Stop and Target Submission

[Ironplates]

What is the difference between "per entry execution" and by "strategy submission"?

Why is this not considered in the backtest or optimization? is this because this element cannot be tested in the foregoing scenarios?

[NinjaTrader_Bertrand]

Correct, Ironplates would not be applicable to backtesting, since you would not get partials here.

This property would be fully documented here on the managed approach helpguide pages -

http://www.ninjatrader.com/support/helpGuides/nt7/managed_approach.htm?zoom_highlightsub=ByStrategy

[Ironplates]

What is the difference between "per entry execution" and by "strategy submission"?

[NinjaTrader_Bertrand]

Stops and targets are generated either per fill or per position. This is determined by the "Stop & target submission" property which is set running a strategy live via the UI. For backtesting, this is irrelevant since there are no partial fills in a backtest. Property values are:

ByStrategyPosition - When this is selected, only one stop loss, trail stop and/or profit target order is submitted. As entry executions come in, the order size is amended. The downside of this approach is that if you have partial fills, the orders are re-inserted into the exchange order queue. The upside is that if you broker charges you a per order commission (not per lot), you will not incur additional commission expenses.

PerEntryExecution - When this is selected, a stop loss, trail stop and/or profit target order is submitted for each partial fill received. The downside is if your broker charges commission per order, you can incur very expensive commission costs if you receive partial fills. The upside is that orders are submitted as soon as possible giving you the advantage of getting into the order queue immediately.

[Ironplates]

commanding the system to trade one entry per direction, with unique order handling.

my strategy has three entry orders, two profit targets and three trailing stops.

one set of constraints governs three entry orders.

one set of constraints governs three exit orders.

two profit targets and three trailing stops are directly connected to each entry order.

based on your definitions, it seems to appear that using the "strategy" submission only ONE entry will be affected?

i currently use the "per order" criteria.

how can i have the system wait until all three entries have completed before entering continually?

[NinjaTrader_Bertrand]

Ironplates, this setting just determines for realtime / simulation trading how your stops and targets are submitted, i.e. either as individual fills are seen or depending on your strategy position. This setting would not govern how entries are done. This is determined by the Entry Handling settings -

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

[Ironplates]

based on your definitions, it seems to appear that using the "strategy" submission only ONE entry will be affected?

[NinjaTrader_Bertrand]

No, it will be the strategy position - this can span across entries, it will always be the cumulative position held by the strategy.

[Ironplates]

will this selection help prevent overfills in a system that tends to enter very frequently when the entering orders?

[NinjaTrader_Matthew]

The less orders you have, the less chances of getting over filled you will have.

You will just want to pay close attention when an order is being canceled. If it's very close to being filled, the over fill will be triggered.