly appreciated!

John

[NinjaTrader_Matthew]

Hello,

If you are using the managed approach, there are some order handling rules that may prevent entry or exit orders from being submitted depending on existing orders from the same strategy. Please see our Help Guide article on Internal Order Handling Rules that Reduce Unwanted Positions

http://www.ninjatrader.com/support/helpGuides/nt7/managed_approach.htm

In order to manage both a long and short position, you will want to create two strategies, one for long and another for short.

Each strategy will have it's own position. So in your example, if your Long strategy was long 200, and your separate short strategy was short 100, your overall Account Strategy would be 100.

Please also see our Help Guide article on Account Position vs Strategy Position for more information:

http://www.ninjatrader.com/support/helpGuides/nt7/strategy_position_vs_account_p.htm

[nanobiotech]

Matthew.

Thanks for the comments, as I have been toying with the same issue and found that I had to run a short strategy and a long strategy simultaneously to achieve the goal, as once a long was in play shorts can't be entered until all longs are exited and vice-versa. It is easy however to allow multiple entries per direction when EntriesPerDirection is increased from the default of 1.

Nano

Hello,

If you are using the managed approach, there are some order handling rules that may prevent entry or exit orders from being submitted depending on existing orders from the same strategy. Please see our Help Guide article on Internal Order Handling Rules that Reduce Unwanted Positions

http://www.ninjatrader.com/support/helpGuides/nt7/managed_approach.htm

In order to manage both a long and short position, you will want to create two strategies, one for long and another for short.

Each strategy will have it's own position. So in your example, if your Long strategy was long 200, and your separate short strategy was short 100, your overall Account Strategy would be 100.

Please also see our Help Guide article on Account Position vs Strategy Position for more information:

http://www.ninjatrader.com/support/h..._account_p.htm

[Baruch]

Matthew.

Thanks for the comments, as I have been toying with the same issue and found that I had to run a short strategy and a long strategy simultaneously to achieve the goal, as once a long was in play shorts can't be entered until all longs are exited and vice-versa. It is easy however to allow multiple entries per direction when EntriesPerDirection is increased from the default of 1.

Nano

With this approach you can be always flat (one long and one short) and just pay commissions.
Its better not to trade at all and transfer your money to me.

[sledge]

With this approach you can be always flat (one long and one short) and just pay commissions.
Its better not to trade at all and transfer your money to me.

I've been looking for ways to cut out the middle man and save on fees. I think I've found it now.

[koganam]

I've been looking for ways to cut out the middle man and save on fees. I think I've found it now.

Nope, the Broker is still there in the middele, taking his vigorish. You are just the one who stays flat.

[sledge]

Nope, the Broker is still there in the middele, taking his vigorish. You are just the one who stays flat.

NOPE!!

I've entered into agreement with Baruch... no middleman, no commish...