2 orders on consecutive bars not working

[qewcool]

I am trying to implement this to try to minimize slippage but NT7 does not seem to be able to process it.
I am trying to understand why and if there is a solution:

This is in a strategy. I am using UpdateOnBarClose = true.
It is doing entries doing reversal orders ie long then short then long

1) I have a short position.
2) signal to go long occurs on bar 0
3) I issue first a limit order :
Lorder01 = EnterLongLimit(0,false,tradesize,Close[0],"L01");

4) a condition checks if on bar 1 I am in a long position or not (ie I got reversed or not)
5) if not then I issue a market order at close of bar 1 :
Lorder01 = EnterLong(0,tradesize,"L01"); // on bar 1 close

Result from testing : the second market order is never executed by NT as if like it was never issued or accepted ... I do not see it anywhere in the orders tab. or excution tab.


So trying to troubleshoot I made a small change :

6) I change the condition to issue the market order on bar 2 if I am in a long position (ie if I got reversed or not) instead of on bar 1 :
Lorder01 = EnterLong(0,tradesize,"L01"); //on bar 2 close

Result from testing : suddenly everything works as intended but on 1 bar later than I want.

Can you help me understand why is this happening ? it seems to be NT7 internal functionning somehow that does not permit this.

Thanks

[NinjaTrader_Bertrand]

qewcool, please rerun your testings with the TraceOrders feature on - http://www.ninjatrader.com/support/f...ead.php?t=3627

You're likely running into the order handling rules of the Managed Approach here:

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

[qewcool]

qewcool, please rerun your testings with the TraceOrders feature on - http://www.ninjatrader.com/support/f...ead.php?t=3627

You're likely running into the order handling rules of the Managed Approach here:

http://www.ninjatrader.com/support/h...d_approach.htm

getting this error on that 2nd market order :

4/8/2011 5:00:00 AM Ignored PlaceOrder() method at 4/8/2011 5:00:00 AM: Action=SellShort OrderType=Market Quantity=2 LimitPrice=0 StopPrice=0 SignalName='SE01' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'

so I tried 3 things :
1) cancelling the limit order before issuing the market order didnt help either.
2) tried putting EntriesperDirection = 2 but that didnt reverse the position .... it just executed the market order and brought the total position to flat.

3) So i put EntriesperDirection = 2 and increase the quantity of the market order by 2 like this :
LEorder01 = EnterLong(0,tradesize*2,"LE01");

and it is doing what I intended but its a bit unorthodox solution since it doesnt show a "close position" reverse anymore and basically just shows en entry for double the strategy custom quantity.


woud this solution be ok or does it have unforeseen/unintended consequences ?

[qewcool]

I think I found some unintended consequences ... cant optimize it
optimization only do orders for a few days and stop

1 question : does the stategy slippage applies on limit orders ? or just on market orders when calculating strategy performance ?
I would guess only on market orders but just want to confirm

[NinjaTrader_Bertrand]

Slippage would only be applied to market orders, not to limit orders, they get filled at your price or better, so there's no slippage here. For the no trade issues: are you resetting the iorders properly in your strategy after an order reached terminate state?

[qewcool]

Slippage would only be applied to market orders, not to limit orders, they get filled at your price or better, so there's no slippage here. For the no trade issues: are you resetting the iorders properly in your strategy after an order reached terminate state?

Yes I am resetting the iorder back to null after filled, cancelled etc ...

[NinjaTrader_Austin]

qewcool, I'll have Bertrand get back to you on Monday.

[NinjaTrader_Bertrand]

Then you would need to debug the code carefully and simplify it down to the bare essentials to understand where it exactly breaks.