multi exit strategies

[scriabinop23]

i am attempting to run a strategy that not only uses trailing stop and profittarget exits (which run from Initialize() ), but have two additional exit routines that run from OnBarUpdate() from within the same strategy.


Is there a way to make sure that a stop that gets triggered on the same bar as an additional strategy does not run both simultaneous, ending up with a net short position (on a long only strategy)?

I think this happened to me today when live testing.

I am wondering if the following if-then logic in the OnBarUpdate() exits would work in front of the alternative exit strategies to prevent double exitting (ending up with a net reverse position w/ no exits).


if (condition 1 &&
Position.MarketPosition != MarketPosition.Flat)
{ ExitLong...

[NinjaTrader_Ray]

There is no way to 100% guarantee that you will not get double fills if you elect to have exits via the SetStopLoss() and SetProfitTarget() methods and also call an exit method via the OnBarUpdate() method.

If you need to have conditinal exits, I recommend going that approach 100%.

[scriabinop23]

There is no way to 100% guarantee that you will not get double fills if you elect to have exits via the SetStopLoss() and SetProfitTarget() methods and also call an exit method via the OnBarUpdate() method.

If you need to have conditinal exits, I recommend going that approach 100%.

Will using the CalculateOnBarClose = false have any impact here? Might the use of this condition make OnBarUpdate() more easily catch the status?

[NinjaTrader_Ray]

That will not remove the risk of a double fill. It will allow you to submit your exit orders from OnBarUpdate() within a bar instead of at the end of the bar.

Coding a strategy tick by tick is more trick than bar by bar. Its better to start with bar by bar strategy, understand and learn NinjaTrader's concept, then move to tick by tick if you feel the need.

Also keep in mind that during backtest, its only ever bar by bar.

[scriabinop23]

OK. I upgraded to the newest NT release 2.

I tried this as my alternative exit, and the exit order doesn't get stimulated when the position.marketposition == marketposition.long is met.

if (BarsSinceEntry("LongHammer") > timeStopBars
&& Position.MarketPosition == MarketPosition.Long
&& Position.GetProfitLoss(Close[0], PerformanceUnit.Currency) < 0
)
ExitLongLimit((Bars.CurrentBid),"TimeStop","LongHammer");


The 'if Position.Marketposition = MarketPosition.Long' routine is not working. I am debugging with print routines and get this:
SinceExit: 0 105100 SinceEntry:3 PL Current Position: -150.000000000006 Long

Basically in this bar, timestopbars = 2 (passed from strategy spec), the P&L is negative, and the position is Long. That should satisfy all three contigencies.

I isolated each contigency and this is confirmed. Position.Getprofitloss was fixed and works fine in the newest beta (thanks guys). And my bars since entry timestop works with the position... routine excluded as well.

[NinjaTrader_Ray]

For clarification, do you mean that the ExitLongLimit() is not triggered? If yes, then I would add a debug print statement after this method called to ensure its called then enable TraceOrders = true in Initalize(). By having this enabled, it will trace out data each time your code enters this method. It will provide you with an idea why this method is ignored.

Additional info - http://www.ninjatrader-support.com/H...aceOrders.html

[scriabinop23]

yes, now enabled. but yes, i think the boolean condition isn't even met to trigger the order.
hmmm.

by the way i just backtested this with the trace and it works fine.
For some reasons the orders weren't triggering real time when running the strategy live.

we'll see.