3 bar high/low entry maintain active order until 3 bar high/low in opposite direction

October 21st, 2009, 04:35 PM

[IMG]file:///D:/DOCUME%7E1/gdavey/LOCALS%7E1/Temp/moz-screenshot.png[/IMG][IMG]file:///D:/DOCUME%7E1/gdavey/LOCALS%7E1/Temp/moz-screenshot-1.png[/IMG]

Hello,

This is my first post so I hope I don't mess it up! I have written code to enter a buy stop after three successive lower bars at the previous bar high. So when the close is lower than the open 3 times in a row a buy stop is entered at the high of the previous bar, which is [1]. So it looks like,

if (Close[2] < Open[2] && Close[1] < Open[1] && Close[0] < Open[0])
{
EnterLongStop(ContractAmount, High[1], "3BR Long Entry" );

My question is, how can I keep that buy order active untill a specified number of bars have closed without it being filled? I find that I get a lot of orders pending only to be cancelled after the next bar closes as it hasn't reached the buy stop, only for the market to go that way 3 or 4 bars later.

I have attached a screenshot with an example of buy orders placed. I intend to modify this strategy to also implement sell stop orders with the opposite criteria and also place orders a certain amount of ticks above the previous bar high.

Any tips/help/advice or code snippets would be greatly appreciated!!!!!

Code

protected override void Initialize()
        {
            CalculateOnBarClose = true;
            
        SetTrailStop("3BR Long Entry", CalculationMode.Ticks, TrailStop, false);
        }
        


        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if  (Close[2] < Open[2] && Close[1] < Open[1] && Close[0] < Open[0])
            {
             EnterLongStop(ContractAmount, High[1], "3BR Long Entry" );
            }

October 21st, 2009, 05:29 PM

Maybe using the IOrder class, and manage yourself the cancellation ( see the method
EnterLongStop(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double stopPrice, string signalName) ).

But you'll have to manage yourself the order cancellation, wait 1 or 2 bars more for ex.

October 21st, 2009, 05:51 PM

sam028

Maybe using the IOrder class, and manage yourself the cancellation ( see the method
EnterLongStop(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double stopPrice, string signalName) ).

But you'll have to manage yourself the order cancellation, wait 1 or 2 bars more for ex.

Thanks for the response Sam. I had seen IOrder in the NinjaTrader help section and it is very close to what I need.

The code looks like:

Code

private IOrder  entryOrder = null;
 protected override  void OnBarUpdate()  
{ 
    if (entryOrder == null && Close[0] >  Open[0]) 
        entryOrder = EnterLong();  
}
 protected override void OnOrderUpdate(IOrder order) 
{ 
    if (entryOrder  != null &&  entryOrder.Token == order.Token) 
    {  
        Print(order.ToString()); 
         if (order.OrderState ==  OrderState.Filled) 
            entryOrder =  null; 
     } 
}

I was looking for a method to:

else if keep alive for "X" amount of bars &&
else if cancel after "X" amount of bars if not filled &&
else if set period of time &&
else if 3 bar reversal in the other direction ;

I'll look further into IOrder and maybe attach an exit long attached to a different signal.

Thanks.

October 22nd, 2009, 02:22 AM

sory forget yesterday to post:

here are some examples

asgs - Revision 13: /trunk

October 22nd, 2009, 03:59 AM

wh

sory forget yesterday to post:

here are some examples

asgs - Revision 13: /trunk

Hi wh,

Thanks for the respone and I took a quick look at some of that code. We likey! We likey! It gave me a warm feeling.

lastBarCount = Bars.Count;

This gave me a few ideas that I will see if I can do something with IOrder and that. Will post my code up when I'm finished if it tests OK. I'll spend some time looking at your code later on this evening and see what I can throw up.

Thanks,

Gavin.

October 22nd, 2009, 04:03 AM

thats is not my code i do not auto trade ... but sometimes ...

hope it helps ...

October 22nd, 2009, 07:38 AM

wh

sory forget yesterday to post:

here are some examples

asgs - Revision 13: /trunk

wh, I see a file with the extension ".odt".. Indicators.odt. What is this please?

October 22nd, 2009, 08:20 AM

odt is an open office format like the a word document from micro office

<googl>odt open</google>

November 13th, 2009, 07:44 PM

Hello all,

As a follow up, I found this code achieved what I needed, which was to keep an order alive for x amount of bars before cancelling the order. Snippets of the necessary below.

private IOrder myEntryOrder = null;
private int barNumberOfOrder = 0;
protected override void OnBarUpdate()

enterlongstop blah blah blah
barNumberOfOrder = CurrentBar;

// If entryOrder has not been filled within x bars, cancel the order.
else if (myEntryOrder != null && CurrentBar > barNumberOfOrder + ActiveBars)
{

CancelOrder(myEntryOrder);
}

The ActiveBars reference above in the else if statement is from a private int.

3 bar high/low entry maintain active order until 3 bar high/low in opposite direction

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3 bar high/low entry maintain active order until 3 bar high/low in opposite direction