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Cannot Scale Out of Position in Ninja?
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Cannot Scale Out of Position in Ninja?

  #1 (permalink)
Elite Member
Arizona, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: MB Trading
Favorite Futures: Cello
 
serac's Avatar
 
Posts: 116 since Jan 2011
Thanks: 321 given, 137 received

Cannot Scale Out of Position in Ninja?

In an endevour to save transaction costs, I am rewriting the entrance and exit mechanism of my NinjaTrader strategy. The strategy uses a profit target and a runner for each trade signal. Originally, I was using two orders: orderA with a target, and orderB with no target. But, if I place one prder, and use a limit order to exit 1/2 of the position, I can save on entrance transaction costs.

Over at the NinjaTrader forum, support says this is not possible: link.

Are they correct? Their answer feels incorrect, is not congruent with the rest of NT syntax, and contradicts NT documentation. Unless I am mistaken, I think that I have done this very thing. [Though, I haven't had time to fully test it.]

Am I mistaken, or is NT support mistaken?

Is it time to take the plunge and use NJAMC's LOM?

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Arizona, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: MB Trading
Favorite Futures: Cello
 
serac's Avatar
 
Posts: 116 since Jan 2011
Thanks: 321 given, 137 received


Kinda surprised at no replies yet.

Anyway. According to a new reply from Ray, this is a known bug. Scaling out using a managed approach works in backtest, but fails in real-time: reference here. Ray says this will be fixed in NT8.

Perhaps this was known on the NT8 threads here at Big Mike's. It was not to me.

FYI.

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  #4 (permalink)
 Vendor: www.traderwerks.com 
Taipei Taiwan
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Optimus
Favorite Futures: TW
 
Posts: 693 since Jun 2009
Thanks: 440 given, 440 received

Well, what are you trading ?

Futures are charged by contract and not by order so you would not save anything.

Math. A gateway drug to reality.
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  #5 (permalink)
Elite Member
Ft. Lauderdale Florida
 
Futures Experience: Intermediate
Platform: Tradestation
 
Posts: 16 since Apr 2010
Thanks: 31 given, 3 received

Hello,

My understanding is that the NJAMC's LOM does not work with backtesting but does work with the Market Replay data. And maybe the GOMI Recorder data??

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