3 Bar Long/Short Strategy - NT7

[mccallum28]

Hi

Please can someone tell me why this code will not run in NT7.

Thanks








#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// 3BR long short after n bars at prev bar plus/minus n ticks with ATM and cancel pending attached. Calc on bar close set to false.
/// </summary>
[Description("3BR long short after n bars at prev bar plus/minus n ticks with ATM and cancel pending attached. Calc on bar close set to false.")]
public class LS3BRATMCancel : 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;

#endregion
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
CalculateOnBarClose = true;
TraceOrders = true;
TimeInForce = Cbi.TimeInForce.Day;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// HELP DOCUMENTATION REFERENCE: Please see the Help Guide section "Using ATM Strategies"
// 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
// **** YOU MUST HAVE AN ATM STRATEGY TEMPLATE NAMED 'TF_short_3W_3BR' CREATED IN NINJATRADER (SUPERDOM FOR EXAMPLE) FOR THIS TO WORK you can create your own****
if (orderIdL.Length == 0
&& atmStrategyIdL.Length == 0
&& Close [3] <= Open [3]
&& Close [2] <= Open [2]
&& Close [1] <= Open [1]
&& High [1] + PrevBarsPlusTicks * TickSize > GetCurrentBid())

{
atmStrategyIdL = GetAtmStrategyUniqueId();
orderIdL = GetAtmStrategyUniqueId();
orderBarL = CurrentBar;
AtmStrategyCreate(Cbi.OrderAction.Buy, OrderType.Limit, High[1], 0, TimeInForce.Day, orderIdL, "TF_long_3W_3BR", atmStrategyIdL);
}
if (orderIdS.Length == 0
&& atmStrategyIdS.Length == 0
//&& FirstTickOfBar
&& Close [3] >= Open [3]
&& Close [2] >= Open [2]
&& Close [1] >= Open [1]
&& Low [1] - PrevBarsMinusTicks * TickSize < GetCurrentAsk())

{
atmStrategyIdS = GetAtmStrategyUniqueId();
orderIdS = GetAtmStrategyUniqueId();
orderBarS = CurrentBar;
AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Limit, Low[1], 0, TimeInForce.Day, orderIdS, "TF_short_3W_3BR", atmStrategyIdS);
}

////////////////////////////////////////////////////////////////////////////////
// Check for a pending entry order
if (orderIdL.Length > 0)
{
//add in by kz
if ((CurrentBar - orderBarL) >= 3)
{
AtmStrategyCancelEntryOrder(orderIdL);

orderIdL = string.Empty;
}
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)
{
// Print out some information about the order to the output window
Print("The entry order average fill price is:\t" + statusL[0]);
Print("The entry order filled amount is:\t" + statusL[1]);
Print("The entry order order state is:\t" + statusL[2]);
// 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)
{
//add in by kz
if ((CurrentBar - orderBarS) >= 3)
{
AtmStrategyCancelEntryOrder(orderIdS);

orderIdS = string.Empty;
}
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)
{
// Print out some information about the order to the output window
Print("The entry order average fill price is:\t" + statusS[0]);
Print("The entry order filled amount is:\t" + statusS[1]);
Print("The entry order order state is:\t\t" + statusS[2]);
// 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;
////////////////////////////////////////////////////////////////////////////////
if (atmStrategyIdL.Length > 0 &&
(CurrentBar - orderBarL) >= 3//added in
)
{
// You can change the stop price
// if (GetAtmStrategyMarketPosition(atmStrategyIdL) == MarketPosition.Long)//!= MarketPosition.Flat)//
// {
// AtmStrategyChangeStopTarget(0, Low[1] - 3 * TickSize, orderIdL, atmStrategyIdL);
// }
// Print some information about the strategy to the output window
Print("The current ATM Strategy market position is:\t" + GetAtmStrategyMarketPosition(atmStrategyIdL));
Print("The current ATM Strategy position quantity is:\t" + GetAtmStrategyPositionQuantity(atmStrategyIdL));
Print("The current ATM Strategy average price is:\t" + GetAtmStrategyPositionAveragePrice(atmStrategyIdL) );
Print("The current ATM Strategy Unrealized PnL is:\t$" + FormatPrice(GetAtmStrategyUnrealizedProfitLoss(atm StrategyIdL)));
}
////////////////////////////////////////////////////////////////////////////////
if (atmStrategyIdS.Length > 0 &&
(CurrentBar - orderBarS) >= 3//added in
)
{
// You can change the stop price
if (GetAtmStrategyMarketPosition(atmStrategyIdS) == MarketPosition.Short)//!= MarketPosition.Flat)
{
AtmStrategyChangeStopTarget(0, High[1] + 3 * TickSize, orderIdS, atmStrategyIdS);
}
// Print some information about the strategy to the output window
Print("The current ATM Strategy market position is:\t" + GetAtmStrategyMarketPosition(atmStrategyIdS));
Print("The current ATM Strategy position quantity is:\t" + GetAtmStrategyPositionQuantity(atmStrategyIdS));
Print("The current ATM Strategy average price is:\t" + GetAtmStrategyPositionAveragePrice(atmStrategyIdS) );
Print("The current ATM Strategy Unrealized PnL is:\t$" + FormatPrice(GetAtmStrategyUnrealizedProfitLoss(atm StrategyIdS)));
}

}//end of OnBarUpdate

#region FormatPrice
//this piece of code courtesy of eDanny?
private string FormatPrice(double iVal)
{
return Bars.Instrument.MasterInstrument.FormatPrice(iVal) ;
}
#endregion

#region Properties
[Description("")]
[GridCategory("Parameters")]
public int PrevBarsPlusTicks
{
get { return prevBarsPlusTicks; }
set { prevBarsPlusTicks = Math.Max(1, value); }
}

[Description("")]
[GridCategory("Parameters")]
public int PrevBarsMinusTicks
{
get { return prevBarsMinusTicks; }
set { prevBarsMinusTicks = Math.Max(1, value); }
}

#endregion
}
}

[NinjaTrader_RyanM]

Hello mccallum28,

Best is to PM the author and let them know what specific difficulty you are having with it.