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breaking large order into small orders on NinjaTrader


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breaking large order into small orders on NinjaTrader

  #1 (permalink)
 tortoise 
Boston, MA
 
Experience: Intermediate
Platform: MultiCharts, TradeStation, NinjaTrader, ThinkorSwim
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Is there a way to break up a large order into a blast of smaller orders on NinjaTrader? Their ATM appears to be all-in/scale-out construct based on different price levels. But I'm talking about, say, if you want to go long 200 contracts of something at such-and-such a price, it'll break it up into, say, 10 separate orders. Anyone? Thanks

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  #2 (permalink)
 
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 rleplae 
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tortoise View Post
Is there a way to break up a large order into a blast of smaller orders on NinjaTrader? Their ATM appears to be all-in/scale-out construct based on different price levels. But I'm talking about, say, if you want to go long 200 contracts of something at such-and-such a price, it'll break it up into, say, 10 separate orders. Anyone? Thanks

From the NT forum :


Quoting 
A common technique used by discretionary traders is scaling in and scaling out of a position. To scale out of a position refers to closing a portion of your position when you hit a profit target and then raising your stop to close your remaining portion later.

Key concepts in this example:
Submitting Profit Target orders
Submitting Trailing Stop orders
Closing half of your position at a time

Important related documentation:

NinjaTrader 8
MarketPosition
SetProfitTarget()
SetTrailStop()
EntriesPerDirection*
EntryHandling*
SetStopLoss()

NinjaTrader 7
MarketPosition
SetProfitTarget()
SetTrailStop()
EntriesPerDirection*
EntryHandling*
SetStopLoss()

* Entry handling properties can be either programmatically set or set through the Strategy dialog window


Import instructions:

NinjaTrader 8
Download the file contained in this thread to your PC desktop
From the Control Center window, select the menu Tools > Import > NinjaScript
Select the downloaded file

NinjaTrader 7
Download the file contained in this thread to your PC desktop
From the Control Center window, select the menu File > Utilities > Import NinjaScript
Select the downloaded file and click Import.


Attached Files
Elite Membership required to download: SampleScaleOut_NT8.zip
Elite Membership required to download: SampleScaleOut_NT7.zip
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  #3 (permalink)
 tortoise 
Boston, MA
 
Experience: Intermediate
Platform: MultiCharts, TradeStation, NinjaTrader, ThinkorSwim
Trading: ES
Posts: 26 since Jul 2011
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rleplae View Post
From the NT forum :

Thanks for the response. I'm looking to scale in as well as scale out. Is this not really doable on NinjaTrader?

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 sam028 
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tortoise View Post
Thanks for the response. I'm looking to scale in as well as scale out. Is this not really doable on NinjaTrader?

It's very doable but will require custom coding for the scale in.
What you want is a strategy so if you're able to describe it (how many lots, when add another lot, stop/profit for each lot or a global one, etc) it's doable.

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  #5 (permalink)
Chronomacros
Voorhees, New Jersey, United States
 
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sam028 View Post
It's very doable but will require custom coding for the scale in.
What you want is a strategy so if you're able to describe it (how many lots, when add another lot, stop/profit for each lot or a global one, etc.) it's doable.

Where can a person learn this in a non intimidating or easily digested way? I am noticing a specific problem with ninja scripts. if you set limit buys and limit sells sort of as a bracket, in certain cases the two entries cancel each other out by default AND there is an open position left or at times a double entry in the market that does not even appear in the chart trader or dom. i want neither of these results. The only similar functionality that ninja references is OCO but OCO is the clean way of choosing between two in a mutually exclusive fashion.

I want to understand how to convert a "workflow" or simple logical process of trading into Ninja trader (C#?) based code instructions and avoid conflicts in logic or errors while doing it. Where can a person gain understanding of that? I think on ninjas site. It is not exactly as clear as it ought to be. Has anybody begun working on this and maybe have/has a forum that can help understanding the underlying logic and language that ninja leverages.

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 hedgeplay 
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Chronomacros View Post
Where can a person learn this in a non intimidating or easily digested way?

Greetings!

Here is a very small starter answer.


Searching the FIO search engine up and to the right for "Strategy Builder" surfaces a few good links. One is included below.

In a bit I will drop a bigger answer into the 101 thread you started.

HedgePlay



A related thread ..


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