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Colorado Springs, CO
Experience: Master
Platform: NinjaTrader
Broker: GAIN CAPITAL
Trading: Currency Futures
Posts: 24 since Mar 2010
Thanks Given: 9
Thanks Received: 0
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Hello !!! i have a problem with pair trading strategy that after disconnect to IB wont close profit or stop positions
if (CurrentBars[0] < BarsRequiredToTrade || CurrentBars[1] < BarsRequiredToTrade)
return;
if (
PositionsAccount[0].MarketPosition == MarketPosition.Flat &&
PositionsAccount[1].MarketPosition == MarketPosition.Flat &&
myCci[0] <= myBuyLevel[0])
{
if (BarsInProgress ==0 || BarsInProgress ==1)
BuyOrder = EnterLong(0,Convert.ToInt32(FrontLegLot), "");
SellOrder = EnterShort(1,Convert.ToInt32(BackLegLot), "");
}
/////////////////////////////// Exit Buy Order ////////////////////////////////////
if (
PositionsAccount[0].MarketPosition == MarketPosition.Long &&
PositionsAccount[1].MarketPosition == MarketPosition.Short &&
((Closes[0][0] - PositionsAccount[0].AveragePrice) + (Closes[1][0] - PositionsAccount[1].AveragePrice) > Profit * TickSize ||
(Closes[0][0] - PositionsAccount[0].AveragePrice) + (Closes[1][0] - PositionsAccount[1].AveragePrice) < -Stop * TickSize))
{
if (BarsInProgress ==0 || BarsInProgress ==1)
ExitLong(0, FrontLegLot, "Exit Buy", "");
ExitShort(1, BackLegLot, "Exit Sell", "");
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