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Folks,
In the EL 2000i reference manual [1], p.125, a distinction is made
between selling N shares and selling N shares total. The former sells
N shares from every entry and the latter from the first entry.
I'm finishing up my EL to C# (NinjaTrader's NinjaScript) translator
and find myself unable to translate this behavior directly.
Is this behavior is still true in newer versions of TS. Also, how
important is the ability to sell from every entry as opposed to
treating all entries as a net position?
Also, what happens if there are two entries of 100 shares each and I
sell "150 shares total"? Will TS sell 100 shares from the first entry
and then 50 from the second or will 50 shares just be ignored?
Thanks in advance, Joel
[1] Reference manual quote
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If you do not specify the number of shares or contracts in the Sell
instruction, the exit order closes out the entire long position,
rendering your position flat.
When you specify the number of shares/contracts, the Sell instruction
exits the specified number of shares/contracts from every open entry.
Therefore, if the Strategy allows for pyramiding, and has bought 500
shares twice (for a total of 1,000 shares), and an order to Sell 100
shares is placed by the Strategy, the instruction will exit a total of
200 shares: 100 shares from each of the two entries.
After buying a total of 1,000 shares (500 at two different entry
points), the order based on the instruction Sell 100 shares next bar at
market exits a total of 200 shares, 100 from each entry, leaving you in
a long position consisting of 800 shares.
However, if you want to exit a total of 100 shares, you can use the word
Total in the Sell instruction. Using the word Total instructs the
Strategy to exit 100 shares from the first open entry (first in, first
out).
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