Trading on open of session based on last candle of prior session

[darmbk]

Hi,

I currently use two parameters, StartHour and EndHour to specify when I want trades to occur using hourly candles. Say I am looking at trades in FX which close for an hour at 22:00 until 23:00 GMT. However I seem to run into a problem when I want trades to occur at 23:00 (that is the opening price of the 00:00 candle, the candle that starts at 23:00 and end at 00:00). No matter what I set my parameters to I can't get trades to occur at this time. OnBarUpdate prints hourly updates at 21:00 then 22:00 and then 00:00 as expected, however my trade signal generated at the close of the 22:00 candle is not actioned on the open of the next candle that being at 23:00, the opening time of my 00:00 candle. What am I doing wrong here?

Thanks,
darmbk.

[NinjaTrader_ChelseaB]

Hi darmbk,

Are the prints you are getting inside of the same branching action block that the order submission is in? (inside the same condition statement)

What is the if statement you are using to determine when to trade?

[darmbk]

The entry occurs within an if statement at the start of OnBarUpdate that checks for a trigger variable (which for now I have set to always want to trade) and a test to see if we are already trading in the direction of the triggered trade. However, regardless of the direction the new trade should be, it does not show up.

Here is an example of the the output:

At the close of the 21:00 candle a trigger is calculated, regardless of the trigger the last position is closed, then if the trigger is good a new trade is entered. The close and new open are shown at the starting price of the 22:00 candle, i.e. at 21:00 as you would expect. Then the close of the session comes along at the end of the 22:00 candle. Again a trigger is calculated, then the existing order is deleted BUT this time it is shows up as an exit at the close of the session on the 22:00 candle (rather than at the start of the next candle based on the strategies explicit exit criteria) because there is no next candle AND finally there is no entry carried out at the start of the 00:00 candle which is at 23:00 even though the trigger was good.

09/01/2009 21:00:00
09/01/2009 21:00:00 Trigger 7.464
09/01/2009 21:00:00 OnExecution: Close position
09/01/2009 21:00:00 Exit: Close position
09/01/2009 21:00:00 Close: Close position @ 1.3397
09/01/2009 21:00:00 Result: 2 ticks
09/01/2009 21:00:00 OnExecution: MyEntry
09/01/2009 21:00:00 Open: MyEntry Short @ 1.3397
09/01/2009 22:00:00
09/01/2009 22:00:00 Trigger 0.002
09/01/2009 22:00:00 OnExecution: Exit on close
09/01/2009 22:00:00 Exit: Exit on close
09/01/2009 22:00:00 Close: Exit on close @ 1.3431
09/01/2009 22:00:00 Result: -34 ticks
12/01/2009 00:00:00

[NinjaTrader_ChelseaB]

Hi darmbk,

Are the print and the entry submission in the same if statement?

What code are you using?

[darmbk]

Can I PM you the code?

I've added a few more print statements. What I see is that on the last candle of the session, the code still thinks there is a short position even though NT is closing the position at the end of the session for me (note the missing Short Signalled and no current short trade so Enter Short at 22:00)

09/01/2009 21:00:00
09/01/2009 21:00:00 Trigger 7.464

09/01/2009 21:00:00 Short Signalled
09/01/2009 21:00:00 Short Signalled and no current short trade so Enter Short

09/01/2009 21:00:00 OnExecution: Close position
09/01/2009 21:00:00 Exit: Close position
09/01/2009 21:00:00 Close: Close position @ 1.3397
09/01/2009 21:00:00 Result: 2 ticks
09/01/2009 21:00:00 OnExecution: MyEntry
09/01/2009 21:00:00 Open: MyEntry Short @ 1.3397
09/01/2009 22:00:00
09/01/2009 22:00:00 Trigger 0.002

09/01/2009 22:00:00 Short Signalled

09/01/2009 22:00:00 OnExecution: Exit on close
09/01/2009 22:00:00 Exit: Exit on close
09/01/2009 22:00:00 Close: Exit on close @ 1.3431
09/01/2009 22:00:00 Result: -34 ticks

[NinjaTrader_ChelseaB]

Hi darmbk,

Please send an email to support [at] ninjatrader [dot] com. In the body of the email please add a link to this thread.