Executing the order on the same Tick

[MyFirstMillion]

Hello,

I am trying to place a long order when a condition is satisfied on a tick. I don't want the order placed on the next tick but instantly on the same tick. Is that possible? My strategy requires the order to be place before it moves to the next tick, otherwise the strategy fails.

Thanks

[NinjaTrader_AlanP]

Hello MyFirstMillion,

Thank you for writing in.

You will want to set the property CalculateOnBarClose equal to false for your strategy to evaluate the condition and execute the moment it becomes true, rather than waiting for the bar to close. You can set this within the strategy (instructions below), or when applying the strategy to the chart/strategies tab via setting CalculateOnBarClose=False (see attachment).

I have provided a link CalculateOnBarClose in our Helpguide;

https://ninjatrader.com/support/helpGuides/nt7/?calculateonbarclose.htm

Example:

protected override void Initialize()
        {
            CalculateOnBarClose = false;
        }

Please let us know if we may be of further assistance.

[MyFirstMillion]

Thank you for the reply. I have the setting set to false. But it is still placing trades on the next tick. Maybe it is because of split second execution is required. How do I place an stop order of current price + 7 points? The strategy wizard does not give me the option to set the offset from current price.

[sledge]

What kind of chart are you running?

[MyFirstMillion]

I am running a backtest on GBPUSD currency

[bltdavid]

But it is still placing trades on the next tick. Maybe it is because of split second execution is required.

Isn't is possible that price has simply moved?

Your strategy sees 1 or more ticks come in at a certain price, the strategy does your calculation magic using those ticks and decides to enter a trade, but by the time your order is executed the price has moved.

Unless you use a limit order, isn't what you see happening entirely within the realm of normal and expected market behavior?

[MyFirstMillion]

Yes, I do believe that is what is happening. However, The orders are not being placed at the limit I set but at the next open tick instead.

[sledge]

Yes, I do believe that is what is happening. However, The orders are not being placed at the limit I set but at the next open tick instead.

Post your entry order.

[bltdavid]

Yes, I do believe that is what is happening. However, The orders are not being placed at the limit I set but at the next open tick instead.

Ah, so you are using limit orders ...

Define "placed".

Is your actual entry FilledPrice the same as, better than, or worse than the LimitPrice of your entry order?

Can you provide an example?

[sledge]

I am running a backtest on GBPUSD currency

Timeframe?

[NinjaTrader_AlanP]

Hello MyFirstMillion,

Regarding submitting an order on the current tick, this would not be possible. Your strategy analyzes a condition, when it becomes true it submits an order, which at the soonest could be on the next tick.

Regarding stop entry order. It would be possible to submit a stop market order 7 ticks above the current price using the strategy wizard.

Under Do the Following, you would select Order Management>Enter Long Position by a stop order. For the stop price you’ll click in the empty box “…”. You’ll then click “Price Data”>Close and for the offset set it to 7 and Offset Type to ticks. (See Screen shot)

I have attached a strategy which I built in the wizard. To get this strategy to correctly operate you should unlock the code and swap,

EnterLongStop(DefaultQuantity, Close[0] + 7 * TickSize, "BuyLong");

With,

EnterLongStop(0, true, DefaultQuantity, Close[0] + 7 * TickSize, "BuyLong");

Which will submit a GTC EnterLongStop order.

And Add the following on the first line in OnBarUpdate(),

	if(Historical) return;

Please let us know if you need further assistance.