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Old 11-03-2009, 12:04 PM   #1
hodgsos
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Default Orders Sent then Immediately Cancelled on Multi TF

Hi, Having progressed my strategy from a single timeframe to a multi time I am having a problem when placing orders.

The Orders are sent to the order manager and then immediately cancelled. I can only assume it has something to do with the Multi TF code I have added.

Although I have referred to it as "Multi Timeframe" I am actually using range bars of two periods (20 and 50 Range) Tick on Forex.

Code is Below:

Code:
 protected override void Initialize()
        {
            
            SetProfitTarget("DonLa", CalculationMode.Ticks, WT1L);
            SetProfitTarget("DonSa", CalculationMode.Ticks, WT1S);
            ExitOnClose = false;
            CalculateOnBarClose = false;
            ClearOutputWindow();
            Add(PeriodType.Range,50); //Added Second Time-Frame to Collect Data for Trend - Array Index is 1
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if (FirstTickOfBar)
            {
                trend = SMA(BarsArray[1],10)[0]; // Calculate the Trend
                Print(Instrument.FullName+":"+Position.MarketPosition+":"+Time);
                Print("Trend: "+trend);    
                    //Print(Bars.BarsSinceSession+":"+Time);
                    // MA Entry Long
                    if (
                        Close[currentBar] > SMA(Close,14)[currentBar]
                        && Close[currentBar] > Open[currentBar]
                        && Close[previousBar] <= SMA(Close,14)[previousBar]
                        && Close[currentBar] >= trend
                        )
                    {                
                        //Print ("MarketPosFromLong:"+Position.MarketPosition+":"+Position.Quantity);
                        if (Position.MarketPosition == MarketPosition.Flat) 
                        {
                            EnterLongLimit(wSingleOrderQuantity, Close[0]+(2*TickSize), "MALa");
                            Print ("EnterLong: "+Instrument.FullName+":"+Position.MarketPosition+":"+Position.AvgPrice+":"+Bars.BarsSinceSession+":"+Time);
                        }
                        //Always put a stop loss in!
                        SetStopLoss(CalculationMode.Ticks, wStopL);
                    }
                    // MA Entry Short
                    if (
                        Close[currentBar] < SMA(Close,14)[currentBar]
                        && Close[currentBar] < Open[currentBar]
                        && Close[previousBar] >= SMA(Close,14)[previousBar]
                        && Close[currentBar] <= trend
                        )
                    {                            
                        //Print ("MarketPosFromShort:"+Position.MarketPosition+":"+Position.Quantity);
                        if (Position.MarketPosition == MarketPosition.Flat) 
                        {
                            EnterShortLimit(wSingleOrderQuantity, Close[0]-(2*TickSize), "DonSa");
                            //EnterShortLimit(wSingleOrderQuantity, Close[0]-(2*TickSize), "DonSb");
                            Print ("EnterShort: "+Instrument.FullName+":"+Position.MarketPosition+":"+Position.AvgPrice+":"+Bars.BarsSinceSession+":"+Time);
                        }
                        //Always put a stop loss in!
                        SetStopLoss(CalculationMode.Ticks, wStopS);
                    }
            }
        }
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Old 11-03-2009, 12:10 PM   #2
NinjaTrader_Bertrand
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hodgsos, welcome to the forums - please set those to liveUntiCancelled or resubmit them until filled, otherwise they get cancelled per default on the next OnBarUpdate() call - http://www.ninjatrader-support.com/H...verview36.html
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Old 11-03-2009, 12:51 PM   #3
hodgsos
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Thank you for your quick response, I will give this a try.

Regards
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