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How to specify the limit offset in ATM strategy when using "stop limit for stop loss"

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    How to specify the limit offset in ATM strategy when using "stop limit for stop loss"

    I met the same problem as the post ATM is using "Stop Limit" order type for Stop Loss, that post is for NT7 but mine is NT8.

    NinjaTrader_Kyle answered as below:
    When an ATM strategy uses a Stop Limit order to act as a Stop Loss that order will have a 20 tick offset between the Stop and Limit prices. Unfortunately, there is no way to specify another offset for ATM Strategy Stop Limit orders.
    So does that mean in NT8 it's still 20 tick offset between the Stop and Limit prices and there is no way to specify it? If so, it's really unreasonable, for example, my strategy based on 1min needs the offset is 0 or 1, 20 tick is too huge!

    Anyway to set it through code? or will you consider adding offset configuration in the future?

    #2
    Hello Jjhou,

    Thank you for your note.

    While your Stop Loss is set as a Stop Limit with an offset of 20 ticks, this is to emulate a stop market order. There is currently not a way to set the offset for the stop.

    I will submit a feature request for the option to define the offset.

    Please let us know if you need further assistance.
    Alan P.NinjaTrader Customer Service

    Comment


      #3
      Hello Jjhou,

      I have forwarded this request to our development team for future consideration. The feature request ID for this item is SFT-1382.

      Thank you for your feedback.
      Alan P.NinjaTrader Customer Service

      Comment


        #4
        Actually my order is submitted through my Add-On like below:
        entryOrder = account.CreateOrder(Cbi.Instrument.GetInstrument(" AAPL"), OrderAction.Buy, OrderType.Market,
        TimeInForce.Day, 1, 0, 0, string.Empty, "Entry", null);

        // Submits our entry order with the ATM strategy named "myAtmStrategyName"
        NinjaTrader.NinjaScript.AtmStrategy.StartAtmStrate gy("myAtmStrategyName", entryOrder);
        I found NT8 provides 2 API may solve my problem:

        1. ChangeOrder(Order order, int quantity, double limitPrice, double stopPrice)
        2. AtmStrategyChangeStopTarget(double limitPrice, double stopPrice, string orderName, string atmStrategyId)

        I can call either method to change the StopLoss order to make it's limitPrice the same as stopPrice after StartAtmStrategy or in the OnOrderUpdate event handler, do u think it's workable? I haven't tried them yet...

        But for the 2nd method, how can I get the atmStrategyId? I browsed the AtmStrategy class, there's no such property in it.
        Last edited by jjhou; 12-22-2016, 09:05 AM.

        Comment


          #5
          Hello Jjhou,

          I was not able to override the stop order with a specific offset by setting the limit price using the AtmStrategyChangeStopTarget() method.

          I was also not able to use the method ChangeOrder to modify the stop working with the associated ATM.

          To get the AtmStrategyId, you would use,
          string orderId = GetAtmStrategyUniqueId();

          Please see GetAtmStrategyUniqueld method in our helpguide,
          http://ninjatrader.com/support/helpG...gyuniqueid.htm

          Please let us know if you need further assistance.
          Alan P.NinjaTrader Customer Service

          Comment


            #6
            I am a long time trader, but a novice with NinjaScript. I spent considerable time programming a functional ATM strategy, but when using it with a stoplimit order I found I was often getting slippage by many ticks. This kills this effort and I hope that the fix talked about below can take place soon. ( Using Ninja 7)
            Last edited by Pete77; 02-15-2017, 01:04 PM.

            Comment


              #7
              Hello Pete77,

              I will add your vote to SFT-1382 which if implemented would allow the user to define the offset of their stop loss orders.

              Please let us know if you need further assistance.
              Alan P.NinjaTrader Customer Service

              Comment


                #8
                I just got hit with huge slippage yesterday, using stop limit, thinking I was using a 1 offset in the ATM. I would have got filled at my limit price less than a second later, if it had worked as I belived it did. Checking log files, I could not understand how 'stop limit' got filled so far from my price. Please add my vote for this feature. Incredibly misleading calling it a stop limit when trading some instruments, when you have a 20 tick hard coded offset !

                Comment


                  #9
                  pjsmith, Thanks for the feedback. I have added a vote on your behalf.
                  Josh G.NinjaTrader Customer Service

                  Comment


                    #10
                    I would like to ask a question on he subject of stops. Day before yesterday I used a sell stop to enter a trade short on ES. I got a two point (eight tick) slippage, so this was a bad mistake on my part. But would have a sell stop limit been any better? (preventing the entry happening at all? In ATM properties I have set stop limit offset to 2. Does this represent 2 POINTS or 2 TICKS? Some clarification would be appreciated. (Using ver 7 by the way )

                    Comment


                      #11
                      Pete77,

                      I wouldn't be able to comment on which of those order types is better. I would suggest testing further to determine this but maybe someone else has some advice they can post here as well.

                      Whether your "2" represents ticks or points will depend on what you have set for the "Parameter type" in the ATM properties.

                      Going forward I believe questions like this would be better served with their own post in the appropriate(NT7) forum. Thanks.
                      Josh G.NinjaTrader Customer Service

                      Comment


                        #12
                        Add my vote to SFT-1382, NT7 has this adjustable. I had a several issues with too much slippage.

                        Comment


                          #13
                          Hello hurleydood,

                          Thank you for your post.

                          I've added your vote to SFT-1382. As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

                          Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

                          Please let us know if we may be of further assistance to you.
                          Kate W.NinjaTrader Customer Service

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