ATM designed for scale in

[doron]

Hi
my question relates to NT8
Is it possible to create an ATM strategy which takes care of scaling into a position (manually) in the following way.
I failed to define such ATM
Position size is between 1 - 5 contracts.
Position is entered with 1 contract at a time and later on scale in with one contract at a time)

As position increases - the ATM should generate per each contract in the position two OCO orders: one to take profit and the second a stop loss order.

Price location of all stop loss is in the same location, which is initially 10 ticks behind entry price. Later, in case of scale in, all stop loss commands will be added to the same price location. This price location might be the initial stop loss location or new location of the stop loss as updated by the trader during run time (i.e. while in position)

Initial and first target location will be 15 ticks away from entry point.
After each scale in the new target (take profit) command will be located 5 ticks behind the farthest location of order to take profit.

[NinjaTrader_MichaelM]

Hello Doron,

Thank you for writing in. We are currently investigating this further and will update you as soon as possible. Please note: Our normal hours of operation are between 8:30AM EST and 6:00PM EST Monday through Friday.

Thank you for your continued patience in the meantime.

[NinjaTrader_BobbyY]

Doron,

Unfortunately, you are not able to have 1 contract initially then have additional targets appear after the first contract is filled. To better assist you, can you clarify what you mean by "scaling" and how many contracts you'd like to trade. You mentioned 1-5, but there will need to be a set number.

[doron]

The procedure is that initially I enter to position with 1 contract .
After I am already in position I might add to the position another contract this can happen in any price.
Later I might add to the position another contract this can happen in any price.

This procedure , when you increase the position is called scale in .
(when position is reduced it is called scale out)

I mention 5 contract just as an example. The point is that position size is not fixed in advance. It start with 1 contract and might increase step by step , one by one .

[NinjaTrader_BobbyY]

Doron,

Unfortunately, there is not a way to have an ATM strategy automatically "scale in".However, you manually do it by buying again with the ATM Strategy still selected. You can set the ATM Strategy selection mode to "KeepSelectedAtmStrategyTemplateOnOrderSubmiss ion" so you don't have to keep on re-selecting the ATM Strategy. You can do that by right-clicking in the chart trader or SuperDOM and selecting "Properties". Then you can change the ATM Strategy selection mode.

Hope that helps.

[doron]

hi

Suppose the market is around 2000 .

i want to put a buy limit order at 1999
and one more buy limit order at 1998
and one more buy limit order at 1997

i understand that at the moment i have no way to express in an "intelligent" way what i want the ATM to do with regard to the position i might hold

I think you must enhance the ATM logic so that it will react to the position or changes in position and not how it will react with regard to a single trade

[NinjaTrader_BobbyY]

doron,

Could you clarify a bit more on what you are feature you are looking for? What would you like to see enhanced in the ATM logic?

[doron]

hi

I feel that i repeat myself but i will try again in more simple example

Suppose the market is around 2000 .

i want to put a buy limit order at 1999

and one more buy limit order at 1997


the ATM as defined now will be activated if the market reach 1999 and i will enter a position of + 1

suppose the market will go lower and reach 1997 and my position will be now be +2

what will the ATM do ?

can i define the ATM what to do at this stage - no

it will do more or less as it did when i first enter to position +1

but i do not want that i want to define what it will do as position increased by 1 and not what to do as a single trade was executed.

hope that it is more clear now

[NinjaTrader_PatrickH]

Hello doron,

Thank you for your response.

We are asking for clarification on this subject as your descriptions are some what vague. We are not looking for you to repeat yourself, but rather provide more details and/or further the detail in your scenario.

In your example, if both orders are placed using the same ATM Strategy instance (*Active...) then the orders will scale into the position and use the initial fills profit target and stop loss price levels. This is the intended and expected behavior.

What you appear to be asking is whether you can control how each fill affects the ATM Strategy. So what is you wish to do with each fill or scale in?

can i define the ATM what to do at this stage - no

Correct, you cannot define this. You would need to use NinjaScript Automated Strategies to customize management in this regard.

[doron]

looking in the above example
if i define ATM for two contract with two targets one at 10 tick and the other at 15 ticks and trade the two contracts together in the same entry price i will get two commands to take profit at 10 and 15 ticks from entry price

but using the same ATM and enter position with 1 contract and later increase position with another contract the new target will be generated in the same location of the first target.
This is not what i want as a trader. i am in position = 2 and the ATM describe that when i have a position of 2 contracts i have 2 targets in separate price location .

i think the ATM should generate 2 separated commands to take profit in any case if i enter the position with 2 contracts or if i made it as 1 + 1 trade

[koganam]

looking in the above example
if i define ATM for two contract with two targets one at 10 tick and the other at 15 ticks and trade the two contracts together in the same entry price i will get two commands to take profit at 10 and 15 ticks from entry price

but using the same ATM and enter position with 1 contract and later increase position with another contract the new target will be generated in the same location of the first target.
This is not what i want as a trader. i am in position = 2 and the ATM describe that when i have a position of 2 contracts i have 2 targets in separate price location .

i think the ATM should generate 2 separated commands to take profit in any case if i enter the position with 2 contracts or if i made it as 1 + 1 trade

That is what it would do. You just have to set it up correctly.

[doron]

define ATM with 3 targets with 10 ticks between each target

target 1 10 Ticks
target 2 20 ticks
target 3 30 ticks


put buy order 1 at price X
put buy order 1 at price x minus 1 tick

and see if the target orders generated are separted by 10 ticks or not
they do not

[koganam]

define ATM with 3 targets with 10 ticks between each target

target 1 10 Ticks
target 2 20 ticks
target 3 30 ticks


put buy order 1 at price X
put buy order 1 at price x minus 1 tick

and see if the target orders generated are separted by 10 ticks or not
they do not

I must have misunderstood. This is the statement to which I was responding. You are right. My apologies.

This is not what i want as a trader. i am in position = 2 and the ATM describe that when i have a position of 2 contracts i have 2 targets in separate price location .

They will be separate targets, but you cannot specify the exact spacing in the manner that you describe. I usually just manually move the targets to where I want them to be.