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Multi Time Frame Strategy Cancellation
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Multi Time Frame Strategy Cancellation

  #1 (permalink)
Elite Member
Sydney / Australia
Futures Experience: Intermediate
Platform: NT
Broker/Data: AMP
Favorite Futures: Oil
Posts: 118 since Jun 2009
Thanks: 128 given, 103 received

Multi Time Frame Strategy Cancellation


I currently have a multitimeframe strategy setup on 4 range and 1 range bars. 4 range handle the entry conditions and initial entry order, while the 1 range series handles order cancellation if the close price moves 2 ticks away from entry order.
The problem im having is that once an order has been placed, a cancellation preceeds it immediately.

if (Position.MarketPosition == MarketPosition.Flat && BarsInProgress == 0) { 
  if (
Bla Bla) {
entryOrder1 EnterLongLimit(0trueDefaultQuantityClose[0] - TickSize"Long 1a");
Buy true;}
if (
Position.MarketPosition == MarketPosition.Flat && BarsInProgress == 1) {
   if (
Buy == true && entryOrder1 != null && entryOrder1.LimitPrice != null && Close[0] == entryOrder1.LimitPrice TickSize) { 
Buy false;} 

The issue seems to be the use of Close[0] in BarsArray = 1. If I use Closes[0][0], it will wait for next 4 range bar to close before cancelling order, which is too far away.
I cannot use Indicator(BarsArray[1])[0] command as the indicator is custom 3rd party.

Any ideas on how to combat this?



Last edited by sam028; June 18th, 2010 at 04:42 AM. Reason: add coding tag
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  #2 (permalink)
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  #3 (permalink)
Trading Apprentice
Dallas Texas United States
Futures Experience: Intermediate
Platform: Ninja Trader
Favorite Futures: Futures, TF, ES, YM, 6E
Posts: 5 since Apr 2014
Thanks: 1 given, 0 received


Did you ever get this figured out? I'm having the same problem.



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