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THREE SET UPS


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THREE SET UPS

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  #621 (permalink)
 shodson 
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vast View Post
Hi Beth

I am using this code, but I can't work out how to cancel one of the orders once filled.
I get it to work, but it then cancels straight away.
Any help would be appreciated.
Thanks for the code.

Regards

I don't remember but I think she said she runs 2 strategies: one for buying and one for selling

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  #622 (permalink)
 cunparis 
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Only took one trade today and the market was very dead so I just got out. It didn't feel right and I thought better safe than sorry.

+4 ticks



here's the small tick chart I use to follow my trades:



On one hand my intution was good because there was a pullback that would have taken out a breakeven stop. On the other hand price did drop down lower than I got out, however it hasn't yet hit my target. The 15min time stop would kick in right now (with a slightly better exit).

I guess I should be more patient.

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  #623 (permalink)
 wgreenie 
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Quoting vast:
Hi Beth

I am using this code, but I can't work out how to cancel one of the orders once filled.
I get it to work, but it then cancels straight away.
Any help would be appreciated.
Thanks for the code.

Regards




shodson View Post
I don't remember but I think she said she runs 2 strategies: one for buying and one for selling

Yes Vast and Shodson. I have been sim-trading both strategies (one for long and one for short) at the same time. How do they work?

1. Upon completion of an Inside Bar, there will be 2 Stop orders waiting to be filled (triggered by the two strategies).

2. Upon filling of one of the pending Stop orders, the other one will still be waiting. This will be cancelled automatically by the system if it's not triggered within 15 minutes (completion of the entry bar and depend on your time chart).

Also bear in mind that while the first trade is still open say waiting for its PT/SL to get hit, the second pending order will not be triggered in view of Ninja internal order handling rules (no 2 open positions on Buy/Sell at the same time).

3. If the first trade closes within 15 minutes and price hits the second pending order before the entry bar's completion, you will now have a reversal trade going. This does not happen very often and it did happen!

If you choose to cancel the pending order manually (while the first trade is working), you will have to re-activate that strategy again else it will not trigger any trades.

I will recommend your sim-trading your strategies to get familiar of them. It took me a few days (incl research) to figure out the above.

Beth

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  #624 (permalink)
 shodson 
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cunparis View Post
Only took one trade today and the market was very dead so I just got out. It didn't feel right and I thought better safe than sorry.

Market might be quiet for a bit. We've relieved a lot of uncertainty lately
- Goldman settlement
- FinReg going to pass
- Consumer sentiment and bank earnings out

The big wild card is the European stress tests, though those seem be received well lately by the market as the Euro is back up towards 1.30.

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  #625 (permalink)
 shodson 
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It's official: I hate Fridays


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  #626 (permalink)
 Jeff Castille 
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shodson View Post
It's official: I hate Fridays


Or maybe you should hate options expiration day.

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  #627 (permalink)
 shodson 
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Jeff Castille View Post
Or maybe you should hate options expiration day.

Yeah, that too.

Looks like the market threw me a pity bone at the end of the day


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  #628 (permalink)
 vast 
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wgreenie View Post
Quoting vast:
Yes Vast and Shodson. I have been sim-trading both strategies (one for long and one for short) at the same time. How do they work?

1. Upon completion of an Inside Bar, there will be 2 Stop orders waiting to be filled (triggered by the two strategies).

2. Upon filling of one of the pending Stop orders, the other one will still be waiting. This will be cancelled automatically by the system if it's not triggered within 15 minutes (completion of the entry bar and depend on your time chart).

Also bear in mind that while the first trade is still open say waiting for its PT/SL to get hit, the second pending order will not be triggered in view of Ninja internal order handling rules (no 2 open positions on Buy/Sell at the same time).

3. If the first trade closes within 15 minutes and price hits the second pending order before the entry bar's completion, you will now have a reversal trade going. This does not happen very often and it did happen!

If you choose to cancel the pending order manually (while the first trade is working), you will have to re-activate that strategy again else it will not trigger any trades.

I will recommend your sim-trading your strategies to get familiar of them. It took me a few days (incl research) to figure out the above.

Beth

Thanks Beth and Shodson.
I ended up doing the same approach accidentally. I have a long and a short strat running together.
I was hoping that I could enter an OCO order, but I think I read that Cunparis tried and gave up.
It scares me having both orders in place. But I appreciate your explanation of how they work.
Shodson are you using OCO orders in your strat?

Regards

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  #629 (permalink)
 wgreenie 
Cambridge, Ontario
 
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vast View Post
Thanks Beth and Shodson.
I ended up doing the same approach accidentally. I have a long and a short strat running together.
I was hoping that I could enter an OCO order, but I think I read that Cunparis tried and gave up.
It scares me having both orders in place. But I appreciate your explanation of how they work.
Shodson are you using OCO orders in your strat?

Regards

You are most welcome Vast. I learned from Ninja CS that one maybe able to get around the Internal order handling rules (applicable to 6.5) on the 7 platform. Let's wait for Shodson who may have the answer for you.

Beth

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  #630 (permalink)
 shodson 
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vast View Post
Thanks Beth and Shodson.
I ended up doing the same approach accidentally. I have a long and a short strat running together.
I was hoping that I could enter an OCO order, but I think I read that Cunparis tried and gave up.
It scares me having both orders in place. But I appreciate your explanation of how they work.
Shodson are you using OCO orders in your strat?

Regards

I am not using OCO orders and, yes, you can't create a buy stop and a sell stop order at the same time in NT 6.5.

In order to support backtesting and work around NT's intra-bar errors when testing minute bars where a target or stop may be reached in the same bar, I enter with market orders on the close of 1-range bars. However, this tends to sometimes cause more slippage than I want because of gaps between range bars.

I now have a separate strat just for backtesting and research that uses a 1-range bar and also 1-min bars, depending on how far back I back test and how far back my range bar data goes. With this in place I will optimize the live trading version by running it OnBarClose = false and just checking the price level on each tick and see if it's gone outside the range. The other option is to look at price, if it's in the top half of the IB range then enter a buy stop, then if it goes into the bottom half of the IB cancel the buy stop and place a sell stop order, potentially creating and canceling several stop orders as it wiggle around the middle of the IB. This however is more complicated and takes more time to develop and test, time which I haven't had lately.

So far I can't blame a losing bar on 1-range bar slippage yet so I'm OK with how it is now.

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