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What is going on here (my strategy isn't producing orders) ????
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What is going on here (my strategy isn't producing orders) ????

  #1 (permalink)
Elite Member
Lilburn, GA
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: VelocityFutures/TT
Favorite Futures: ES
 
jmejedi's Avatar
 
Posts: 62 since Jan 2011
Thanks: 13 given, 3 received

What is going on here (my strategy isn't producing orders) ????

Fellow Brothers & Sisters NinjaTrader Traders,

I have the following interesting situation with my strategy that I am testing on a market replay on the ES on a 1-tick chart:

My strategy isn't submitting any orders , I have tried to widen my tolerance for accepting the condition/moment to allow an entry into position , I believe my code is sound enough to allow multiple chances throughout the trading day to submit orders , and nonetheless my strategy isn't producing and/or cancelling orders . Below is code I have for my OnBarUpdate method:

++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++


// Update tracking of positioning & 'etc' . That is, let's see where are we approxmately in these two lines
// and calculate how many are behind us .
if(XXXXXXX == true){
//stuff-here
}
//
//
// Check to see if Best Bid & Best Ask volumes are close enough , and if so , then check and see if you "may"
// submit limit orders . If everything looks good then proceed with submitting two limit orders ; and also
// start with keeping track of your positioning & 'etc' . Make sure to ensure that afterwards we cannot submit
// anymore orders (until these get filled and/or cancelled) .
if( Math.Abs(GetCurrentAskVolume() - GetCurrentBidVolume()) <= closeEnough && XXXXXXX == false ) {
//stuff-here
enteredBuyPrice = GetCurrentBid();
enteredSellPrice = GetCurrentAsk();
currentBuyOrder = EnterLongLimit(enteredBuyPrice);
currentSellOrder = EnterShortLimit(enteredSellPrice);
//stuff-here
XXXXXXX = true;
}
//
//
// Check and see if limit orders got filled , and if so , then let's look for next opportunity to enter , Or let's
// simply make note of which one did get filled .
if(XXXXXXX == true){
if(currentBuyOrder != null && currentSellOrder != null){
if(currentBuyOrder.OrderState == OrderState.Filled
&& currentSellOrder.OrderState == OrderState.Filled) {
currentBuyOrder = null;
currentSellOrder = null;
XXXXXXX = false;
}
}
if(currentBuyOrder != null){
if(currentBuyOrder.OrderState == OrderState.Filled) {
currentBuyOrder = null;
}
}
if(currentSellOrder != null){
if(currentSellOrder.OrderState == OrderState.Filled) {
currentSellOrder = null;
}
}
if(currentBuyOrder == null && currentSellOrder == null) {
XXXXXXX = false;
}
}
//
//
// Determine whether or not to pull-out & if so then do so .
if(XXXXXXX == true){
if(currentBuyOrder == null && currentSellOrder != null && GetCurrentAsk() < enteredBuyPrice){
EnterShort();
CancelOrder(currentSellOrder);
currentSellOrder = null;
XXXXXXX = false;
}
if(currentSellOrder == null && currentBuyOrder != null && GetCurrentBid() > enteredSellPrice){
EnterLong();
CancelOrder(currentBuyOrder);
currentBuyOrder = null;
XXXXXXX = false;
}
}


++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++


Please see attached screen-shot , which may explain why my strategy isn't working .

{ the exact wording on these 2 entries seen in the log being shown on this screen-shot, follows:

6/1/2011 8:21:21 AM Strategy An Enter() method to submit an entry order at '5/25/2011 12:01:09 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

6/1/2011 8:21:21 AM Strategy Enabling NinjaScript strategy 'HMHFT/c199bc43d71b4505819151a87ecab9c1' : On starting a real-time strategy - StrategySync=WaitUntilFlat SyncAccountPosition=False EntryHandling=AllEntries EntriesPerDirection=1 StopTargetHandling=PerEntryExecution ErrorHandling=StopStrategyCancelOrdersClosePositions ExitOnClose=True/ triggering 30 before close Set order quantity by=Strategy ConnectionLossHandling=KeepRunning DisconnectDelaySeconds=10 CancelEntryOrdersOnDisable=False CancelExitOrdersOnDisable=True MaxRestarts=4 in 5 minutes

}



,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,, furthermore... I would like to add the following FYI on top of the above:

I am running this off of a Windows Server 2003 (R2 Service Pack 2 Enterprise Edition) 32-bit with RAM: 1024 MB


. . . . . . . also ,,,,,, question(s):

Should I be setting any special setting within my Initialize method of my strategy? Maybe indicating unmanaged-orders v.s. managed-orders??

Do you think its a performance issue? Maybe my hardware/software isn't fast enough??



Thanks in advance for any help you may provide me ,

Jimmy M. Espana

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  #2 (permalink)
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  #3 (permalink)
Site Administrator
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Sorry I don't what the issue is off the top of my head. What is the rest of the error message, it's cut off in your screenshot.

Mike

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  #4 (permalink)
Elite Member
Lilburn, GA
 
Futures Experience: Beginner
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jmejedi's Avatar
 
Posts: 62 since Jan 2011
Thanks: 13 given, 3 received

{ the entire wording on these 2 errors seen in the log being shown on this screen-shot, follows:

6/1/2011 8:21:21 AM Strategy An Enter() method to submit an entry order at '5/25/2011 12:01:09 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

6/1/2011 8:21:21 AM Strategy Enabling NinjaScript strategy 'HMHFT/c199bc43d71b4505819151a87ecab9c1' : On starting a real-time strategy - StrategySync=WaitUntilFlat SyncAccountPosition=False EntryHandling=AllEntries EntriesPerDirection=1 StopTargetHandling=PerEntryExecution ErrorHandling=StopStrategyCancelOrdersClosePositio ns ExitOnClose=True/ triggering 30 before close Set order quantity by=Strategy ConnectionLossHandling=KeepRunning DisconnectDelaySeconds=10 CancelEntryOrdersOnDisable=False CancelExitOrdersOnDisable=True MaxRestarts=4 in 5 minutes

}







Thanks,

JME

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  #5 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,234 received

Your code seems to be missing some things, like tracking the IOrder value for new positions on EnterLong/EnterShort.

Here is some old code I used for a strategy that uses iorders:

 
Code
                            
        private void GoLong()

        {
            
entryorder     EnterLongLimit(0trueDefaultQuantityMath.Min(Close[0], GetCurrentAsk()), "Buy (" CurrentBar ")");
            
entrybar    CurrentBar;
            
SetProfitTarget("Buy (" CurrentBar ")"CalculationMode.TicksTarget);
            
SetStopLoss("Buy (" CurrentBar ")"CalculationMode.TicksStopfalse);
        } 
Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #6 (permalink)
Elite Member
Lilburn, GA
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: VelocityFutures/TT
Favorite Futures: ES
 
jmejedi's Avatar
 
Posts: 62 since Jan 2011
Thanks: 13 given, 3 received

solved . . . but now ,,,,,,,,,,, a new direction . . . . . . . . . .

thanks BigMike for your reply ....................................... moreover,,, i contacted NT Support regarding this matter . . . and it turned out ,,,,,,, that a "unmanaged" way of doing things, for my particular coding strategy objective, was needed to be done on my existing coding for my said strategy . . . . . . . so anyway,,, I proceed with dong the changes,,, and finally got around to getting my code to execute orders... submitting/cancelling...... "the works", as it relates to my strategy idea . . . . . . . . . . . . . . . . . since then,,,, I've been testing my strategy on market-replay data...... and its turning out a profit , , , apparently constantly ........ but commissions would be killing me . . . . . hence, now I'm thinking, maybe its a muscle-power situation . . . . . . . . . . . . . . . . . . I'm running this off of the cheapest muscle-power that Rackspace Cloud has to offer ,,,, now my new question . . . . . what if I go with the best muscle-power Rackspace Cloud has to offer . . . . . would that improve my strategy's profit turn-out ? ? ? ?

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