Issues with limit orders...

[BigDog008]

I'm having some issues with Limit Orders where they keep changing as the market keeps moving... I have it set that its liveUntilCancelled, but still seem to be having issues...

SHORTS....

if (some condition is met)
{
EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 2 * TickSize, "ShortA");
EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 3 * TickSize, "ShortB");
EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 4 * TickSize, "ShortC");
}

LONGS....

if (some condition is met
{
EnterLongLimit(0, true, DefaultQuantity, GetCurrentBid() - 2 * TickSize, "LongA");
EnterLongLimit(0, true, DefaultQuantity, GetCurrentBid() - 3 * TickSize, "LongB");
EnterLongLimit(0, true, DefaultQuantity, GetCurrentBid() - 4 * TickSize, "LongC");
}

[NinjaTrader_Josh]

If you keep submitting the orders over and over they will keep amending and moving. Don't resubmit if you don't wish to amend the order.

[BigDog008]

Originally Posted by NinjaTrader_Josh

If you keep submitting the orders over and over they will keep amending and moving. Don't resubmit if you don't wish to amend the order.

so how would I ammend this if I don't keep order submission in OnBarUpdate()?

[NinjaTrader_Josh]

Not sure I follow. Your original post eluded to you not wanting the orders to move. If you don't want them to move, do not resubmit your orders. If you want to amend them then simply call the EnterShortLimit() again.

[BigDog008]

Originally Posted by NinjaTrader_Josh

Not sure I follow. Your original post eluded to you not wanting the orders to move. If you don't want them to move, do not resubmit your orders. If you want to amend them then simply call the EnterShortLimit() again.

Meaning how do I keep it from not resubmitting orders?

I currently have the EnterShortLimit and EnterLongLimit in the OnBarUpdate() section because I want to be able enter them based on current market prices...

[NinjaTrader_Josh]

You can use flag variables.

if (flag == false)
{
     EnterLongLimit(...);
     flag = true;
}

[BigDog008]

Originally Posted by NinjaTrader_Josh

You can use flag variables.

if (flag == false)
{
     EnterLongLimit(...);
     flag = true;
}

but then how would I handle the issue of switching to flag = false when I hit a profit target or a stop?

could I add flag = false to the protected override void Initialize() section?

[NinjaTrader_Josh]

private bool flag = false;

in the Variables region of your code.

You just need to decide when you want to reset it to false yourself. Whether that means when you are flat, when your entry gets filled, whatever your criteria is when you set it back to false.

[BigDog008]

so I did that... and now I'm not able to submit orders at all... finding it rather frustrating that I'm missing something here... not sure what though....

#region Variables
 private int stoplossticks = 8;
private bool flag = false;
#endregion

and....

if (some conditions....
   && flag == false)

and....

{
 EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 2 * TickSize, "Short A");
EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 3 * TickSize, "Short B");
EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 4 * TickSize, "Short C");
flag = true;
}

but no dice

[NinjaTrader_Josh]

I suggest you print the value of your flag variable. You have no code there that resets the flag to false.

[BigDog008]

Here's what I've done... but still seem to be resubmitting orders...

#region Variables
// Wizard generated variables
private bool flag = false;
// User defined variables (add any user defined variables below)
#endregion

and then for logic...

protected override void Initialize()
{
SetProfitTarget("Long A", CalculationMode.Ticks, 4);
SetProfitTarget("Long B", CalculationMode.Ticks, 6);
SetProfitTarget("Long C", CalculationMode.Ticks, 8);
SetProfitTarget("Short A", CalculationMode.Ticks, 4);
SetProfitTarget("Short B", CalculationMode.Ticks, 6);
SetProfitTarget("Short C", CalculationMode.Ticks, 8);
            
SetStopLoss("Long A", CalculationMode.Ticks, 8, false);
SetStopLoss("Long B", CalculationMode.Ticks, 8, false);
SetStopLoss("Long C", CalculationMode.Ticks, 8, false);
SetStopLoss("Short A", CalculationMode.Ticks, 8, false);
SetStopLoss("Short B", CalculationMode.Ticks, 8, false);
SetStopLoss("Short C", CalculationMode.Ticks, 8, false);

CalculateOnBarClose = false;
}

protected override void OnBarUpdate()
{
// Condition set 1
if (some condition met...
   && flag == false)
{
      EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 2 * TickSize, "Short A");
      EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 3 * TickSize, "Short B");
      EnterShortLimit(0, true, DefaultQuantity, GetCurrentAsk() + 4 * TickSize, "Short C");
      flag = true;
 }

// Condition set 2
if (some condition met...
    && flag == false)
{
      EnterLongLimit(0, true, DefaultQuantity, GetCurrentBid() - 2 * TickSize, "Long A");
      EnterLongLimit(0, true, DefaultQuantity, GetCurrentBid() - 3 * TickSize, "Long B");
      EnterLongLimit(0, true, DefaultQuantity, GetCurrentBid() - 4 * TickSize, "Long C");
      flag = true;
}
            
if (Position.MarketPosition == MarketPosition.Flat)
{
    flag = false;
}

i'm confused... what am i missing?

[NinjaTrader_Bertrand]

It may be your orders expire unfilled and the condition becomes true intrabar again since you run it on CalculateOnBarClose = false, have you tried working with TraceOrders to check into the order behavior of your strategy? http://www.ninjatrader-support2.com/...ead.php?t=3627

[BigDog008]

Bertrand, but does it make sense that it will expire when I have liveUntilCancelled set to true?

for what its worth, even though i initially have the flag set to false, have logic to change the flag back to false, the moment i click on start in the strategy tab, it seems to send out two orders, regardless of what the time is.... i want to run the strategy from 8:30am to 3pm central standard time, yet it'll still send out order prior to that.... i am testing using market replay

[NinjaTrader_Bertrand]

No, sorry missed that in my earlier post BigDog008 - I thought you had it to false and that's why you needed to work with flags for resubmitting until filled.

[BigDog008]

any suggestion as to where this is failing? the logic seems rather simple and sound and shouldn't be misbehaving to this level