MIT/LIT anyone with good working example code?

March 25th, 2011, 12:10 PM

Greets!

NT doesnt have a supported option for Market/Limit If Touched orders, and looking at the threads online I did find little to go on. Basically I am trying to get the same fill I get with market orders, but at a price that is closer to targets I would use in limit orders.

Code

		protected override void OnMarketData(MarketDataEventArgs e)
		
			if (e.MarketDataType == MarketDataType.Ask)

{

if ( e.Price >= touch_price )

    {

        EnterLimit ( ) ;

    }

}

.. and thats all .. TraderWerks 2009 May

This is a work in progress== I am trying to shift the order entry from OnBarUpdate to OnMarketData but am not sure if I am interpreting the intent/use correctly.

Guru response definitely appreciated,
Jon

traderwerks · March 25th, 2011, 10:28 PM

The intent is that you look at the price every tick, with OnMarketData. So you are constantly looking at the price so that it gives you a lot of flexibility in order management.

March 26th, 2011, 08:52 AM

traderwerks

The intent is that you look at the price every tick, with OnMarketData. So you are constantly looking at the price so that it gives you a lot of flexibility in order management.

Hi traderwerks!

Thanks.. I do appreciate the response.

I am, I think, so ingrained in 'OnBarUpdate' mindset that I am having a conceptual challenge on how that will integrate together (with OnMarketData) to manage the trade.

For example, this is typically what my strategy orders from

Code

 {	if ( (Position.MarketPosition == MarketPosition.Flat) && (timeSeries[0] >= 1)  )
             // Try to go LONG
	{   if (	WatchToGoLong == 1 )	
	//
		{  if   ( BarsInProgress == 0 )
                   		 {	
		tVars.vLow = Close[0];
		tVars.vHigh = Close[0];
		tVars.cStopLossTicks = iStopLossTicks;
	SetStopLoss(CalculationMode.Ticks, tVars.cStopLossTicks * vTickMult);					
DrawTriangleUp(CurrentBar.ToString() + "sl", true, 0, Close[0] - tVars.cStopLossTicks * TickSize * vTickMult, Color.DarkGreen);
	// Enter Long
		if ((iOrderL1 == null && iQuantity1 != 0)
	iOrderL1 = EnterLongLimit(0, true, iQuantity1, Closes[0][0] + 2*TickSize, sENTRY1L);

and I am starting to think in this fashion to move the ordering into

Code

		protected override void OnMarketData(MarketDataEventArgs e)
		
			if (e.MarketDataType == MarketDataType.Ask)

{

if ( e.Price >= touch_price )

   {	
		tVars.vLow = Close[0];
		tVars.vHigh = Close[0];
		tVars.cStopLossTicks = iStopLossTicks;
	SetStopLoss(CalculationMode.Ticks, tVars.cStopLossTicks * vTickMult);					
DrawTriangleUp(CurrentBar.ToString() + "sl", true, 0, Close[0] - tVars.cStopLossTicks * TickSize * vTickMult, Color.DarkGreen);
	// Enter Long
		if ((iOrderL1 == null && iQuantity1 != 0)
	iOrderL1 = EnterLongLimit(0, true, iQuantity1, Closes[0][0] + 2*TickSize, sENTRY1L);
} 
}

with the OnBarUpdate just manages the indicators and conditions that go along with that
...

Code

{	if ( (Position.MarketPosition == MarketPosition.Flat) && (timeSeries[0] >= 1)  )
             // Try to go LONG
	{   if (	WatchToGoLong == 1 )	
	//
		{  if   ( BarsInProgress == 0 )
                   		 {  touch_price = Closes[0][0]  }
}
}
}

but my gut says that this is too simplistic and I am missing an element to have it function correctly. Input from your experience is definitely appreciated.

Jon

traderwerks · March 27th, 2011, 06:39 AM

Trader.Jon

Code

		tVars.vLow = Close[0];
		tVars.vHigh = Close[0];
		tVars.cStopLossTicks = iStopLossTicks;
	SetStopLoss(CalculationMode.Ticks, tVars.cStopLossTicks * vTickMult);					
DrawTriangleUp(CurrentBar.ToString() + "sl", true, 0, Close[0] - tVars.cStopLossTicks * TickSize * vTickMult, Color.DarkGreen);

but my gut says that this is too simplistic and I am missing an element to have it function correctly. Input from your experience is definitely appreciated.

Jon

It is a good start but I would leave the above code for BarUpdate. You just need the parts that need to be in OnMarketData as small as possible. ( And it doesn't need to be there ).

OnBarUpdate DOES just manages the indicators and anything that has High[0], etc needs to be in there.

It is not as difficult as people think. I have been using limit with touch orders in my strats for a couple of years and trading live everyday for a while and they work nicely.

March 27th, 2011, 02:17 PM

traderwerks

It is not as difficult as people think. I have been using limit with touch orders in my strats for a couple of years and trading live everyday for a while and they work nicely.

traderwerks,

Again, thanks for the share..

Just to clarify then, to sync my head, and nothing code specific ..

It really doesnt matter what chart type/period is being used, and you are using the normal(?!) available EnterLongStopLimit() with (I guess) true bool condition (because I am thinking on adding a cancel order if not filled in 2 bars etc). For some reason my feeling was there might be different Enter() commands only useable inside OnMarketData, but cant find any in the help

This has been REALLY helpful!

Thanks
Jon

traderwerks · March 27th, 2011, 04:58 PM

Trader.Jon

It really doesnt matter what chart type/period is being used, and you are using the normal(?!) available EnterLongStopLimit() with (I guess) true bool condition (because I am thinking on adding a cancel order if not filled in 2 bars etc).

Well, you are mostly correct. It would be a EnterLongLimit order. No sense in putting a stop orde r in OnMarketData.

Trader.Jon

For some reason my feeling was there might be different Enter() commands only useable inside OnMarketData, but cant find any in the help

OnMarketData is just like OnBarUpdate, only it happens a lot more often ( usually ). So anything you can use in OnBarUpdate, you can use in OnMarketData.

March 28th, 2011, 08:33 AM

traderwerks

OnMarketData is just like OnBarUpdate, only it happens a lot more often ( usually ). So anything you can use in OnBarUpdate, you can use in OnMarketData.

traderwerks,

With your (much appreciated) assistance I was able to get an order placed and covered in a strategy, running parallel to orders placed with OnBarUpdate. I didnt change any of the entry handling code: just moved to code as suggested

Code

											#region Region_OnMarketData
//		
    protected override void OnMarketData(MarketDataEventArgs e)
					{
			 //Update bid / ask / spread variables
           UpdateBidAskSpread(out cAsk, out cBid, out cSpread);  
		

if ( e.Price == touch_price )

   {	Print("Last = "+e.Price);	 		
	if ((iOrderL1 == null || Historical) && iQuantity1 != 0)
	{	iOrderL1 = EnterLongLimit(0, true, iQuantity1, Closes[0][0] + 1*TickSize, sENTRY1L); 
		LL_EntryBar0_OMD_L1 = CurrentBars[0];
			Print("Entered LL_Order from OnMarketData PreviousBar#= "+CurrentBars[0]+", Time of bar=  "+Times[0][0]+", bar closed "+Closes[0][0]+", BarHI= "+Highs[0][0]+", BarLO= "+Lows[0][0]);
						
	}
	
	}
	
		}

Prints show me behaviour I expected, plus some I didnt. The orders in OnBarUpdate are only submitted once,

Code

 iOrderL5 = EnterLongStopLimit(0, true, iQuantity5, Closes[0][0]+ 2*TickSize, Closes[0][0]+ 1*TickSize, sENTRY5L);
	iOrderL2 = EnterLong(0, iQuantity2, sENTRY2L);

and are not submitted again when actively working, but the OnMarketData order is submitted on every tick even when working

Code

 	iOrderL1 = EnterLongLimit(0, true, iQuantity1, Closes[0][0] + 1*TickSize, sENTRY1L);

The 'entries per direction' is set to 1 so the orders are not sent out, but it is still bothersome that the order handling isnt working the same.

From the output:

Code

Last = 1.404
3/28/2011 7:45:55 AM Entered internal PlaceOrder() method at 3/28/2011 7:45:55 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.4041 StopPrice=0 SignalName='e1L' FromEntrySignal=''
3/28/2011 7:45:55 AM Ignored PlaceOrder() method at 3/28/2011 7:45:55 AM: Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.4041 StopPrice=0 SignalName='e1L' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'
Entered LL_Order from OnMarketData PreviousBar#= 653, Time of bar=  3/28/2011 7:45:52 AM, bar closed 1.404, BarHI= 1.4052, BarLO= 1.404
Last = 1.404
3/28/2011 7:45:55 AM Entered internal PlaceOrder() method at 3/28/2011 7:45:55 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.4041 StopPrice=0 SignalName='e1L' FromEntrySignal=''
3/28/2011 7:45:55 AM Ignored PlaceOrder() method at 3/28/2011 7:45:55 AM: Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.4041 StopPrice=0 SignalName='e1L' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'
Entered LL_Order from OnMarketData PreviousBar#= 653, Time of bar=  3/28/2011 7:45:52 AM, bar closed 1.404, BarHI= 1.4052, BarLO= 1.404
Last = 1.404
3/28/2011 7:45:56 AM Entered internal PlaceOrder() method at 3/28/2011 7:45:56 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.4041 StopPrice=0 SignalName='e1L' FromEntrySignal=''
3/28/2011 7:45:56 AM Ignored PlaceOrder() method at 3/28/2011 7:45:56 AM: Action=Buy OrderType=Limit Quantity=1 LimitPrice=1.4041 StopPrice=0 SignalName='e1L' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'
Entered LL_Order from OnMarketData PreviousBar#= 653, Time of bar=  3/28/2011 7:45:52 AM, bar closed 1.404, BarHI= 1.4052, BarLO= 1.404
Last = 1.404

Any thoughts or suggestions?
Jon

Followup: Even though the 1L long entry from OnMarketData was stopped out, the print is still showing entry price would be 1.404. The next bar closed 1.4030 and was a trigger bar for a market order L2 that was completed, but the e.Price still printing out at 1.4040

traderwerks · March 28th, 2011, 07:08 PM

After you place your order, reset your touch price or whatever so you don't get any more orders. The order will be cancelled at the end of the bar.

March 28th, 2011, 07:26 PM

traderwerks

After you place your order, reset your touch price or whatever so you don't get any more orders. The order will be cancelled at the end of the bar.

I think thats probably the only thing I havent tried yet

It is annoying that I am still restricted by bar updates (in a way)

Thanks,
Jon

MIT/LIT anyone with good working example code?

Discussion in NinjaTrader

MIT/LIT anyone with good working example code?