Multiple positions when not wanted

[Waldo]

Hello,

I am using OnBarUpdate executions.

I am experiencing situations that my strategy enters position even if the market position is not flat even though I clearly state that position has to be flat in the code.

Plase see attached picture taken from the strategy performance statistics. You can see that strategy enters new long position and at the same day closes previous position which should not happen since in live trading the OnBarUpdate is triggered only at the beginning of the trading day.

Expected behavior: when the trading day starts it checks whether the market position is flat. If not, then nothing happens. If the positions is flat it goes through all the possible symbols and if one of them triggers the entry rule then long position is entered

Below you can see also sample of my code:

protected override void OnBarUpdate()

{
//CTXS
if (Position.MarketPosition == MarketPosition.Flat
&& BarsInProgress == 0
&& High[2] > High[1] && High[1] > Close[2] && Close[2] > Low[2] && Low[2] > High[0] && High[0] > Close[1] && Close[1] > Close[0] && Close[0] > Low[0] )
{
EnterLong(DefaultQuantity, "BUY CTXS");
}

//LIFE
else if (Position.MarketPosition == MarketPosition.Flat
&& BarsInProgress == 1
&& High[2] > High[1] && High[1] > Close[2] && Close[2] > Low[2] && Low[2] > High[0] && High[0] > Close[1] && Close[1] > Close[0] && Close[0] > Low[0] )
{
EnterLong(DefaultQuantity, "BUY LIFE");
}

and then the code goes on and on for other symbols.

Is there any way to prevent the strategy from entering and leaving positions on same day? Because this way it blocks the strategy from executing live orders (getting yellow tab for multiple consecusive trades as seen in attached picture).

Thank you for help.

[NinjaTrader_ChelseaB]

Hi Waldo,

Your code currently checks that the current symbol does not have a position.

Are you wanting to know if all symbols are flat?

if (Positions[0].MarketPosition == MarketPosition.Flat &&
Positions[1].MarketPosition == MarketPosition)

This would check that the first and second data series do not have a position.

You could also use a loop and bool.

bool isFlat = true;
for (var i=0; i<Positions.Count-1; i++)
if (Positions[i].MarketPosition != MarketPosition.Flat)
isFlat = false;

if (isFlat)
{
// execute code
}

[Waldo]

Thank you for the answer,

is there any way how to track whether all symbols within the particular strategy are flat? Because I might have positions which are not part of the strategy as such.

[NinjaTrader_ChelseaB]

Hi Waldo,

Using the loop I have suggested will check all symbols that have been added to your strategy with the Add() call.

An unsupported way of finding positions for symbols not added to this strategy is below.

foreach (Account acct in Cbi.Globals.Accounts)
{
if (acct.Positions != null)
{
// print information about each position
PositionCollection positions = acct.Positions;
foreach (Position pos in positions)
{
Print(pos.Account.Name + " " + pos.Instrument + " " + pos.MarketPosition + " " + pos.Quantity + " " + pos.AvgPrice);
}
// print information about each order
OrderCollection orders = acct.Orders;
foreach (Order ord in orders)
{
Print(ord.ToString());
}
}

[Waldo]

Unfortunately I am getting compile error pointing on "Count" when I try to use your loop. Any idea what I might be doing wrong?

[NinjaTrader_ChelseaB]

Hi Waldo,

That was my mistake

Try:

bool isFlat = true;
for (int i=0; i<Positions.Length; i++)
if (Positions[i].MarketPosition != MarketPosition.Flat)
isFlat = false;

if (isFlat)
{
// execute code
}

[Waldo]

The code is compiled, but the result is exactly the same. Still there are both open and close during the same day (attached).

Code looks the following way:

protected override void OnBarUpdate()

{

bool isFlat = true;
for (int i=0; i<Positions.Length; i++)
if (Positions[i].MarketPosition != MarketPosition.Flat)
isFlat = false;

if (isFlat)

{
//CTXS
if (Position.MarketPosition == MarketPosition.Flat
&& BarsInProgress == 0
&& High[2] > High[1] && High[1] > Close[2] && Close[2] > Low[2] && Low[2] > High[0] && High[0] > Close[1] && Close[1] > Close[0] && Close[0] > Low[0] )
{
EnterLong(DefaultQuantity, "BUY CTXS");
}

//LIFE
else if (Position.MarketPosition == MarketPosition.Flat
&& BarsInProgress == 1
&& High[2] > High[1] && High[1] > Close[2] && Close[2] > Low[2] && Low[2] > High[0] && High[0] > Close[1] && Close[1] > Close[0] && Close[0] > Low[0] )
{
EnterLong(DefaultQuantity, "BUY LIFE");
}

etc...

[NinjaTrader_ChelseaB]

Hello Waldo,

There is an issue here that the position does not get updated until sometime after this pass through OnBarUpdate.
(The Position is updated asynchronously in OnPositionUpdate())

In otherwords, both orders are submitted before the position is updated.

If an order is placed, set isFlat to false.

You should be checking isFlat before every order.

Reset isFlat on the new session.

[Waldo]

I do not get it.

For example how can the buy order trigger when there is already a position from a previous day? Lets say that in day x-1 strategy enters long. Afterwards in day x the strategy is initiated again and it should notice that there is already a position open so it should not buy another even if the position from x-1 will close during that day, since the enter long is checked only on bar update which is at the start of trading day.

So I really do not know why it is behaving like this and how to avoid it.

[NinjaTrader_ChelseaB]

Hi Waldo,

I was only referring to the two trades that are going in back to back.

You are still experiencing that there is an open position from a previous day and a new position quantity is taken?

I will need to see this. Please send an email to platformsupport [at] ninjatrader [dot] com. In the email add a link to this forum thread.

[Waldo]

Email containing the full code sent, thank you for looking into this.

[NinjaTrader_ChelseaB]

Hi Waldo,

We found that the Position was updating on the same bar in between the BarsInProgress.

To correct your script. We reset the isFlat bool once per bar in BarsInProgress 0 instead of during every run through OnBarUpdate with the different BarsInProgress.

[Xenophon99]

I've used a much simplified version of this suggested code to avoid opening a position when one is already open in a multi-strategy portfolio. It goes:

if (..long entry conditions met..)
{
bool isFlat = true;
foreach (Account acct in Cbi.Globals.Accounts)
{
if (acct.Positions != null)
{
isFlat = false;
}
}
if (isFlat != false)
{
EnterLong(Qty,"ML");
Stopx = Close[0] - (ASloss * TickSize);
}
}

I've tested this with multiple strategies on Replay data, but there is never a trade.
The even more simplified alternatives:
if (Account.Positions == null)
{...
}
....
or
if (Account.Orders.Count != 0)
{...
}
....
don't work either. What am I missing? Help!

[NinjaTrader_ChelseaB]

Hello Xenophon99,

I think the issue is with acct.Positions != null.

The account will likely always have a collection called Positions even if it is empty.

Try the following instead:

if (acct.Positions != null)
{
foreach (Position pos in positions)
{
if (pos.MarketPosition == MarketPosition.Flat)
{
isFlat = false;
}
}
}

[Xenophon99]

I've used a much simplified version of this suggested code to avoid opening a position when one is already open in a multi-strategy portfolio. It goes:

if (..long entry conditions met..)
{
bool isFlat = true;
foreach (Account acct in Cbi.Globals.Accounts)
{
if (acct.Positions != null)
{
isFlat = false;
}
}
if (isFlat != false)
{
EnterLong(Qty,"ML");
Stopx = Close[0] - (ASloss * TickSize);
}
}

I've tested this with multiple strategies on Replay data, but there is never a trade.
The even more simplified alternatives:
if (Account.Positions == null)
{...
}
....
or
if (Account.Orders.Count != 0)
{...
}
....
don't work either. What am I missing? Help!