NexusFi: Find Your Edge


Home Menu

 





Strategy Execution Problem


Discussion in NinjaTrader

Updated
    1. trending_up 2,135 views
    2. thumb_up 0 thanks given
    3. group 2 followers
    1. forum 2 posts
    2. attach_file 0 attachments




 
Search this Thread

Strategy Execution Problem

  #1 (permalink)
 togier 
Boston, MA
 
Experience: Advanced
Platform: NinjaTrader
Broker: IB
Trading: EUR/USD
Posts: 42 since Apr 2010
Thanks Given: 1
Thanks Received: 3

Ok, here goes. I have an automated strategy that trades EURUSD. When the entry conditions are right, the strategy submits 5 market orders simultaneously. The orders are 60k, 40k, 20k, 20k, 20k. I also submit profit targets and stops along with these orders. Also, I use the managed orders process. Ok, this morning the entry strategy was triggered and if I am reading the log files correctly, NT submitted the orders correctly but IB split up the 60k order into 2 actual orders of 50k and 10k. What happened after that is a little bit of a mystery but what I think happend was NT tried to pair a target and stop with the 10k order and IB rejected the order. When it rejected the order, NT then flattened everything. I understand that orders get broken up but how or can I control this through a strategy? I didn't really loose any money this morning but I did miss out on a nice opportunity. Any suggestions would be most appreciated.

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Futures True Range Report
The Elite Circle
Better Renko Gaps
The Elite Circle
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Deepmoney LLM
Elite Quantitative GenAI/LLM
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
 
  #3 (permalink)
 
sinisa's Avatar
 sinisa 
Melbourne, Australia
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IG Markets
Trading: EUR?USD,AU/USD
Posts: 38 since Apr 2011
Thanks Given: 10
Thanks Received: 42


Maybe would have been good if you posted actual error messages from the Ninja log file. But if you wish fine control over the orders and execution you should use following events:

OnOrderUpdate() and OnExecution()

OnExecution it seems method that could help with your problem as this is the place where you can manage partial fills and so on to decide what you do. The NinjaTrader help guide section 10.4.7.27 OnExecution() can help you.

If you need any specific samples or further help feel free to let me know.

Regards

Markets are logical and
Reply With Quote




Last Updated on May 3, 2011


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts