Breakout Strategy Using Limit Orders

March 5th, 2017, 12:29 PM

Hello,

Still getting my feet wet with automation development

I want to make sure I am not over complicating my brain while trying to write on paper my strategy before moving to coding phase.

I just want to know if I am in the right direction.

Intra-day Breakout Retracement Entry Strategy:
Enter buy limit order at low of previous bar after long breakout condition is true.
stop loss -20ticks
profit target = 40 ticks
breakeven = after +20 ticks of profit.

Problem:
1. Using limit order, there is a chance that price never comes down to fill the limit order and continues up til profit target. I do not want to enter the trade if profit target price is touched before price goes down and order is filled. Also, if the conditions are true after order cancel, I don't want to re-enter another trade until breakout in opposite direction occurs.

2. After breakeven, if conditions are still true, I don't want reenter the trade again.

Questions:
1. In my coding will I need think of and write some type of tracking logic so the robot knows to not enter a trade after cancel order or breakeven orders or does NinjaTrader already have something I can use.

This my first time writing code and first robot building. Now I learning the limit order does add a changellage but I am sure I am not the first one

Thanks, just making sure I am not over thinking.

March 5th, 2017, 06:40 PM

goodoboy

Hello,

Still getting my feet wet with automation development

I want to make sure I am not over complicating my brain while trying to write on paper my strategy before moving to coding phase.

I just want to know if I am in the right direction.

Intra-day Breakout Retracement Entry Strategy:

Enter buy limit order at low of previous bar after long breakout condition is true.

stop loss -20ticks

profit target = 40 ticks

breakeven = after +20 ticks of profit.

Problem:

1. Using limit order, there is a chance that price never comes down to fill the limit order and continues up til profit target. I do not want to enter the trade if profit target price is touched before price goes down and order is filled. Also, if the conditions are true after order cancel, I don't want to re-enter another trade until breakout in opposite direction occurs.

2. After breakeven, if conditions are still true, I don't want reenter the trade again.

Questions:

1. In my coding will I need think of and write some type of tracking logic so the robot knows to not enter a trade after cancel order or breakeven orders or does NinjaTrader already have something I can use.

This my first time writing code and first robot building. Now I learning the limit order does add a changellage but I am sure I am not the first one

Thanks, just making sure I am not over thinking.

Have you tried setting you buy order as a market order? When your price is hit, you will get filled immediately with some possible slippage.

Sent from my iPad using futures.io

March 5th, 2017, 10:12 PM

bradhouser

Have you tried setting you buy order as a market order? When your price is hit, you will get filled immediately with some possible slippage.

Sent from my iPad using futures.io

Thank you bradhouser,

I appreciate your response,

Yes, I can use market order once the strategy executes on bar close, but I prefer limit orders for to get better entry prices on retrace.

Of course just buying/selling with market orders once the all strategy conditions is true would solve this problem, butttt price entry will be kinda offset from what I am use to taking. But the reward to market orders are I want miss those big runs that's often missed waiting on retrace.

However, programming retracement with limit orders is a challenge so far. At least for me it is.

April 13th, 2017, 02:53 PM

NT8's order management is pretty good. you can set targets and stops and they will only be executed if you have entered a trade.

Here is the link to help you out: https://ninjatrader.com/support/helpGuides/nt8/en-us/order_methods.htm

you can use SetProfitTarget() SetStopLoss().

Just remember you will need to cancel your limit order if it is not filled (eventuly) so you do not have hanging orders...just FYI

Breakout Strategy Using Limit Orders

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Breakout Strategy Using Limit Orders