Strategy Position and Account Position

February 9th, 2015, 02:14 PM

spinnybobo

Hello,
I am currently working on a strategy that allows me to enter the trade manually in NinjaTrader and then apply a Strategy to it with stops and targets.

Here is my strategy that does what you ask. After a manual entry, start the strategy. You have to enter the date and time when you want the strategy to become effective. This is a bother, but necessary for tailstop flexibility. It will exit when RSI crosses above the oversold level, or on stoploss, or profit limit, or on a tail stop. You can easily modify the strategy for whatever your exit plan is.
ExitSlPlTsRsi.cs

February 10th, 2015, 12:17 AM

Thanks,

However, I am trying to work with Account orders and not IOrder objects. I haven't found a way of getting IOrder object from Account Order. Idea is I can enter position manually and then enable strategy which will pick up the current position (which is working fine).

Then I want my strategy (or myself even before I start strategy) to place limit order.

If/When NinjaTrader is restarted - it should be able to get list of current "Working" orders - which I know how to do.

Problem is when order actually gets filled or partially filled - I want to get notified at this exact moment that execution has occured...

And as I am writing it - I tried using different event and found out that even OnPositionUpdate happens as any of the limit orders get filled... that opens a way for me to look for collection of orders and check their status to determine what has actually happened...

Thanks for replying anyway! I think I can move on now...

February 10th, 2015, 01:18 AM

The only problem - it works only for first limit order. Second limit order in a row doesn't trigger this event unless I disable/enable strategy in NinjaTrader...

February 10th, 2015, 07:58 PM

ninjauser

The only problem - it works only for first limit order. Second limit order in a row doesn't trigger this event unless I disable/enable strategy in NinjaTrader...

Hi

the event you want to use is either

Code

protected override void OnExecution(IExecution execution)
{

}

or 

protected override void OnOrderUpdate(IOrder order)
{

}

as for reading a manual position inside of a strategy (since Ninja holds those separate) I have not figured a way of how to do this

February 11th, 2015, 01:28 AM

Those events are for supported stuff

I am looking for unsupported

Here are functions I created to get current "Manual" position:

public double NtGetUnrealizedNotional(Account account, Instrument instrument)
{
Position myPosition = account.Positions.FindByInstrument(instrument);
if (myPosition == null)
{
return 0;
}
return myPosition.GetProfitLoss(Close[0], PerformanceUnit.Currency);
}
public int NtGetUnrealizedQuantity(Account account, Instrument instrument)
{
Position myPosition = account.Positions.FindByInstrument(instrument);
if (myPosition == null)
{
return 0;
}
return myPosition.Quantity;
}

With regards to limit orders - I wonder is there an answer to maybe this thread as alternative (get notified when specific price touches, and then just send a Market order) - prefer to have even and not to do polling from the strategy.

I prefer to run my strategy on every close bar and not on open.

Indicator trigger event in a Strategy - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

February 13th, 2015, 09:00 PM

ninjauser

Those events are for supported stuff

I am looking for unsupported

Here are functions I created to get current "Manual" position:

public double NtGetUnrealizedNotional(Account account, Instrument instrument)
{
Position myPosition = account.Positions.FindByInstrument(instrument);
if (myPosition == null)
{
return 0;
}
return myPosition.GetProfitLoss(Close[0], PerformanceUnit.Currency);
}
public int NtGetUnrealizedQuantity(Account account, Instrument instrument)
{
Position myPosition = account.Positions.FindByInstrument(instrument);
if (myPosition == null)
{
return 0;
}
return myPosition.Quantity;
}

With regards to limit orders - I wonder is there an answer to maybe this thread as alternative (get notified when specific price touches, and then just send a Market order) - prefer to have even and not to do polling from the strategy.

I prefer to run my strategy on every close bar and not on open.

Indicator trigger event in a Strategy - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

it sounds like you are basically saying you want to be notified when an execution actually happens rather than it would happen "delayed" if you put your methods inside of OnBarUpdate() ?

try putting NtGetUnrealizedNotional(Account account, Instrument instrument) inside of OnExecution.
If your "limit order" you use is called

Code

private IOrder target1Order = null;


protected override void OnExecution(IExecution execution)
{
      if (target1Order != null && target1Order.Order == execution.Order)
      {
              if (execution.Order.OrderStatus == OrderStatus.Filled)
              {
                   NtGetUnrealizedNotional(Account account, Instrument instrument);
              }
      }
}

A guy from Ninja actually said it is better to put order information inside of OnOrderUpdate
and to put non order stuff like calculating PnL and stuff inside of OnExecution

This is because order information always happens in correct sequence inside of OnOrderUpdate, but is not guaranteed to happen in correct sequence inside of OnExecution since Ninja's multithreaded nature, etc..

Strategy Position and Account Position

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Strategy Position and Account Position