Multi instrument strategy question

[NinjaTrader_Jesse]

Hello,

Can you provide a paste of just the loops you are using without the extra logic? If you are running a loop, the next loop would need to wait until that is done to continue. The script is read top to bottom, so if the loops are one after another it would be evaluated one after the other.

I look forward to being of further assistance.

[elliot5]

// firecounter is the variable created in loop 1 - problem is that I get positions created that //dont relate to that number being complete - especially with the limit entry orders





for (i = 0; i < 68; i++)
{
if (!Historical && fire[i] == 0)
{
fire[i] = 1;
}




if (fire[i] == 1
&& Positions[i].MarketPosition == MarketPosition.Flat
&& (BarsInProgress == i & !Historical)
&& Bars.TickCount < 50)

{
firecounter++;
}
// end loop 1

// begin loop 2
for (i = 0; i < 68; i++)
{
if (!Historical && fire[i] == 0)
{
fire[i] = 1;
}

adjust1 = (size * (dailyrisk*0.01))/firecounter;
voladjust1 = (int)(adjust1 / voldivide0);

voldivide0 = (DailyATR(Closes[i], 5)[0] * 0.3);
string tag = "";



if (fire[i] == 1
&& Positions[i].MarketPosition == MarketPosition.Flat
&& (BarsInProgress == i & !Historical)
&& Bars.TickCount < 200)


{

if (BarsInProgress == i & (GetCurrentAsk()- GetCurrentBid()<=0.04);

{
tag = "SP STOCK" + i + "U-H Short";
EnterShort(i, (int)(adjust1 / voldivide0), tag);
SetStopLoss(tag, CalculationMode.Price, ((DailyATR(Closes[i], 5)[0] * 0.3) + CurrentDayOHL(Opens[i]).CurrentOpen[0]), false);
SetProfitTarget(tag, CalculationMode.Price, PriorDayOHLC(Closes[i]).PriorClose[0]+0.01);
fire[i] = 2;
}

if (BarsInProgress == i & (GetCurrentAsk()- GetCurrentBid())>0.04);

{
tag = "SP STOCK" + i + "U-H NoSpread Short";
EnterShortLimit(i,liveUntilCancelled, (int)(adjust1 / voldivide0),GetCurrentAsk()+0.00, tag);
SetStopLoss(tag, CalculationMode.Price, ((DailyATR(Closes[i], 5)[0] * 0.3) + CurrentDayOHL(Opens[i]).CurrentOpen[0]), false);
SetProfitTarget(tag, CalculationMode.Price, PriorDayOHLC(Closes[i]).PriorClose[0]+0.01);
fire[i] = 2;
//orderList[BarsInProgress].Add(EnterShort("SP STOCK" + i + "U-H NoSpread Short")); // Unfilled limit order cancellation code
}

}

[NinjaTrader_Jesse]

Hello,

Based on this, I would not expect the loops to happen one after the other.

You currently have a loop inside of a loop that are using the same increment variable.

Lets look at the basic for loop you have here:

int i;
for(i = 0; i < 68; i++)
{
	Print("loop1 " + i);
	for(i = 0; i < 68; i++)
	{
		Print("loop2 " + i);
		// i = 0 - 68
		// runs 68 times before the first loop moves on again . 
		// because i is not a local variable, the first loop would not be run again because i is now == 68
	}
}

so for iteration the first loop is called, the second loop is then called but because you this inside the first loop, the index of i would be reset to 0 on each time this is called.

You can try the paste above to see the Print of what your loop is actually doing.

For these to happen separate of each other, they would need to be defined outside of each others scope and not use the same increment.

for(int i = 0; i < 68; i++)
{
// i is 1 - 68
}
for(int i = 0; i < 68; i++)
{
// i is 1 - 68
}

I look forward to being of further assistance.

[elliot5]

I have just checked that I have two for i statements -

so

for (i = 0; i < 68; i++)
loop 1

for (i = 0; i < 68; i++)
loop 2


check this out: the output window shows the problem:

0Firecounter V6
1Firecounter V6
16.07.2015 12:00:00 Entered internal PlaceOrder() method at 16.07.2015 12:00:00: BarsInProgress=19 Action=SellShort OrderType=Market Quantity=4'340 LimitPrice=0 StopPrice=0 SignalName='SP STOCK V619D-OC Short' FromEntrySignal=''
16.07.2015 12:00:00 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='SP STOCK V619D-OC Short' Mode=Price Value=49.8304 Currency=0 Simulated=False
16.07.2015 12:00:00 Entered internal SetStopTarget() method: Type=Target FromEntrySignal='SP STOCK V619D-OC Short' Mode=Price Value=49.34 Currency=0 Simulated=False
1Firecounter V6
1Firecounter V6
1Firecounter V6
1Firecounter V6
1Firecounter V6
1Firecounter V6
1Firecounter V6
1Firecounter V6
1Firecounter V6
1Firecounter V6
1Firecounter V6
2Firecounter V6
16.07.2015 12:00:01 Entered internal PlaceOrder() method at 16.07.2015 12:00:01: BarsInProgress=56 Action=SellShort OrderType=Market Quantity=1'515 LimitPrice=0 StopPrice=0 SignalName='SP STOCK V656U-H Short' FromEntrySignal=''
16.07.2015 12:00:01 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='SP STOCK V656U-H Short' Mode=Price Value=91.21 Currency=0 Simulated=False
16.07.2015 12:00:01 Entered internal SetStopTarget() method: Type=Target FromEntrySignal='SP STOCK V656U-H Short' Mode=Price Value=90.5 Currency=0 Simulated=False
2Firecounter V6
2Firecounter V6
2Firecounter V6
2Firecounter V6



you can see the orders going in before the firecounter loop has completed......should be a firecounter value of 9 in this case before one order gets fired....

it takes 8 seconds for firecounter to = 9 on the output window... and yet the orders kicked off at 1,2 ,5,6 seconds....

[NinjaTrader_Jesse]

Hello,

Again this is a counting error with your for statements.

I will provide a example below that you can test on your end to see this visually. this will show the counting error by printing the values. This is exactly your code from the prior post without the order logic, just the two for loops and added print statements to show how the nesting is resetting your count.

int i = 0;
for(i = 0; i < 68; i++)
{
	Print("Inside loop 1: " + i);
	for(i = 0; i < 68; i++)
	{
		Print("Inside loop 2: " + i);
	}
}

A for statement increments the variable you supply it by the amount you tell it to for every iteration. Lets step through the count on this:

you have defined i outside of both for loops meaning that both loops will increment the same variable, but also the for loop initially sets a starting point for its increment variable.

int i = 0;

i starts at 0

for(i = 0; i < 68; i++) 
{

i is again set to 0 when this first gets called and for its first iteration i is equal to 1 at this point

for(i = 0; i < 68; i++) 
{
	Print("Inside loop 2: " + i);
}

now i is now reset to 0 again because this for loop is nested in the first for loop and is also using the same variable i as its increment

in order for two for statements to be independent of each other and happen one after another, you need to use two different variables and do not nest the for statements. please note the different variables being used instead of i and also how they are defined.

for(int a = 0; a < 68; a++) //starts
{
// runs 1 - 68
} //finishes


for(int b = 0; b < 68; b++) //starts loop 2
{
// runs 1 - 68
} //finishes

I look forward to being of further assistance.

[elliot5]

Thx Jesse I will try that. One question.... today when I right click on a chart and try to select strategies tab NT freezes and has to be shut down.. any idea why that might be? Never had that before. Tried restart which didnt help either. I have 1000.26 version of NT

Regards and thx

[NinjaTrader_PaulH]

Hello everington_f,

Thanks for your post.

In order to diagnose the issue please send your log and trace files. This can be done through your platform via Control Center-> Help-> Mail to Platform Support. Please make sure your email address is added (if not already there) and in the subject line place: Atten:Paul and a link to this thread.

[elliot5]

Loop problems

I ran these two separate loops and despite the non nesting and different variables they both fire at the same time onbarupdate.... how can I ensure that loop 1 fires and completes before Loop 2 commences? Regards


onbarupdate()
{

for(int a = 0; a < 68; a++) //starts
{
// runs 1 - 68
} //finishes


for(int b = 0; b < 68; b++) //starts loop 2
{
// runs 1 - 68
} //finishes


}

[NinjaTrader_PaulH]

Hello everington_f,

Thanks for your post.

Your code, as posted, would run A before B. If you are not seeing this then you might want to test using print statements to show that the code in your strategy is or is not executing as expected.

[NinjaTrader_Jesse]

Hello,

I am unsure on your results as I have tested this and the outcome was what I had expected.

Using the following:

for(int a = 0; a < 68; a++) //starts
{
	Print("loop1 " + a);
} 


for(int b = 0; b < 68; b++) //starts loop 2
{
	Print("loop2 " + b);
}

produces the following output:

loop1 0
loop1 1
loop1 2
loop1 3
loop1 4
loop1 5
loop1 6
loop1 7
loop1 8
loop1 9
loop1 10
loop1 11
loop1 12
loop1 13
loop1 14
loop1 15
loop1 16
loop1 17
loop1 18
loop1 19
loop1 20
loop1 21
loop1 22
loop1 23
loop1 24
loop1 25
loop1 26
loop1 27
loop1 28
loop1 29
loop1 30
loop1 31
loop1 32
loop1 33
loop1 34
loop1 35
loop1 36
loop1 37
loop1 38
loop1 39
loop1 40
loop1 41
loop1 42
loop1 43
loop1 44
loop1 45
loop1 46
loop1 47
loop1 48
loop1 49
loop1 50
loop1 51
loop1 52
loop1 53
loop1 54
loop1 55
loop1 56
loop1 57
loop1 58
loop1 59
loop1 60
loop1 61
loop1 62
loop1 63
loop1 64
loop1 65
loop1 66
loop1 67
loop2 0
loop2 1
loop2 2
loop2 3
loop2 4
loop2 5
loop2 6
loop2 7
loop2 8
loop2 9
loop2 10
loop2 11
loop2 12
loop2 13
loop2 14
loop2 15
loop2 16
loop2 17
loop2 18
loop2 19
loop2 20
loop2 21
loop2 22
loop2 23
loop2 24
loop2 25
loop2 26
loop2 27
loop2 28
loop2 29
loop2 30
loop2 31
loop2 32
loop2 33
loop2 34
loop2 35
loop2 36
loop2 37
loop2 38
loop2 39
loop2 40
loop2 41
loop2 42
loop2 43
loop2 44
loop2 45
loop2 46
loop2 47
loop2 48
loop2 49
loop2 50
loop2 51
loop2 52
loop2 53
loop2 54
loop2 55
loop2 56
loop2 57
loop2 58
loop2 59
loop2 60
loop2 61
loop2 62
loop2 63
loop2 64
loop2 65
loop2 66
loop2 67

If you are using a multi timeframe script this could be the cause otherwise I am unsure because this is standard C# syntax and will perform exactly as it is told to.

Both loops should be called in one OnBarUpdate call, there is nothing saying to not run loop 2 until another call to OnBarUpdate happens. In the current state, it should be exactly as the output I have posted is and just run through all of the first loop and then proceed into the second loop.

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

[elliot5]

{
firecounter++;
fire[i] = 2;
Print("loop1 " + i); // added
}

when I add the print loop 1 to the code the firecounter doesnt add up at all.... and doesnt even show up on the output



0Firecounter V6
0Firecounter V6
0Firecounter V6
0Firecounter V6
0Firecounter V6
0Firecounter V6
0Firecounter V6
loop2 0
loop2 1
loop2 2
loop2 3
loop2 4
loop2 5
loop2 6
loop2 7
loop2 8
loop2 9
loop2 10
loop2 11
loop2 12
loop2 13
loop2 14
loop2 15
loop2 16
loop2 17
loop2 18
loop2 19
loop2 20
loop2 21
loop2 22
loop2 23
loop2 24
0Firecounter V6
0Firecounter V6
0Firecounter V6
0Firecounter V6
0Firecounter V6
0Firecounter V6
0Firecounter V6

[NinjaTrader_Jesse]

Hello,

I am unsure based on your output, this would be related to the other logic in the script that you are using which is changing the outcome of the loops.

I would recommend placing the example I had provided in a separate script and run that and that alone to see the correct output. The two loops one after another would print exactly as I had pasted it would return exactly the prints that are shown in the prior post. Anything other than this would be logic related somewhere else in the script but related to how you are using the for loops.

If you can not locate the error, please remove any unnecessary code from the script and please post the script in its entirety so I can see the logic you are using.

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

[elliot5]

Multi Instrument Strategy

I use two strategies - the first trades IBIS german stocks with a 25 stock array

the second trades LSE UK stocks with a 25 stock array.

I have historical data for all the stocks concerned, but when I initiate the UK stocks strategy the array collects data back for up to 90 days from each stock in the array from my IB connection even though the historical minute data is already available. This is not the case with the IBIS strategy that quickly gets the array loaded without trying to download data prior to today from IB servers.

Any idea why this might be and more importantly a way to fix this?

Regards

[NinjaTrader_PaulH]

Hello everington_f,

Thanks for your post.

Can you confirm that both strategies are identical (other than the instruments) and they are set to load the same number of days of data?

Does the behavior change if you load one strategy before the other?

Are both strategies loaded from the strategies tab or from a chart?