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Are ATM orders Suitable in a NinjaScript (or better avoid it)
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Are ATM orders Suitable in a NinjaScript (or better avoid it)

  #1 (permalink)
benwincky
Brussels Belgium
 
Futures Experience: Beginner
Platform: Ninjatrader
Broker/Data: GAINCAPITAL/Forex.com
Favorite Futures: Forex
 
Posts: 14 since Mar 2013
Thanks: 5 given, 0 received

Are ATM orders Suitable in a NinjaScript (or better avoid it)

Hello sir,

This is a copy of a question I asked the support forum

I’m wondering if it is suitable to use ATM orders within a NinjaScript



I quote you Help section considering the “AtmStrategyClose()” method

“Definition
Cancels any working orders and closes any open position of a strategy by first modifying any existing target orders so they are filled or submitting a market order if no target orders exist.

Method Return Value

Returns true if the specified ATM strategy was found; otherwise false. [COLOR="YellowGreen"]True in NO WAY indicates that the strategy in fact has been closed
. It indicates that the the specified ATMstrategy was found and the internal close routine was triggered”[/COLOR]

The green colored part worries me a lot because I based all my entries on ATM



I enter “Short” (let’s say) with the following code



private void GoShort(){

//EnterShort();

Print(ChartName + " VENTE EST LANCE "+String.Format("{0:HH:mm:ss}",DateTime.Now)+" "+Price);

if (orderId.Length == 0 && atmStrategyId.Length == 0)

{

atmStrategyId = GetAtmStrategyUniqueId();

orderId = GetAtmStrategyUniqueId();

AtmStrategyCreate(Cbi.OrderAction.Sell, OrderType.Market, Low[0], 0, TimeInForce.Gtc, orderId, "MoBenOrder", atmStrategyId);

}

Positions[0].MarketPosition = MarketPosition.Short;

}



Disregard the Print and the last market position is short. We know it is short, but since I hired a C# programmer, I don’t want to change his code



And I close (and this is where I’m worried) with the following code

private void StopOrder(){

if(Positions[0].MarketPosition == MarketPosition.Long){

//ExitLong();

Print(ChartName + " STOP ACHAT "+String.Format("{0:HH:mm:ss}",DateTime.Now)+" "+Price);

if(orderId.Length > 0)

AtmStrategyClose(atmStrategyId);

atmStrategyId = string.Empty;

orderId = string.Empty;

}

if(Positions[0].MarketPosition == MarketPosition.Short){

//ExitShort();

Print(ChartName + " STOP VENTE "+String.Format("{0:HH:mm:ss}",DateTime.Now)+" "+Price);

if(orderId.Length > 0)

AtmStrategyClose(atmStrategyId);

atmStrategyId = string.Empty;

orderId = string.Empty;

}



Positions[0].MarketPosition = MarketPosition.Flat;

}





What would you tell me

1. ReWrite all the entries so that I don't use ATM in the script


2. Carry on with The Atm. they are OK to initiate orders in a ninja strategy

Shortly rephrased. How does one makes 100% sure that the ATM order was closed" whether or not a Target or a stop loss" has been reached



Thanks In Advance,



Benoit Winckelmans


Last edited by benwincky; August 11th, 2013 at 09:29 AM.
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  #2 (permalink)
Elite Member
Mumbai, India
 
Futures Experience: Intermediate
Platform: MT4, NT7,eSignal
Broker/Data: AMP/CQG
Favorite Futures: ZB,ZN,ES,currencies
 
indiantrader's Avatar
 
Posts: 105 since Jul 2010
Thanks: 314 given, 134 received

Answer
This post has been selected as an answer to the original posters question Answer

Its okay to use ATM strategy in ninjascript, only thing is you cannot backtest them, but only test them on market replay or live.
However, if you want to backtest, then unmanaged approach would be the best with orders handling as an IOrder object.

Instead of Position.MarketPosition==MarketPosition.Short
you should have
GetAtmStrategyPosition(atmStrategyId)==MarketPosition.Short

Check out this post of a sample ATM based ninjascript strategy.

https://futures.io/elite-automated-ninjatrader-trading/7455-battle-bots-ninjatra...ment-132.html#post306561

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