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3 buy orders
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3 buy orders

  #1 (permalink)
Trading Apprentice
Barcelona
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: VisualTrader/Sungard GLWIn/ IB/ NT
Favorite Futures: EUR/USD
 
Posts: 15 since Sep 2013
Thanks: 1 given, 2 received

3 buy orders

Hi,

I'm trying to programme and strategy based on High[2]

When high[2]>CurrentAsk+Diferencial, i would plce 3 limit buy orders, but it doesn't works. Colud you help me?

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
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giger2000 View Post
Hi,

I'm trying to programme and strategy based on High[2]

When high[2]>CurrentAsk+Diferencial, i would plce 3 limit buy orders, but it doesn't works. Colud you help me?

Can you post your Strategy, easier to answer....

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
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  #4 (permalink)
Trading Apprentice
Barcelona
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: VisualTrader/Sungard GLWIn/ IB/ NT
Favorite Futures: EUR/USD
 
Posts: 15 since Sep 2013
Thanks: 1 given, 2 received

posting strategy


NJAMC View Post
Can you post your Strategy, easier to answer....


As you'd see, I want to plce 3 orders, only if 1 order is executet. Orders limit doesn't works me.

Tks

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  #5 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
Broker/Data: NinjaTrader Brokerage
Favorite Futures: Futures, CL, ES, ZB
 
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Posts: 1,925 since Dec 2010
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giger2000 View Post
As you'd see, I want to plce 3 orders, only if 1 order is executet. Orders limit doesn't works me.

Tks

@giger2000,

A quick look at this indicates there may be an assumption you are making. Once the FLAT triggers and enters the first limit order, the status of LONG is not valid until most likely the next Bar (or a few Ticks later if you are on COBC=false). So expect the next bar to place the additional positions.

 
Code
        protected override void OnBarUpdate()
        {
            // Condition set 1
            if (High[NumBarras] >= GetCurrentAsk()+DistCompra1)
            {
			if (Positions[0].MarketPosition==MarketPosition.Flat){//If position=0, buy first order
				Print("Vamos a comprar");

                	EnterLongLimit(QtyCompra, GetCurrentAsk(), "Compra1");
	    }
	    if (Positions[0].MarketPosition==MarketPosition.Long)//if buy1 is do it, let's place order 2 and 3, with limit price
	    {
                	EnterLongLimit(QtyCompra, GetCurrentAsk()-DistCompra2, "Compra2");
		        EnterLongLimit(QtyCompra, GetCurrentAsk()-DistCompra3, "Compra3");
	    }
        }
Have you tried this strategy with:
CalculateOnBarClose = false;

Also, I am not certain as I haven't played with these NT functions in a while, but I seem to remember NT will not let you set a LONG LIMIT below the ASK price. Even your first "Compra1", this could be below the Ask by the time it is processed and get rejected. I think I understand why this is a desirable setup and one of the reasons I started working on LOM to get around some of the NT7 limitations, but I don't think this approach will work at your broker either (even if you manually entered the orders). Test this by adding to the Ask() in all 3 Limit orders to see if they are entered, i suspect they will be.

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
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  #6 (permalink)
Trading Apprentice
Barcelona
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: VisualTrader/Sungard GLWIn/ IB/ NT
Favorite Futures: EUR/USD
 
Posts: 15 since Sep 2013
Thanks: 1 given, 2 received

low level


NJAMC View Post
@giger2000,

A quick look at this indicates there may be an assumption you are making. Once the FLAT triggers and enters the first limit order, the status of LONG is not valid until most likely the next Bar (or a few Ticks later if you are on COBC=false). So expect the next bar to place the additional positions.

 
Code
        protected override void OnBarUpdate()
        {
            // Condition set 1
            if (High[NumBarras] >= GetCurrentAsk()+DistCompra1)
            {
			if (Positions[0].MarketPosition==MarketPosition.Flat){//If position=0, buy first order
				Print("Vamos a comprar");

                	EnterLongLimit(QtyCompra, GetCurrentAsk(), "Compra1");
	    }
	    if (Positions[0].MarketPosition==MarketPosition.Long)//if buy1 is do it, let's place order 2 and 3, with limit price
	    {
                	EnterLongLimit(QtyCompra, GetCurrentAsk()-DistCompra2, "Compra2");
		        EnterLongLimit(QtyCompra, GetCurrentAsk()-DistCompra3, "Compra3");
	    }
        }
Have you tried this strategy with:
CalculateOnBarClose = false;

Also, I am not certain as I haven't played with these NT functions in a while, but I seem to remember NT will not let you set a LONG LIMIT below the ASK price. Even your first "Compra1", this could be below the Ask by the time it is processed and get rejected. I think I understand why this is a desirable setup and one of the reasons I started working on LOM to get around some of the NT7 limitations, but I don't think this approach will work at your broker either (even if you manually entered the orders). Test this by adding to the Ask() in all 3 Limit orders to see if they are entered, i suspect they will be.

I think that i've low level for understand LOM function. could you help me?

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  #7 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
Broker/Data: NinjaTrader Brokerage
Favorite Futures: Futures, CL, ES, ZB
 
NJAMC's Avatar
 
Posts: 1,925 since Dec 2010
Thanks: 2,962 given, 2,294 received


giger2000 View Post
I think that i've low level for understand LOM function. could you help me?

Hi @giger2000,

I am not sure it is possible to do what you intend, hopefully one of the experienced traders can tell you if that is the case.

I haven't used LOM recently and fairly tied up with other activities. I would suggest you use the Elite Thread:
https://futures.io/elite-automated-ninjatrader-trading/15563-njamc-local-order-manager-lom-collaboration.html#post172859

And the WIKI:
https://futures.io/wiki/trading-wiki/NT-Local-Order-Manager-LOM-Guide?redirect=no

Also looks like you may not be an elite member so you are unlikely able to get access to the source code.

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
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