Help with adjusting target orders to stay so many ticks above entire position average

February 22nd, 2011, 07:48 PM

Having found the following code and using it as my guide for learning and developing:

I'd like this thread to be the sharing of rulesets that you would like to be tested. Anyone with rulesets they want kept private should contact me via private message.

These are intended for Elite access only so please don't share with others …

How would one keep the profit target orders adjusted to be so many ticks above or below (whether long or short) the entire position average? I am having trouble finding information on this.

Currently, I am only working on the strategy to take long positions, not short or both, at present.

February 22nd, 2011, 08:16 PM

keeping them so many ticks away from the entire position average.

February 22nd, 2011, 08:27 PM

I'm thinking that I would do it in the OnOrderUpdate section.

Suppose you are on your second entry from whatever signal.... In the on order update section have it check for all of your Entry order names and whenever one is filled, have it cancel your prior ExitLimit target and when the cancellation is confirmed place a new one with the new AveragePrice + target amount. Here is a sample of what I am talking about.

Code

        private IOrder EntryOrder = null;
        private IOrder Target = null;

        protected override void OnBarUpdate()
        {        
         Condition...
            EntryOrder = EnterLong(...)
        }
        
        protected override void OnOrderUpdate(IOrder order)
        {
            if (EntryOrder != null && EntryOrder == order)
            {
              if (order.OrderState == OrderState.Filled)
                {
                  if (Target != null)
                    {
                     CancelOrder(Target);
                     EntryOrder = null;
                    }
                }    
            }
            if (Target != null && Target == order)    
            {
              if (order.OrderState == OrderState.Cancelled && Position.MarketPosition != MarketPosition.Flat)
                {
                    Target = ExitLongLimit(0, true,CalculationMode.Price, Position.AvgPrice + TickTarget);
                }    
            }
            if (Target != null && Target == order)    
            {
              if (order.OrderState == OrderState.Filled && Position.MarketPosition == MarketPosition.Flat)
                {
                    Target = null;
                }    
            }    
        }

Help with adjusting target orders to stay so many ticks above entire position average

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Help with adjusting target orders to stay so many ticks above entire position average