Trade Count Problem

[wuileng]

Hi,

In certain strategies, I would like to limit the daily number of losing trades. I have implemented the logic to do this by using Performance.AllTrades.Count.

In backtesting, this works great, but live, what seems to happen is that the market orders for entry seem to get executed as several fills. For example, a recent market order for 651 shares worked out to be 300 @ Default, 200 @ Default, 100 @ Default, 51 @ Default. It does this even though it is being executed at the same price. I know this because I have a Print() in OnExecution which shows me the fills and the IExecution.

What happens next is when these trades are closed (by a single market order), this then counts as 4 losing trades rather than just 1. Is there a solution to this?

Thanks

[NinjaTrader_Bertrand]

wuileng, yes you could certainly be getting so called partial fills in live trading and on the simulator, in backtesting this would not be possible. From the entry and exit execution pairing this would report as multiple trades then. What you could look into is for example a counter on the position updates seen in OnPositionUpdate(). Just increment if it changes to anything non flat and reset every day/session.

http://www.ninjatrader.com/support/helpGuides/nt7/onpositionupdate.htm

[wuileng]

Hi Bertand,

Using the method you suggester in OnPositionUpdate(), would I encounter the same problem with OnPositionUpdate() being called four times on that market order problem?

If that is the case, what I would need to do would be if (Position.MarketPosition != MarketPosition.Flat && [Position Right Before This Was Flat]). Is there an easy way of implementing the second condition or would I need to update a variable with the strategy's position on each bar update in OnBarUpdate?

Thanks

[NinjaTrader_Bertrand]

No I would not expect that, the first time you are in a position it would not change again as you're just adding to the already existing position via the partials seen.

[wuileng]

Thanks, so just to clarify - OnPositionUpdate is only called when a strategy's position changes between Long/Short/Flat and not when the quantity of a position changes?

[NinjaTrader_Bertrand]

That is correct wuileng, it's just the market position update and not a size update.

[wuileng]

Thanks again for your help!

[wuileng]

Sorry to disturb, but I had a quick follow up question.

Say I had a multi instrument long-short strategy, which trades the primary and a secondary instrument XYZ. Also let's say that it went long primary, and short XYZ as a hedge (in the same OnBarUpdate call via market orders):

Would OnPositionUpdate be called twice or just once?
Would the generic Position.MarketPosition (rather than Positions[0] or Positions[1]) show long (because it enters long primary first)?

Now, if one leg was closed first, say the long primary leg so what remains is short XYZ:

Would OnPositionUpdate be called again?
Would the generic Position.MarketPosition now show short?

Thanks

[NinjaTrader_Bertrand]

Yes, OnPositionUpdate() would be called for each change of the market positions, as you would then have 2 strategy positions for the script trading on 2 instruments. To see what exactly you get just print the position.ToString to your output when passed in OnPositionUpdate().