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Help with this strategy
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Help with this strategy

  #1 (permalink)
Miami Lakes
Trading Experience: Beginner
Platform: Multicharts
Broker/Data: Interactive Brokers
Favorite Futures: Emini ES
Posts: 19 since Oct 2016
Thanks: 2 given, 3 received

Help with this strategy

Hi everyone,

I am working on this strategy and need help figuring this out please. The strategy begins with opening up a position either long or short doesn't matter. Set a target profit and a stop loss and send the profit and stop orders right away. If target profit is reached, then exit and wait for another position to be opened (manually). If the stop loss is reached, then it should close the initial position, and then open up twice as many contracts in the opposite direction, and this is where I need help. The stop works fine, but I haven't been able to figure out how to send those twice as many contracts. This is what I have so far.

With this line


stoLongToShort is a stop limit order, I am attempting to enter the reverse position, but the order just won't go through. I am sure I am missing something. Please help, thanks in advance.

using System;
using System.Drawing;
using System.Linq;
using PowerLanguage.Function;
using ATCenterProxy.interop;

namespace PowerLanguage.Strategy {

public class ProfitTaker : SignalObject
private IOrderMarket bto,sto;
private IOrderPriced stcProfitLong, btcProfitShort;
private IOrderStopLimit stcStopLong, btcStopShort, stoLongToShort, btoShortToLong;
private double takeProfitPrice, takeReversePrice;

int orderSize = 0;
int maxEntriesInPosition = 10;
int maxOrderSize = 1000;

public int ProfitTicks { get; set; }
public int StopTicks { get; set; }

public ProfitTaker(object _ctx) : base(_ctx) { }

private bool bracketSet;

protected override void Create() {

bto = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "Buy", EOrderAction.Buy));
sto = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "SellShort", EOrderAction.SellShort));

stcProfitLong = OrderCreator.Limit(new SOrderParameters(Contracts.UserSpecified, "TakeProfitLong", EOrderAction.Sell));
stcStopLong = OrderCreator.StopLimit(new SOrderParameters(Contracts.UserSpecified, "StopLong", EOrderAction.Sell));
stoLongToShort = OrderCreator.StopLimit(new SOrderParameters(Contracts.UserSpecified, "LongToShort", EOrderAction.SellShort));

btcProfitShort = OrderCreator.Limit(new SOrderParameters(Contracts.UserSpecified, "TakeProfitShort", EOrderAction.BuyToCover));
btcStopShort = OrderCreator.StopLimit(new SOrderParameters(Contracts.UserSpecified, "StopReverseShort", EOrderAction.BuyToCover));
btoShortToLong = OrderCreator.StopLimit(new SOrderParameters(Contracts.UserSpecified, "ShortToLong", EOrderAction.Buy));

ProfitTicks = 24;
StopTicks = 8;

protected override void StartCalc() {

protected override void CalcBar() {

if (StrategyInfo.MarketPosition == 0 && StrategyInfo.MarketPositionAtBroker != 0) {
ChangeMarketPosition(StrategyInfo.MarketPositionAtBroker - StrategyInfo.MarketPosition, StrategyInfo.AvgEntryPriceAtBroker);
Output.WriteLine("{0} - Sync with broker", Bars.Time[0].ToString("d-M HH:mm"));

if (StrategyInfo.MarketPosition == 0) {
orderSize = 1;
} else {
orderSize = Math.Min(CurrentPosition.OpenLots, maxOrderSize);

if (StrategyInfo.MarketPosition > 0) {

int barsInPosition = Bars.CurrentBar - Positions[0].OpenTrades[0].EntryOrder.BarNumber;
if (barsInPosition == 0) {
takeProfitPrice = Positions[0].OpenTrades[0].EntryOrder.Price + (ProfitTicks * (Bars.Info.MinMove / Bars.Info.PriceScale));
takeReversePrice = Positions[0].OpenTrades[0].EntryOrder.Price - (StopTicks * (Bars.Info.MinMove / Bars.Info.PriceScale));



if (StrategyInfo.MarketPosition < 0) {

int barsInPosition = Bars.CurrentBar - Positions[0].OpenTrades[0].EntryOrder.BarNumber;
if (barsInPosition == 0) {
takeProfitPrice = Positions[0].OpenTrades[0].EntryOrder.Price - (ProfitTicks * (Bars.Info.MinMove / Bars.Info.PriceScale));
takeReversePrice = Positions[0].OpenTrades[0].EntryOrder.Price + (StopTicks * (Bars.Info.MinMove / Bars.Info.PriceScale));




Reply With Quote
  #2 (permalink)
Hamburg Germany
Trading Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
Posts: 2,104 since Apr 2013
Thanks: 377 given, 1,346 received


you might want to add output statements to check that you send the correct prices etc. for the orders.

What do you intend with "OrderCreator.MarketThisBar"? Seeing that you use IOG, is there a reason for not using "OrderCreator.MarketNextBar"? 4.6.9 Advanced. How The Strategy Backtesting Engine works - MultiCharts

I am not saying you shouldn't use it, but if you do, think about how this affects your code. Especially when you check for something like "barsInPosition == 0".

One thing that I would suggest not to do is sending a stop and an entry order (with twice the size) at the same price. Worst case is that you get filled on both and get an overfill - the reverse orders as you have coded them will exit your position and set you short/long twice the amount. On top of that your exit orders close the open position, too. The result in realtime could be that you are long three times the open short position now (or vice versa).



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