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 | ||
---|---|---|---|---|
Started by Tim-c, Today, 03:54 AM
|
0 responses
3 views
0 likes
|
Last Post
by Tim-c
Today, 03:54 AM
|
||
Started by FrancisMorro, Today, 03:24 AM
|
0 responses
2 views
0 likes
|
Last Post
by FrancisMorro
Today, 03:24 AM
|
||
Net Change
by Segwin
Started by Segwin, 05-07-2018, 02:15 PM
|
10 responses
1,771 views
0 likes
|
Last Post
by Leafcutter
Today, 03:01 AM
|
||
Change colour of Stop market and limit orders to red and green via indicator script
by Rapine Heihei
Started by Rapine Heihei, 04-23-2024, 07:51 PM
|
2 responses
31 views
0 likes
|
Last Post
by Max238
Today, 02:25 AM
|
||
Started by Shansen, 08-30-2019, 10:18 PM
|
24 responses
945 views
0 likes
|
Last Post
by spwizard
Today, 01:29 AM
|
Comment