if (Math.Abs(MyDivergencePrice(days,pctchange,symbol1,symbol2).difference[0]) > pctchange){ qty1 = value / Closes[0][0]; qty2 = value / Closes[1][0]; lqty1 = Convert.ToInt32(qty1); lqty2 = Convert.ToInt32(qty2); if (Positions[0].MarketPosition == MarketPosition.Flat && Positions[1].MarketPosition == MarketPosition.Flat) { if (MyDivergencePrice(days,pctchange,symbol1,symbol2).primary[0] < MyDivergencePrice(days,pctchange,symbol1,symbol2).secondary[0]){ EnterLong(0,lqty1,"Long"); EnterShort(1,lqty2,"Short"); } else { EnterLong(1,lqty2,"Long"); EnterShort(0,lqty1,"Short"); } } }
Announcement
Collapse
Looking for a User App or Add-On built by the NinjaTrader community?
Visit NinjaTrader EcoSystem and our free User App Share!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
See more
See less
Partner 728x90
Collapse
NinjaTrader
Pairs Trading Execution Issue
Collapse
X
-
Pairs Trading Execution Issue
I'm attempting a simple pairs trade strategy to enter two symbols the same day and exit the same day. I'm getting a few times where entry/exit happens different days and I'm not sure how. Please see code below and assist. Thanks.
Code:Last edited by wallabee13; 03-10-2018, 09:11 AM.Tags: None
-
Hello wallabee13,
Is this in real-time or historical?
Are the instruments using the same session template?
Have you enabled TraceOrders to ensure the orders are being submitted at the same time?
Have you added prints to OnOrderUpdate to see if the orders are reaching accepted / working / filled states?Chelsea B.NinjaTrader Customer Service
Latest Posts
Collapse
Topics | Statistics | Last Post | ||
---|---|---|---|---|
Change colour of Stop market and limit orders to red and green via indicator script
by Rapine Heihei
Started by Rapine Heihei, Yesterday, 07:51 PM
|
1 response
12 views
0 likes
|
Last Post Today, 06:59 AM | ||
Started by kaywai, Today, 06:26 AM
|
1 response
6 views
0 likes
|
Last Post
by kaywai
Today, 06:35 AM
|
||
Started by ct, 05-07-2023, 12:31 PM
|
6 responses
205 views
0 likes
|
Last Post
by wisconsinpat
Today, 06:29 AM
|
||
Started by kevinenergy, 02-17-2023, 12:42 PM
|
118 responses
2,780 views
1 like
|
Last Post
by kevinenergy
Today, 05:41 AM
|
||
Started by briansaul, Today, 05:31 AM
|
0 responses
10 views
0 likes
|
Last Post
by briansaul
Today, 05:31 AM
|
Comment