How to close active ATM strategy and pending orders?

[woodies]

I want to test a strategy which calls ATM strategy and reverses it on opposite rules. However, the ATM strategy and pending orders once opened does not close on opposite signal.
I have a code as follows.

 
protectedoverridevoid OnBarUpdate()
{
// Make sure this strategy does not execute against historical data
if (Historical)
return;
 
if (orderId.Length == 0
&& atmStrategyId.Length == 0
&& FirstTickOfBar
&& CrossAbove(MAMA cross)
)
{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "AtmStrategyTemplate", atmStrategyId); 
}
 
elseif (orderId.Length == 0
&& atmStrategyId.Length == 0
&& FirstTickOfBar
&& CrossBelow(MAMA cross) )
{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "AtmStrategyTemplate", atmStrategyId);
}
 
// Check for a pending entry order
if (orderId.Length > 0)
{
 
string[] status = GetAtmStrategyEntryOrderStatus(orderId);
 
if (status.GetLength(0) > 0) AtmStrategyCancelEntryOrder(atmStrategyId);
 
if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
{
orderId = string.Empty;
}
}
// If the strategy has terminated reset the strategy id
elseif
(atmStrategyId.Length > 0 &&
GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat
)
{atmStrategyId = string.Empty;}
}
// Close ATM strategy and pending orders

if ( atmStrategyId.Length > 0 &&
GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Long &&
CrossBelow(MAMA cross)
{
AtmStrategyClose(atmStrategyId);
atmStrategyId = string.Empty;
}
if ( atmStrategyId.Length > 0 &&
GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Short&&
CrossAbove(MAMA cross)
{
AtmStrategyClose(atmStrategyId);
atmStrategyId = string.Empty;
}
}

[NinjaTrader_AdamP]

woodies,

You would need to close the ATM strategy before entering into the opposite direction here. It looks like you are closing the strategies below, however I would suggest doing it before you enter into a reverse order.

[woodies]

Thanks for suggestion.

Do you mean something like this?

if( Market Position==MarketPosition.Long && CrossBelow(MAcross)&& atmStrategyId.Length >0)
{
AtmStrategyClose(atmStrategyId);
atmStrategyId= string.Empty;
orderId=string.Empty
if (orderId.Length == 0
&& atmStrategyId.Length == 0
)
{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "AtmStrategyTemplate", atmStrategyId);
}


}

Followed by cancelling pending entry order if it is filles, cancelled or rejected and resetting Id?
I will try this and see if it works.

[NinjaTrader_Bertrand]

Yes, this should be what you seek here to reverse with the ATM's.

[woodies]

The code does not cancel out the pending stop and target orders on reversal and the ATM opens a new order in opposite direction. Can you suggest an alternate way?
Thanks.

[NinjaTrader_Joydeep]

Hello woodies,
You should close the existing position and the enter a new position at the same time. A sample code will be

if( Market Position==MarketPosition.Long && CrossBelow(MAcross)&& atmStrategyId.Length >0)
{

//exit current position
AtmStrategyClose(atmStrategyId);

//sell at market
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "AtmStrategyTemplate", atmStrategyId); 
}

[woodies]

Thanks a lot for the support.

However, the strategy still does not take a trade.
Can you please check the error again?

[NinjaTrader_Joydeep]

Hello woodies,
Thanks for the code.

In you code you never made the initial entry (i.e. when market position is flat).
Please append the following code and see if you can get the correct entries.

if (atmStrategyId.Length == 0 && CrossAbove(SMA(Close,20),SMA(Close,100),1))
{
	atmStrategyId = GetAtmStrategyUniqueId();
	 orderId = GetAtmStrategyUniqueId(); 
	 AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "AtmStrategyTemplate", atmStrategyId);	
}
else if (atmStrategyId.Length == 0 && CrossBelow(SMA(Close, 20), SMA(Close, 100), 1))
{
	atmStrategyId = GetAtmStrategyUniqueId();
	 orderId = GetAtmStrategyUniqueId();
     AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "AtmStrategyTemplate", atmStrategyId);
}

Please let me know if I can assist you any further.

[woodies]

Hello Joydeep,

I have modified the code as per your advise and it takes the trades on both sides.
However, when it reverses, it does not close the existing stop and profit target orders.
So on reversal, there are two orders in opposite direction.
Can you please check it? Do we need to use AtmStrategy ChangeStopTarget() method to close the existing orders?
Thanks for help.

[NinjaTrader_Joydeep]

Hello woodies,
Can you please try this code.

In this context let me say that the positions of the Atm straegy are updated atleast a tick after the order gets filled.

NOTE: Changes to positions will not be reflected till at least the next OnBarUpdate() event after an order fill.

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

This is conflicting with your code

else  if 
(atmStrategyId.Length > 0 &&
GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat
)
{
	atmStrategyId = string.Empty;
	orderId= string.Empty;
}

If I remove it I can get the strategy working.

[woodies]

Great!!! That finally works as expected.
This could be the only example on the forum of ATM strategy use in a main strategy.

I have seen problems with overfill when dealing with managed approach and unmanaged approach requires a lot of order handling. And ATM strategy would offer a simpler solution to his.

Thanks a lot for all the help and support to everybody.

[NinjaTrader_Joydeep]

Hello woodies,
Thanks for your note.

Please let me know if I can assist you any further.

[woodies]

Hello,

I am trying to get relalized PL from ATM strat example shown here but it does not update properly.
Can you check the code and show me the error?

 // If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
                      if (status.GetLength(0) > 0)
                            {
                                 
                                  // If the order state is terminal, reset the order id value
                                  if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
                                  {
                                    orderId = string.Empty;
                                  }
                
                            }
                    }
                 
                    else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId)==MarketPosition.Flat)
                        {
                            if(GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
                               { realizedProfitLoss += Instrument.MasterInstrument.Round2TickSize(GetAtmStrategyRealizedProfitLoss(atmStrategyId));
                                  atmStrategyId = string.Empty;
                                  unrealizedProfitLoss = 0;
                                }
                        }
                        if(atmStrategyId.Length > 0)
                        { 
                            unrealizedProfitLoss=Instrument.MasterInstrument.Round2TickSize(GetAtmStrategyUnrealizedProfitLoss(atmStrategyId));
                        }

I am attaching the .cs file here for reference.
Thanks.

[NinjaTrader_Joydeep]

Hello woodies,
You are always in a position as the first 2 block of codes will never let you in a flat position. Thus the last block of code (where you calculate the PnL) never gets updated.

[woodies]

Thanks for reply.
Is there any workaround this problem so that we can get the ATM PL while in a long/shot psotion?
Can we use PL methods we use for managed approach like Performance.AllTrades.TradesPerformance.Currency.C umProfit
for ATM based strategy?