AtmStrategyChangeStopTarget

[djkiwi]

Hi guys, I'm having some problems with AtmStrategyChangeStopTarget and would appreciate some help.

Basically I'm scaling into a strategy using two separate ATM strategies within one strategy and then moving the stop of the 1st strategy/trade up to the stop of the second trade once the second trade is active. The problem is I'm getting all these errors in the log. The stop moves ok.

AtmStrategyChangeStopTarget()method error: Order Name STOP1 does not exist. I also get it for STOP 2 for TARGET 1 and TARGET 2 as well.

The problem is in the scale 1 part doesn't work.

AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP1", atmStrategyId1);
AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP2", atmStrategyId1);
}

Here is the code.

{
                
                
                //i. Set stops on entry                
                    {        
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId1) <1)
                    {                    
                        
                    AtmStrategyChangeStopTarget(0, lineStopline, "STOP1", atmStrategyId1);                    
                    AtmStrategyChangeStopTarget(0, lineStopline, "STOP2", atmStrategyId1);                    
                                        
                    }                        
                                    
                    
                    //ii. Set Targets on entry                
                    
                    AtmStrategyChangeStopTarget(lineTargetone,0, "TARGET1", atmStrategyId1);                                        
                    AtmStrategyChangeStopTarget(lineTargettwo,0, "TARGET2", atmStrategyId1);                                            
                    
                                    
                    
                    //iii. Change Stop 2 to Breakeven once 1st Target reached
                    
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId1) >1)
                        
                    {                    
                    AtmStrategyChangeStopTarget(0, GetAtmStrategyPositionAveragePrice(atmStrategyId1)+1*TickSize, "STOP2", atmStrategyId1);                        
                    }
                                        
            }        
                
            //Scale in 1        
                    
            if (atmStrategyId2.Length > 0 &&  GetAtmStrategyMarketPosition(atmStrategyId2) == Cbi.MarketPosition.Long
                )
            {            
                    //Scale in
                    
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId2) <1)
                    {    
                    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP1", atmStrategyId2);                    
                    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP2", atmStrategyId2);                                        
                    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP1", atmStrategyId1);                                            
                    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP2", atmStrategyId1);                                                
                    }    
                                        
                    //Scale in
                    
                    AtmStrategyChangeStopTarget(lineTargetone,0, "TARGET1", atmStrategyId2);                                        
                    AtmStrategyChangeStopTarget(lineTargettwo,0, "TARGET2", atmStrategyId2);                                            
                    
                    //iii. Change Stop 2 to Breakeven once 1st Target reached
                    
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId2) >1)
                        
                    {                    
                    AtmStrategyChangeStopTarget(0, GetAtmStrategyPositionAveragePrice(atmStrategyId2)+1*TickSize, "STOP2", atmStrategyId2);                        
                    }                                        
            } 

Thanks
DJ

[NinjaTrader_PatrickH]

Hello DJ,

Thank you for your post.

For the Scale in 1 section you are only checking that the atmStrategyId2 exists and not if the atmStrategyId1 exists, so this could return true even though you do not have an atmStrategyId1 and return the error message when trying to change the stop as the atmStrategyId1 does not exist.

If you wish to scale in both at the same time you will need to add the check for the atmStrategyId1 as well:

if (atmStrategyId2.Length > 0 &&  [B]atmStrategyId1.Length > 0[/B] && GetAtmStrategyMarketPosition(atmStrategyId2) == Cbi.MarketPosition.Long)

Please let me know if you have any questions.

[djkiwi]

Thanks Patrick, unfortunately that didn't work, same error. Here is the complete code. The reason I think your idea didn't work is because all it is testing is whether atmStrategyId2.Length > 0. If that is > 0 then it should work ok for atmStrategyId1.Length > 0 and doesn't need to test atmStrategyId1.Length > 0 . I've highlighted the problems lines in red bold. I also tried the orange bold below which didn't work either. I thought I would need to say that strategy 2 is inactive otherwise it would involve both.

Any other ideas? Thanks. DJ

Scale in first trade

if (atmStrategyId1.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId1) == Cbi.MarketPosition.Long 
&&atmStrategyId2.Length < 1
                                
                )
            {
                
                
                //i. Set stops on entry                
                    {        
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId1) <1)
                    {                                            
                    AtmStrategyChangeStopTarget(0, lineStopline, "STOP1", atmStrategyId1);                                                
                    AtmStrategyChangeStopTarget(0, lineStopline, "STOP2", atmStrategyId1);    
                    }                        
                        
                    
                    //ii. Set Targets on entry                
                    
                    AtmStrategyChangeStopTarget(lineTargetone,0, "TARGET1", atmStrategyId1);                                        
                    AtmStrategyChangeStopTarget(lineTargettwo,0, "TARGET2", atmStrategyId1);                                        
                    
                    //iii. Change Stop 2 to Breakeven once 1st Target reached
                    
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId1) >1)
                        
                    {                    
                    AtmStrategyChangeStopTarget(0, GetAtmStrategyPositionAveragePrice(atmStrategyId1)+1*TickSize, "STOP2", atmStrategyId1);                        
                    }                                        
            }        
                
//Scale in next trade
                    
            if (atmStrategyId2.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId2) == Cbi.MarketPosition.Long
                )
                
                
            {            
                    //Scale in
                    
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId2) <1)
                    {    
                    
                //    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP1", atmStrategyId1);                                            
                //    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP2", atmStrategyId1);                                                    
                    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP1", atmStrategyId2);                    
                    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP2", atmStrategyId2);            
                    }    
                                        
                    //Scale in
                    
                    AtmStrategyChangeStopTarget(lineTargetone,0, "TARGET1", atmStrategyId2);                                        
                    AtmStrategyChangeStopTarget(lineTargettwo,0, "TARGET2", atmStrategyId2);                                            
                    
                    //iii. Change Stop 2 to Breakeven once 1st Target reached
                    
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId2) >1)
                        
                    {                    
                    AtmStrategyChangeStopTarget(0, GetAtmStrategyPositionAveragePrice(atmStrategyId2)+1*TickSize, "STOP2", atmStrategyId2);                        
                    }                                        
            } 

[NinjaTrader_PatrickH]

Hello DJ,

Thank you for your response.

So I may investigate this matter further can you provide the conditions and actions used to create both ATM Strategies that you are trying to change with your scale in logic?

I look forward to your response.

[djkiwi]

Thanks Patrick, I solved that one but now have another. The scaling works ok. The only problem I'm having is once I try to move the stop on the first strategy.

So what happens is once the second strategy is in force the the first strategy should more the stop up 10 ticks which it does. I'm using the code below. The problem is it just keeps looping whereby it keeps changing the same order continuously. How do I make it so that once the second strategy goes long it just processes the atmchangeorder for strategy 1 once and not repeating as per the log? Thanks DJ

if (atmStrategyId2.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId2) == Cbi.MarketPosition.Long)
                    {
                    AtmStrategyChangeStopTarget(0,  lineStopline+10*TickSize, "STOP1", atmStrategyId1);                                            
                    AtmStrategyChangeStopTarget(0,  lineStopline+10*TickSize, "STOP2", atmStrategyId1);                        
                    } 

[NinjaTrader_PatrickH]

Hello DJ,

Thank you for your response.

You can use the OnExecution() method to ensure the AtmStrategyChangeStopTarget() only runs when the second ATM Strategy goes long and not on every OnBarUpdate() when the ATM strategy is long.

For example:

protected override void OnExecution(IExecution execution)
{
    if (atmStrategyId2.Length != 0 && GetAtmStrategyMarketPosition(atmStrategyId2) == Cbi.MarketPosition.Long)
                    {
                    AtmStrategyChangeStopTarget(0,  lineStopline+10*TickSize, "STOP1", atmStrategyId1);                                            
                    AtmStrategyChangeStopTarget(0,  lineStopline+10*TickSize, "STOP2", atmStrategyId1);                        
                    } 
}

For information on OnExecution() please visit the following link: http://www.ninjatrader.com/support/h...nexecution.htm

For a reference sample on using OnExecution() please visit the following link: http://www.ninjatrader.com/support/f...ead.php?t=7499

Please let me know if I may be of further assistance.

[djkiwi]

Hi Patrick that didn't seem work. I put it after onbarupdate but it never moved the stop. Plus I'm not sure what it is doing. I can see the problem. Because the condition is always true it keeps trying to modify the stop. Any other ideas you can think of?

Also I'm confused as I've never had this problem before. For example when I do this part in the code, it only does it once and doesn't keep trying to update orders nonstop. Note sure whats different:

//i. Set stops on entry                
                    {        
                    if (GetAtmStrategyRealizedProfitLoss(atmStrategyId1) <1)
                    {                                            
                    AtmStrategyChangeStopTarget(0, lineStopline, "STOP1", atmStrategyId1);                                                
                    AtmStrategyChangeStopTarget(0, lineStopline, "STOP2", atmStrategyId1);    
                    } 

Cheers
DJ

[NinjaTrader_PatrickH]

Hello DJ,

Thank you for your response.

I would like to note that realized PnL is not calcualted until an ATM strategy is closed, you will want to use GetAtmStrategyUnrealizedProfitLoss().
For information on GetAtmStrategyUnrealizedProfitLoss() please visit the following link: http://www.ninjatrader.com/support/h...izedprofit.htm

Please let me know if implementing GetAtmStrategyUnrealizedProfitLoss() in place of GetAtmStrategyRealizedProfitLoss() resolves this matter.

[djkiwi]

Patrick the realized part is working fine as it is moving the stop to the line after entry. I'm not worried about that part. The issue is this:

1. Trade 1 live ok
2. trade 2 live ok

Once trade 2 is live the stop from trade one needs to move up 5 ticks. I'm using the code below to say that once trade 2 is long move up the stop to trade 1 4 ticks. It keeps trying to process the ATM change order nonstop. I only want to the order to change once. Any other ideas on how to fix this problem. If not is there someone else you can talk to about these ATM strategies?

Thanks in advance.
DJ

if (atmStrategyId2.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId2) == Cbi.MarketPosition.Long
                )                
                
            {            
                    //Move trade 1 stops up 5 ticks                    
                 
                                    
                    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP1", atmStrategyId1);                    
                    AtmStrategyChangeStopTarget(0, lineStopline+5*TickSize, "STOP2", atmStrategyId1);            
                    } 

[NinjaTrader_PatrickH]

Hello DJ,

Thank you for your response.

So I may investigate this matter further please provide either a toy version or the full version of your strategy. If you prefer you can send this to support[at]ninjatrader[dot]com with 'ATTN: Patrick' in the subject line and a reference to this thread in the body of the e-mail: http://www.ninjatrader.com/support/f...ad.php?t=54664

I look forward to your response.