How to handle Unmanaged BiDirectional AccountPosition

[Paulito123]

Hello Experts.

I'm relatively new to NinjaScript, but I have coded before in C# so I know the basics. What I am trying to create is a certain strategy that allows me to go short and long at the same time. If I understood correctly, the only way to do this is to us the Unmanaged approach. For now, my strategy only runs on 1 data serie. Currently, what I do is the following:
Open Sell Position:
v_OpenOrders[0] = SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.Market, Convert.ToInt32(v_LotIncrement[0]));
Open Buy Position:
v_OpenOrders[0] = SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.Market, Convert.ToInt32(v_LotIncrement[0]));
WHERE >>> v_OpenOrders[] is an Order[] and v_LotIncrement[] a double[] that contains a predefined set of volumes.

After a while I might have executed orders (and thus open position=) like
1000 Long at 1.1300
2000 Short as 1.1250
3000 Long at 1.1280

First of all, am I correct to say that:
- PositionAccount.AveragePrice will give me the BreakEvenPrice level. In other words, it is the average weighted price of all my orders?
- How do I close all orders at once by Mar****rder? I saved the orders in the v_OpenOrders array.
- How do I know in the end, after all orders are closed what was my eventually realized PNL?

Thanks a lot in advance
Paulito

[NinjaTrader_Jim]

Hello Paulito123,

Thanks for your post.

It would not be possible to have a strategy that is both long and short at the same time. As the orders would be sent to the account, the associated buys and sells would render the position flat or in a different position that would likely not be inline the goal of your strategy. You would need separate accounts to have both long and short positions at the same time.

- PositionAccount.AveragePrice will give me the BreakEvenPrice level. In other words, it is the average weighted price of all my orders?

PositionAccount will give information on the actual account position. For consistency, I would recommend using Position.AveragePrice which would be the Average Entry Price for the strategy's current position.

Position - https://ninjatrader.com/support/help...s/position.htm

- How do I close all orders at once by Mar****rder? I saved the orders in the v_OpenOrders array.

Using the Unmanaged Approach, we tell NinjaTrder that we do not want to use any pre-managed behaviors offered in the Managed Approach and we want to do everything ourselves. The order objects would have to be cancelled with CancelOrder and your market order would be used to close the total position quantity.

CancelOrder - https://ninjatrader.com/support/help...ancelorder.htm

- How do I know in the end, after all orders are closed what was my eventually realized PNL?

Strategy performance can be fetched with SystemPerformance.AllTrades.TradesPerformance. PnL can also be fetched from the Trade object from a Trades collection. Sample code for using these items and checking the last Trades PnL can be found in the documentation items linked below. OnPositionUpdate can also be used to print out these values after the strategy has returned to a flat position.

TradesPerformance - https://ninjatrader.com/support/help...erformance.htm

Trade Collection - https://ninjatrader.com/support/help...collection.htm

Trade - https://ninjatrader.com/support/help...n-us/trade.htm

OnPositionUpdate - https://ninjatrader.com/support/help...tionupdate.htm

Help guide information is publicly available.

Please let us know if you have any additional questions.

[Paulito123]

Hello Jim

First of all, thanks for your quick response.

I'm very much surprised that it is not possible to take a long and short position at the same time when trading Forex. (I did not mention in my first post that I was going to trade forex and that I'm not a US resident, I hope that makes a difference). This would really kill my strategy. I need to be able to hedge my wrong trades.

On the website of FXCM, I found this:

How do I enable hedging?

Hedging can be turned on by logging into www.myfxcm.com and selecting "Hedging Functionality" from the "Account Settings" drop down menu.

Also here: https://www.fxcm.com/ph/products/overview/ the hedging capabilities are mentioned for CFD's...

With the open orders i mentioned in my previous post, are meant filled orders. I didn't describe it correctly, mea culpa. So looking again at SubmitOrderUnmanaged(), i noticed this:
OrderAction.Buy
OrderAction.BuyToCover
OrderAction.Sell
OrderAction.SellShort

Could it be that I would have to open a BuyToCover trade for the same quantity as the sum of all the filled Sell orders I have opened? If not, could you then explain what the BuyToCover and SellShort properties are used for?

The rest is clear, so far...

Thanks again for the information
Best regards
Paul

[Paulito123]

You would need separate accounts to have both long and short positions at the same time.

Hello experts

How can this be accomplished? I can only operate one account by strategy, if I recall correctly...

Thanks in advance
Paul

[NinjaTrader_Jim]

Hello Paul,

Thanks for clarifying on your intentions.

Hedging Accounts are not supported. We are tracking interest in supporting them in a future version of NinjaTrader with SFT-1458. I'll add a vote on your behalf.

BuyToCover is a exit from a short position while SellShort is an entry to a short position.

Even if you use two strategies or use the Unmanaged Approach to open positions in opposite directions out side of the Managed Approach's rules, the account position will be long, short or flat.

Some clients have found a workaround by creating subaccounts with FXCM and using separate strategies assigned to each account to handle this. We do not support inter-strategy communication, but if you would like to implement your own ways of having scripts communicate with each other you could add code in the AddOn namespace. An example that outlines this is linked below.

https://ninjatrader.com/support/foru...956#post733956

Let me know if I can be of further assistance.

[xTrader1]

Hello Paul,

Some clients have found a workaround by creating subaccounts with FXCM and using separate strategies assigned to each account to handle this. We do not support inter-strategy communication, but if you would like to implement your own ways of having scripts communicate with each other you could add code in the AddOn namespace.

Let me know if I can be of further assistance.

Could you specify more ? Once I'm connected I may have a "long" strategy "Long" which will operate on sub-account "1" and another short strategy "Short" operating on sub-account "2" ?

Regarding Oanda connection via continuum as an example - can I have two active connection to my two subaccounts simultaneously , or should I swap between them before posting a "Long" or a "Short" ?

The same question about FXCM Connection ?

Thanks ,

[NinjaTrader_Jim]

Hello xTrader1,

Yes, you would apply the Long/Short strategies on separate accounts so they would not compete. "Long" can be on "1" and "Short" can be on "2."

Continuum based connections do not support multiple connections from NinjaTrader, but FXCM connections would allow you to configure 2 separate connections and connect to them at the same time.

We look forward to assisting.

[xTrader1]

Well, Thanks.