SetStopLoss or ExitLongLimit

[marcyomatheus]

Dear,

I have been developing a new strategy.

Everything is ok, until I put SetStopLoss in my strategy.

I have two situation that I want exit from market.

1 - ExitLongLimit or SetStopLoss;

When I use SetStopLoss in my strategy, every orders are executed by it (SetStopLoss); When I remove it from my strategy every orders are executed exit by ExitLongLimit;

Is SetStopLoss priority?

How Can I do to fix it?

Thank you!!!!

[NinjaTrader_PatrickH]

Hello marcyomatheus,

Thank you for your post.

Methods that generate orders to exit a position (such as ExitLongLimit()) will be ignored if a position is open and an order submitted by a set method (SetStopLoss() for example) is active.

Set methods are not designed to be used with Exit methods. For more information on please visit the following link: http://www.ninjatrader.com/support/h...d_approach.htm

[marcyomatheus]

Hello PatrickH.

This a simple strategy using SMA.

When the close price is above SMA and the next candle exceed the prices of candle before = buy;

Stop below the low prices in this candle;

Exit When the close price below SMA.

Could you help me make this script ?

Thank you!

[NinjaTrader_PatrickH]

Hello marcyomatheus,

Thank you for your response.

Can you attach what you have already created to your response?

[marcyomatheus]

SetStopLoss or ExitLongLimit Reply to Thread

Ok.

See attachments.

Thank you!

[NinjaTrader_PatrickH]

Adding IOrder objects to the order methods will allow for further management of the orders. Using OnExecution will allow you to make changes when orders execute. The following incorporates IOrder objects for the entry and exits.

        #region Variables
        private int Period = 20;
		private IOrder entry = null;
		private IOrder exit = null;
		private double lowAtCross = 0;
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
			Add(SMA(Period));
			ExitOnClose = false;
            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {	
            // Condition set 1
            if (CrossAbove(Close, SMA(Period), 1)
                && High[0] < High[-1])
            {
                entry = EnterLongLimit(DefaultQuantity, High[0], "entry");
				lowAtCross = Low[0];
            }

            // Condition set 2
            if (CrossBelow(Close, SMA(Period), 1)
				&& Position.MarketPosition == MarketPosition.Long)
            {
                exit = ExitLongLimit(Close[0], "exit", "entry");
            }
        }
		
		protected override void OnExecution(IExecution execution)
		{
			if(execution.Order != null
				&& execution.Order.Name == "entry"
				&& execution.Order.OrderState == OrderState.Filled)
			{
				entry = null;
				exit = exit = ExitLongStop(lowAtCross, "exit", "entry");
			}
			if(execution.Order != null
				&& execution.Order.Name == "exit"
				&& execution.Order.OrderState == OrderState.Filled)
			{
				exit = null;
			}
		}

[koganam]

Adding IOrder objects to the order methods will allow for further management of the orders. Using OnExecution will allow you to make changes when orders execute. The following incorporates IOrder objects for the entry and exits.

        #region Variables
        private int Period = 20;
		private IOrder entry = null;
		private IOrder exit = null;
		private double lowAtCross = 0;
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
			Add(SMA(Period));
			ExitOnClose = false;
            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {	
            // Condition set 1
            if (CrossAbove(Close, SMA(Period), 1)
                && High[0] < High[-1])
            {
                entry = EnterLongLimit(DefaultQuantity, High[0], "entry");
				lowAtCross = Low[0];
            }

            // Condition set 2
            if (CrossBelow(Close, SMA(Period), 1)
				&& Position.MarketPosition == MarketPosition.Long)
            {
                exit = ExitLongLimit(Close[0], "exit", "entry");
            }
        }
		
		protected override void OnExecution(IExecution execution)
		{
			if(execution.Order != null
				&& execution.Order.Name == "entry"
				&& execution.Order.OrderState == OrderState.Filled)
			{
				entry = null;
				exit = exit = ExitLongStop(lowAtCross, "exit", "entry");
			}
			if(execution.Order != null
				&& execution.Order.Name == "exit"
				&& execution.Order.OrderState == OrderState.Filled)
			{
				exit = null;
			}
		}

So far, in my experience, NinjaTrader has been inconsistent between versions, on how it treats null IOrders. For that reason, I always check for nullity of IOrders before I assign anything to them. YMMV.

[marcyomatheus]

SetStopLoss or ExitLongLimit Reply to Thread

Hello PatrickH.

See attachment.

The Execute exit still isn't working.



Thank you

[NinjaTrader_PatrickH]

Hello marcyomatheus,

Thank you for your response.

Can you attach the code you are using for this example?

[marcyomatheus]

Hi PatrickH.

This is your code, that you sent me.

Thank you.

[NinjaTrader_CalH]

marcyomatheus,

If this is NinjaTrader_PatrickHs' code then it won't exit at that price. It was designed to exit out when the bar crosses below the SMA, Submit the order with the current bars' close price, which was 14.02 and filled at that price on the next bar. This was the expected result of his code.

[marcyomatheus]

Hello Cal.

So, is there a problem or fail with code ?

You did some test with code?

Do you want the code that patrickH sent me?

Thank you!

[NinjaTrader_CalH]

marcyomatheus,

Yes, please send me the code that you are using in this instance.

[marcyomatheus]

SetStopLoss or ExitLongLimit Reply to Thread

Ok. Cal

See attachments.

I think that problem is in region variable, but I don't know.

Thank you for your help!

[NinjaTrader_CalH]

marcyomatheus,,

What is going on here is that your orders are being cancelled due to expired orders.

This is part of the managed approach logic, in which working orders will be cancelled at the end of the next bar if the order is not resubmitted.

In your scenario the StopMarket was expired and when the Limit order was placed from the cross condition it was filled.

You will want to have logic in place that will help keep these orders alive for however long you need them -
http://www.ninjatrader.com/support/f...ad.php?t=19169