Prevent multiple entries

[MrTicks]

Is it possible to prevent multiple orders on the same bar? I have a ninjascript that generates the same order repeatedly from time to time, not under every signal condition is met though.

I have sorted out the issue on other strats by adding FirstTickofBar but on a LineBreak Chart it doesn't seem to help.

Here is my entry signal and ATM call code;

PHP Code:

// Long entry signal if cross above daily PP
                        if (Position.MarketPosition == MarketPosition.Flat
                            && orderIdL.Length == 0  
                            && atmStrategyIdL.Length == 0
                            && FirstTickOfBar
                            //&& Close[0] >= Open[0]
                            //&& Close[1] > GetCurrentAsk()
                            && BarsSinceEntry() > 1
                            && CrossAbove(Close, Pivots(PivotRange.Daily, HLCCalculationMode.CalcFromIntradayData, 0, 0, 0, 20).PP, 1)
                            || CrossAbove(Close, Pivots(PivotRange.Daily, HLCCalculationMode.CalcFromIntradayData, 0, 0, 0, 20).R1, 1)
                      
                            
                            //&& Close[1] + prevBarsPlusTicks*TickSize > GetCurrentAsk()
                            //&& Close[1]  < GetCurrentBid()
                            )
                            
                               
                        {
                                atmStrategyIdL = GetAtmStrategyUniqueId();
                                orderIdL = GetAtmStrategyUniqueId();
                                orderBarL = CurrentBar;
                                AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Market, 0, High[1], TimeInForce.Day, orderIdL, "TF_2_Ren_DPP_Long", atmStrategyIdL);    
                
                        } 


My questions are:
1. Is it possible to implement && BarsSinceEntry() > 1 in an ATM strat somehow? If so, where do you place it?
2. Is there a master instrument reference I could check so if a contract in that class is open then no further signals will be taken? I have Position.MarketPosition == MarketPosition.Flat in the entry signal section to prevent multiple orders but as the order is passed to the ATM function the strat is under the impression that there are no open orders. Do I need to start using IOorders or arrays?

[NinjaTrader_Austin]

MrTicks, you can track the entries by storing the bar of the entry, and then ignore the second entry if it is on the same bar.

if (entryConditions == true && entryBar != CurrentBar)
{
   entryBar = CurrentBar
   EnterLong(...)
}

Unfortunately there are no master instrument references available. A strategy only knows about positions opened by itself.

[MrTicks]

Originally Posted by NinjaTrader_Austin

MrTicks, you can track the entries by storing the bar of the entry, and then ignore the second entry if it is on the same bar.

if (entryConditions == true && entryBar != CurrentBar)
{
   entryBar = CurrentBar
   EnterLong(...)
}

Unfortunately there are no master instrument references available. A strategy only knows about positions opened by itself.

Hi Austin,

That wouldn't compile for me and gave the following error,
The name 'entryBar' does not exist in the current context

so I'm trying && BarsSinceEntry() > 1

which looks like this when coded,

PHP Code:

// Long entry signal with ATM attached.
                        if (orderIdL.Length == 0  
                                && atmStrategyIdL.Length == 0
                                && Position.MarketPosition == MarketPosition.Flat
                                && Close [1] <= Open [1]
                                && Open[1] - PrevBarsMinusTicks*TickSize < GetCurrentBid() 
                                && BarsSinceEntry() > 1
                                //&& entryBar != CurrentBar
                            )
                        
                        {
                                //entryBar = CurrentBar;
                                atmStrategyIdL = GetAtmStrategyUniqueId();
                                orderIdL = GetAtmStrategyUniqueId();
                                orderBarL = CurrentBar;
                                AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Stop, 0, Close[1], TimeInForce.Day, orderIdL, "FDAX_1_LB_short", atmStrategyIdL);    
                
                        } 


Would that do the same thing? Or will it allow additional entries on further incoming ticks on the same bar?

[NinjaTrader_RyanM]

Hello MrTicks,

BarsSinceEntry() wouldn't apply to ATM generated orders. You would have to manually track this value. The compile error you receive should be fixed by adding a variable declaration, in variables region of code.

private int entryBar;

[MrTicks]

Originally Posted by NinjaTrader_RyanM

Hello MrTicks,

BarsSinceEntry() wouldn't apply to ATM generated orders. You would have to manually track this value. The compile error you receive should be fixed by adding a variable declaration, in variables region of code.

private int entryBar;

Thanks, it compiled OK but I still get multiple entries on a line break chart. Would you know if there is another method I could test?

[MrTicks]

Just saw this post on the forum and am testing it now, http://www.ninjatrader.com/support/f...t=32875&page=2

This is what I'm currently testing;
private bool OkToTrade = true;
&& OkToTrade == true

AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Market, 0, High[1], TimeInForce.Day, orderIdL, "TF_2_Ren_DPP_Long", atmStrategyIdL);
OkToTrade = false;


Here is my latest code;

    public class TF_Pivot_ATM_cancel : Strategy
    {
        #region Variables
                private string  atmStrategyIdL          = string.Empty;
                private string  atmStrategyIdS          = string.Empty;
               
                private int prevBarsPlusTicks = 1; // Default setting for PrevBarsPlusTicks
                private int prevBarsMinusTicks = 1; // Default setting for PrevBarsPlusTicks
               
                private string  orderIdL                                = string.Empty;
                private string  orderIdS                                = string.Empty;
               
                private int orderBarL                           = 0;
                private int orderBarS                           = 0;
                private int entryBarL                           = 0;
                private int entryBarS                           = 0;
                private int cancelBars                          = 1;
                private int entryBar; 
                private bool OkToTrade                     = true;
                #endregion

        
        protected override void Initialize()
        {
            EntriesPerDirection = 1;
            EntryHandling = EntryHandling.AllEntries; 
            CalculateOnBarClose = false;
            TraceOrders = true;
            TimeInForce = Cbi.TimeInForce.Day;
        }
               
       
        protected override void OnBarUpdate()
        {
                        // Make sure this strategy does not execute against historical data
                        if (Historical)
                                return;

                        // Submits an entry limit order at the current low price to initiate an ATM Strategy if both order id and strategy id are in a reset state
                        
                        // Long entry signal if cross above daily PP
                        if (Position.MarketPosition == MarketPosition.Flat
                            && orderIdL.Length == 0  
                            && atmStrategyIdL.Length == 0
                            && FirstTickOfBar
                            //&& Close[0] >= Open[0]
                            //&& Close[1] > GetCurrentAsk()
                            && entryBar != CurrentBar
                            && OkToTrade == true
                            //&& BarsSinceEntry() > 1
                            && CrossAbove(Close, Pivots(PivotRange.Daily, HLCCalculationMode.CalcFromIntradayData, 0, 0, 0, 20).PP, 1)
                            || CrossAbove(Close, Pivots(PivotRange.Daily, HLCCalculationMode.CalcFromIntradayData, 0, 0, 0, 20).R1, 1)
                            //&& Close[1] + prevBarsPlusTicks*TickSize > GetCurrentAsk()
                            //&& Close[1]  < GetCurrentBid()
                            )
                            
                               
                        {
                                atmStrategyIdL = GetAtmStrategyUniqueId();
                                orderIdL = GetAtmStrategyUniqueId();
                                orderBarL = CurrentBar;
                                entryBar = CurrentBar;

                                AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Market, 0, High[1], TimeInForce.Day, orderIdL, "TF_2_Ren_DPP_Long", atmStrategyIdL);    
                                OkToTrade = false; 
                        }
                        
                        
            
                        
                        // Short entry signal cross below PP
                        if (Position.MarketPosition == MarketPosition.Flat
                            && orderIdS.Length == 0  
                            && atmStrategyIdS.Length == 0  
                            && FirstTickOfBar
                            && entryBar != CurrentBar
                            && OkToTrade == true
                            //&& BarsSinceEntry() > 1
                            //&& Close[1] <= Open[1]
                            && CrossBelow(Close, Pivots(PivotRange.Daily, HLCCalculationMode.CalcFromIntradayData, 0, 0, 0, 20).PP, 1)
                            || CrossBelow(Close, Pivots(PivotRange.Daily, HLCCalculationMode.CalcFromIntradayData, 0, 0, 0, 20).R1, 1)
                            //&& Close[0] > High[1]
                            //&& Close[1]  > GetCurrentAsk()  
                             )
                                
                            // && Low   [1] - PrevBarsMinusTicks * TickSize < GetCurrentAsk())
                            
                               
                        {
                                atmStrategyIdS = GetAtmStrategyUniqueId();
                                orderIdS = GetAtmStrategyUniqueId();
                                orderBarS = CurrentBar;
                                entryBar = CurrentBar;
                                AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Market, 0, Low[1], TimeInForce.Day, orderIdS, "TF_2_Ren_DPP_Short", atmStrategyIdS);
                                 OkToTrade = false; 
                        }
                        
                        
                       

                        // Check for a pending entry order
                        if (orderIdL.Length > 0)
                        {
                            string[] statusL = GetAtmStrategyEntryOrderStatus(orderIdL);
                             
                            // If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
                            if (statusL.GetLength(0) > 0)
                                
                                //Cancel long order after n bars
                                if ((CurrentBar - orderBarL) >= cancelBars)
                                    
                                
                                {
                                        AtmStrategyCancelEntryOrder(orderIdL);
                                       
                                        orderIdL = string.Empty;
                                }
                                
                                {
                                        // Print out some information about the order to the output window
                                        Print("The entry order average fill price is:\t" + statusL[0]);
                                      

                                        // If the order state is terminal, reset the order id value
                                        if (statusL[2] == "Filled" || statusL[2] == "Cancelled" || statusL[2] == "Rejected")
                                                orderIdL = string.Empty;
                                }
                        } // If the strategy has terminated reset the strategy id
                        else if (atmStrategyIdL.Length > 0 &&
                                GetAtmStrategyMarketPosition(atmStrategyIdL) == Cbi.MarketPosition.Flat)
                                atmStrategyIdL = string.Empty;
////////////////////////////////////////////////////////////////////////////////
                        // Check for a pending entry order
                        if (orderIdS.Length > 0)
                            
                        {
                            string[] statusS = GetAtmStrategyEntryOrderStatus(orderIdS);
                            
                            // If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
                                if (statusS.GetLength(0) > 0)
                                    
                                //Cancel short order after n bars
                                if ((CurrentBar - orderBarS) >= cancelBars)
                                
                                {
                                        AtmStrategyCancelEntryOrder(orderIdS);
                                       
                                        orderIdS = string.Empty;
                                }
                                
                                {
                                        // Print out some information about the order to the output window
                                        Print("The entry order average fill price is:\t" + statusS[0]);
                                       

                                        // If the order state is terminal, reset the order id value
                                        if (statusS[2] == "Filled" || statusS[2] == "Cancelled" || statusS[2] == "Rejected")
                                                orderIdS = string.Empty;
                                }
                        } // If the strategy has terminated reset the strategy id
                        else if (atmStrategyIdS.Length > 0 &&
                                GetAtmStrategyMarketPosition(atmStrategyIdS) == Cbi.MarketPosition.Flat)
                                atmStrategyIdS = string.Empty;
////////////////////////////////////////////////////////////////////////////////

Will let you know if it works.

[MrTicks]

Originally Posted by NinjaTrader_Austin

MrTicks, you can track the entries by storing the bar of the entry, and then ignore the second entry if it is on the same bar.

if (entryConditions == true && entryBar != CurrentBar)
{
   entryBar = CurrentBar
   EnterLong(...)
}

Unfortunately there are no master instrument references available. A strategy only knows about positions opened by itself.

Hi Austin,

Does COBC = True have to be set for the above sample to work or would it work with COBC = False?

[MrTicks]

That didn't work either, I just tried the following;

under variables;

private bool tradeLong                            = false;
private bool tradeShort                            = false;

under protected override void OnBarUpdate()

&& tradeLong == false

 {
    atmStrategyIdL = GetAtmStrategyUniqueId();
    orderIdL = GetAtmStrategyUniqueId();
    orderBarL = CurrentBar;
    entryBar = CurrentBar;

    AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Market, 0, High[1], TimeInForce.Day, orderIdL, "TF_2_Ren_DPP_Long", atmStrategyIdL);    
    //OkToTrade = false; 
    tradeLong = true;
  }

It still repeats multiple entries though. Is there any chance you could run the attached strat and see why it happens? I was testing this on a Renko chart set at 2 bricks.

[NinjaTrader_RyanM]

Hello Mr Ticks,

This suggestion works best with COBC = true. If set to false, the condition can be evaluated multiple times on the same bar and could return true multiple times.

[MrTicks]

Originally Posted by NinjaTrader_RyanM

Hello Mr Ticks,

This suggestion works best with COBC = true. If set to false, the condition can be evaluated multiple times on the same bar and could return true multiple times.

Thanks, will test with COBC = true.

[MrTicks]

Originally Posted by NinjaTrader_RyanM

Hello Mr Ticks,

This suggestion works best with COBC = true. If set to false, the condition can be evaluated multiple times on the same bar and could return true multiple times.

Works a treat with COBC = true.

Thank you very much!!!!!!!!!!

[NinjaTrader_RyanM]

Glad to hear it's working for you, MrTicks. Thanks for the update.

[MrTicks]

I spoke to soon! It all looked OK today until it was doing repeat orders every now and again, albeit on a much smaller scale. Is there any chance you could run that strat I attached in a previous post and see if you can tell why? I have COBC = true on a 2 brick renko chart.

[NinjaTrader_Josh]

MrTicks,

This will not work when using ATM strategies in NinjaScript:

Position.MarketPosition == MarketPosition.Flat

That is for NinjaScript positions and not ATM positions. To check ATM's position you need to use this instead: http://www.ninjatrader-support.com/H...yPosition.html

[MrTicks]

Originally Posted by NinjaTrader_Josh

MrTicks,

This will not work when using ATM strategies in NinjaScript:

Position.MarketPosition == MarketPosition.Flat

That is for NinjaScript positions and not ATM positions. To check ATM's position you need to use this instead: http://www.ninjatrader-support.com/H...yPosition.html

Thanks for the prompt response Josh! Will edit that code.