trailing stops in umanaged framework

[stewarco]

Hello. I'm working in unmanaged framework where I have multiple trades on the same instrument, for which each has it's own stop/ profit target. I've got it working so I can put in static stops/ targets associated with each trade, but I'm having trouble figuring out how I might set up trailing stops for each of those. Essentially, I might have 6 separate stops out, and the price of each would need to be updated (by same amount) following every bar update. Have you guys encountered any examples of this? I could imagine just cycling through all the stops and making the adjustment, but some might have already been filled, etc

Thanks

[NinjaTrader_AlanP]

Hello stewarco,

Thank you for your note.

I put together a sample for the unmanaged approach which will submit a buy order, then a stop which is assigned to an order object and that order object is added to a list of type Order. Then on each bar update, this list is looped to check that the order is a stop market order and above the price which would trigger a change order call for that stop.

With your additional stop orders, you’d just add them to this list and have each changed as needed.

Please see attached.

[stewarco]

thanks this is helpful

[stewarco]

possibly relate question

Hi. This methodology works great. However, I'm having a new problem which may or may not be related. When I try to run a playback simulation, I'm getting the error about "Strategy has been disabled because it attempted to modify a historical order that has transitioned to a live order." I currently have the standard language:

else if (State == State.Realtime)
{
// one time only, as we transition from historical
// convert any old historical order object references
// to the new live order submitted to the real-time account
if (entryOrder != null)
entryOrder = GetRealtimeOrder(entryOrder);
if (stopOrder != null)
stopOrder = GetRealtimeOrder(stopOrder);
if (targetOrder != null)
targetOrder = GetRealtimeOrder(targetOrder);
}

However, each stopOrder is going into stopList for updating the trailing levels. So do I need to update the code above to cycle through the entire list of outstanding stops? Or is the issue completely unrelated?
Thanks

[NinjaTrader_AlanP]

Hello stewarco,

The sample I provided only should run in real time so this looks unrelated.

For the issue with attempting to modify a historical order that has transitioned to a live order, please see the following link discussing how to resolve this.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?advanced_order_handling.htm#Transitioningorderreferencesfromhistoricaltolive

Please let us know if you need further assistance.

[stewarco]

follow up

Hey Alan. I reviewed the section you provided, and included language as referenced below but I'm still having that issue. I guess I'm not entirely clear on the historical to realtime transition, but are you saying if I have multiple stop and target orders outstanding when I transition to realtime they'd still be picked up by

else if (State == State.Realtime)
{
// one time only, as we transition from historical
// convert any old historical order object references
// to the new live order submitted to the real-time account
if (entryOrder != null)
entryOrder = GetRealtimeOrder(entryOrder);
if (stopOrder != null)
stopOrder = GetRealtimeOrder(stopOrder);
if (targetOrder != null)
targetOrder = GetRealtimeOrder(targetOrder);
}

Thanks

[NinjaTrader_AlanP]

Hello stewarco,

I would expect that code to have issues with multiple stops and profit targets.

Have you attempted to assign each target and stop its own unique order object?

I look forward to your reply.

[stewarco]

hi

Hey alan. Any chance you or somebody can give me a call and I can try to walk you through what I have so far?

[NinjaTrader_AlanP]

Hello stewarco,

Could you please send an email to platformsupport[at]ninjatrader[dot]com with Attn: Alan P in the Subject line. Also within the email please include a link to this thread.

I look forward to your email.