Long/Short daily losing trades limit

[UltraNIX]

Hey,

I want to implement a limit on daily losing long/short trades.

I have a code to determine last trade's PnL:

 protected override void OnPositionUpdate(Position position, double averagePrice, int quantity, MarketPosition marketPosition)
{
if (Position.MarketPosition == MarketPosition.Flat && SystemPerformance.AllTrades.Count > 0)
{
LastPnL = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1].ProfitCurrency;
}

But here I need to determine if the last trade was long or short. How can I do that?

After that, I would use this code [short trade example]:

if (LastPnL < 0 && ShortTrade) // Where ShortTrade is bool that I need to calculate
DShortCount++;
if (DShortCount == DLimitShort)
{
DAllowShort = false;
}

[NT-Roland]

Hi UltraNix,
The easiest way is to set a bool "long" or "short" when entering the trade, but you have choices ...

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/82343-how-to-determine-if-last-trade-was-long-or-short

NT-Roland

[mcosta72]

Hey Ultranix,

Try this:
protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{

Print(marketPosition);

}

QuantWiseTrading

[NinjaTrader_ChelseaB]

Hello UltraNIX,

The last trade object will have an Entry order that is the Type of Execution which has a property Order of the type Order. Order has an OrderAction of Buy, BuyToCover, Sell, SellShort.

https://ninjatrader.com/support/helpGuides/nt8/alltrades.htm

https://ninjatrader.com/support/helpGuides/nt8/tradecollection.htm

https://ninjatrader.com/support/helpGuides/nt8/trade.htm

https://ninjatrader.com/support/helpGuides/nt8/execution.htm

https://ninjatrader.com/support/helpGuides/nt8/order.htm

For example

lastTrade = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1];

if (lastTrade.Entry.Order.OrderAction == OrderAction.Buy)
{
// this trade was a long trade
}

You may also find the example DailyLossLimitExample_NT8 helpful.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/93881-daily-loss-limit-examples#post93881