Trading a Live Account with 2 Different Strategies on the Same Instrument

[rjsjr64]

I want to trade my live account with 2 different strategies using the same instrument.

i have one setup that works really well with going long on a 1 minute chart.
i have another setup that works well going short on a 2 minute chart.

I want to run them the same time on the MES (micro ES) WITHOUT them interfering with one another. Is this possible? If so, how?

i know I could run the long strategy on the ES, and the short strategy with 10 MES contacts without them conflicting, but both of these strategies are statistically better on the MES, and I’m not sure how it works when both are running on the same contact at the same time in potentially opposite directions.

Please advise. Thanks!

[bltdavid]

i have one setup that works really well with going long on a 1 minute chart.
i have another setup that works well going short on a 2 minute chart.

Going long and short in the exact same instrument in the exact same account
is not advisable -- uh, actually, it's simply not possible.

Consider this:
Strategy #1 goes LONG 10 contracts, your broker gets the order 'Buy 10'.
After 'Buy 10' is executed you are LONG 10 at your broker.

A few minutes later,
You have an open position LONG 10 at your broker from Strategy #1.
Strategy #2 goes SHORT 10 contracts, your broker gets the order 'Sell 10'.
After 'Sell 10' is executed you are FLAT at your broker.

See that?
Your account at the broker is now FLAT!

Why?
Because Strategy #1 thinks it is LONG 10 while Strategy #2 thinks
it is SHORT 10. But, at your broker, a 'Buy 10' followed by 'Sell 10'
equals no position.

This is what is known as the Account Position vs the Strategy Position.
It's a classic conundrum experienced by newcomers to auto trading.

Each Strategy maintains a position that only it knows about -- so when
running 2 strategies you'll have 2 separate Strategy Positions, and when
these positions are in the same instrument in the same account these
orders may 'oppose' each other when executed by your broker.

Your broker doesn't know a darn thing about your strategies. To them,
your Buy and Sell orders all look the same, whether manual or automated.

All the broker sees is one order connection to the one account -- so having
two Strategy Positions LONG 10 and SHORT 10 in the same instrument
for the same account makes no sense for one account -- your broker simply
won't be able to do that -- since BUY 10 followed by SELL 10 means you
are FLAT in that one account(*).

The solution is simple:
If you want to be LONG and SHORT in the same instrument, you will
need to use two different accounts.

(*) Perhaps some brokers have special mechanisms to compensate and
might allow this -- but most do not -- ask your broker to confirm "Am I able
to hold a long position and short position in the same instrument at the same
time in the same account?"

[rjsjr64]

Thank you for the detailed explanation! I kinda figured that was the case.

The strategies I’m using are usually not in play at the same time, but there are times when they do overlap, so that was why I was asking. In any event, the answer is to use separate accounts or separate instruments. Thanks again

[bltdavid]

The only way to trade the same instrument in the same account with two
Strategy instances (same or different Strategy, doesn't matter) is this:

You add some special code to each Strategy, such as a lock or other singular
resource, so that neither Strategy enters a position until it first acquires the
lock -- then it holds the lock for the entire duration of the open position --
and releases the lock only when it exits the position.

This would mean Strategy #2 would not be able to acquire the lock during
the times Strategy #1 has an open position, and vice versa.

I have used such a locking technique to do exactly what you are wanting
to do -- and it works fine -- this locking technique prevents both strategies
from holding a position at the same time, but allows both strategies to
at least run at the same time. The point is: start both strategies, and
the first Strategy to find it's trade setup is allowed to take it. The other
Strategy is forced to skip all of it's trade setups as long as the lock is
unavailable. This is a 'first-come, first-serve' locking technique -- when
the lock is unavailable, a strategy cannot wait for it to become available,
it simply forfeits that setup and returns.

Unless you know how to code that kind of locking mechanism, you are
best advised to open two accounts at the same brokerage. The goal
is: one set of login credentials at one broker, but you open two different
accounts that physically share the same login credentials. This is a
critical organizational detail.

You want two different accounts in NT's account dropdown list, and the
easiest way to do that is open two accounts at the same broker. But
you must realize this detail, and this is critical: You want these two
accounts at the same broker exactly because you want these two
accounts to share the same login credentials.

Why do it that way?
Because that kind of setup would not require a Multi Broker License,
since this is still, technically, a single connection to a single broker.

EDIT: The corollary is this:
If you open two accounts at the same broker and they give you two
different login credentials to access these two different accounts,
you are hosed, and the MB license can't un-hose that. So, when
you open those two accounts, do it at the same broker but also do
whatever is necessary to make sure they're both accessible from
the same login credentials. (Ie, two different account numbers is
fine, but you only want one username/password for the connection
setup -- after you connect, you'll then see your two accounts in the
Account dropdown listbox -- allowing you to run the same Strategy
in two different accounts without a Multi-Broker License.)

[rjsjr64]

Amazing! Thank you so much!

[rjsjr64]

For the sake of clarity, one can have a strategy for 1 ES contract long, and another strategy for 10 MES contracts short, and they will not flatten each other out because they are different instruments, correct?

[NinjaTrader_BrandonH]

Hello rjsjr64,

Thank you for your post.

You may run a strategy that enters 1 long for the ES instrument and a second strategy that enters 10 short for the MES instrument. The instruments are not the same so the orders will not flatten each other out.

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

[NathanHartTGa]

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