Sam028 EOD Robot

September 23rd, 2009, 06:03 PM

or can also add another time frame in initialize

Add(PeriodType.Minute, 30);

and then submit the limit order to that time frame so it will last 30 minutes before being canceled or etc.

Second you can use limit orders but set it to never cancel.

Third you can use market orders.

Mike

September 23rd, 2009, 06:34 PM

Big Mike

or can also add another time frame in initialize

Add(PeriodType.Minute, 30);

and then submit the limit order to that time frame so it will last 30 minutes before being canceled or etc.

Second you can use limit orders but set it to never cancel.

Third you can use market orders.

Mike

Sure for first and third, the second is supposed to be an "advanced method variation reserved for experienced programmers ...", hmm...

The fourth solution: keep it like this, it's not so crazy, if the order is not filled during the current bar, well, it's maybe a bit risky to keep the order open.
Anyway, now I know

.

ps: I'm not sure to know what this crazy pilot smiley really means, but I like it

.

September 23rd, 2009, 07:13 PM

sam028

Ok, why not, now I know it. This detail was a 4 ES pts detail (200$), but that's a good lesson: I'll go back to market orders next week.

Sorry if I'll ask silly question, but could you please elaborate a bit more on "what you know now", as I don't understand what went wrong so that your order was not filled. Is what happened against the design of a limit order - a bug in ninjatrader handling of limit orders or you simply didn't know how limit orders work.
Thanks

September 24th, 2009, 02:51 AM

gregid

Sorry if I'll ask silly question, but could you please elaborate a bit more on "what you know now", as I don't understand what went wrong so that your order was not filled. Is what happened against the design of a limit order - a bug in ninjatrader handling of limit orders or you simply didn't know how limit orders work.
Thanks

I didn't realize the method I use, EnterLongLimit(arg1,arg2,arg3), has this behavior (the order, submit during bar x, was canceled on bar x+1 if not filled).

September 24th, 2009, 08:13 AM

sam028

I didn't realize the method I use, EnterLongLimit(arg1,arg2,arg3), has this behavior (the order, submit during bar x, was canceled on bar x+1 if not filled).

sam028,

I have a thought,

If you placed the order on a separate chart, say with month bars or range bars set to a thousand, your orders won't get canceled becouse the bar won't complete with the order pending.

RJay

September 24th, 2009, 08:17 AM

Sam028,

I'm curious if you're using IOrder or not...

Also, if you're using something similar to check status of limit orders:

Code


// If the order state is terminal, reset the order id value
if (status1[2] == "Filled" || status1[2] == "Cancelled" || status1[2] == "Rejected")
{
orderId1 = string.Empty;
}

or

Code


if (status1[2] == "Working" &&//THIS IS ALL NEW TO BE CHECKED
FirstTickOfBar &&
//Uptrend == true && 
status1[2] != "Filled"//&&
//StochUp == true &&
//StochDown != true
)
{
AtmStrategyCancelEntryOrder(orderId1);
 
if (triggerLong
)
{
 
AtmStrategyCancelEntryOrder(orderId1);
// LongTrigger3=((Math.Round(Medians[2][1]*10))/10 + TriggerOffset*TickSize);
// AtmStrategyChangeEntryOrder(LongTrigger3, 0, orderId);
atmStrategyId1 = GetAtmStrategyUniqueId();//testing turned on or off
}

I'm still playing with the above code (was trying to get a "simple" limit order strat working) but still having trouble getting the unfilled limit order reset to a new level if not filled in 1 or 2 bars. I believe the strat where I pulled this out of was having problems due to the attempted use of 2 independent contracts so that 1 could have a target profit and the second could have a trailing stop with it. Still on the "drawing board". Do you have any "resetting of limit orders" types of strats that could be shared?

reminds me of the Wright Brothers ... sometimes I feel like I'm still in the bicycle shop - dreaming of future days of flying above the clouds ...

Kirk

September 24th, 2009, 09:07 AM

RJay

sam028,

I have a thought,

If you placed the order on a separate chart, say with month bars or range bars set to a thousand, your orders won't get canceled becouse the bar won't complete with the order pending.

RJay

@RJay: Sure, this is what Big Mike says in post #51

@Zeller4: no, sorry, I don't have examples for this. So many thing can go wrong in an ATS, if you can keep order management as simple as possible, it's better.

September 24th, 2009, 09:11 AM

- Sorry, couldn't resist. Feel free to remove this post.

September 24th, 2009, 11:50 AM

@sam028 - You say you put on the trade at the close of the market (I'm assuming 4pm NY time) but the Globex session on index futures closes at 4:15pm NY time so basically you have 15 minutes to do what it's going to do, correct? Otherwise you're technically holding it overnight if you're still in a position at the beginning of the next Globex session at 5pm, correct? Take the ES as an example.

September 24th, 2009, 05:32 PM

Day 18: +152.5$

But, I've been very lucky, and it should have been a negative day. I've been freezing the Virtualbox which host this NT instance, then wake it up, refresh the charts, connect the second broker, add the strats... But it seems that this is not a good idea, because when one robot was buying a contract for one broker, the other robot was selling the same on the broker. So it should have been a flat day, but 2 contracts were not filled (limit orders).
So, another lesson: restart NT every days

Week 1: +977.5$ (+1217.5) before com
Week 2: +130$ before com
Week 3: +1180$ before com
Week 4: -152.5 $ before com
From the beginning: +1994.5$ (+2255) before com

Sam028 EOD Robot

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Sam028 EOD Robot