Not Enough Equity Error On Replay101 when set to Max

[DaveE]

Bertrand,

Re your checklist:
I am using NT 7 beta 14 (but noticed the problem previously in NT6 - did not report it because assumed it would be fixed in NT7).
I upgraded to TWS 900.6 as per NT 7 instructions.
I have done "reset instruments" and restarted NT.
I have set "quote currencies" to half-pip (was previously 10th pip due to advice from Ryan Olson here http://www.ninjatrader-support2.com/...ad.php?t=26913 to allow dual use with MB trading and IB)

Subsequent testing today:
Set "record for market replay".
Connected to IB to gather market replay info for EURUSD for today.
Disconnected from IB
Connected to Market Replay for today.
Opened new chart for Range 1 EURUSD and ran replay a bit (here noticed the oddity that Range was NOT filling in gaps as it had been when using "quote currencies"=10th pip and Range 5 - but that's for another thread)
Reset cash value for simulator to 100,000 (also set Margin=1 due to previous advice).
Started strategy, and ran Market Replay further until it completed the first trade.
The first trade was an EnterShort(DefaultQuantity) followed by ExitShort (I had set DefaultQuantity to 50,000 to remove it from the list of suspects).
The Short was entered at 1.3203 and closed at 1.3207. The commission for EURUSD is set to $2.25.
Since Qty was 50,000 I would expect a net profit of $20. Gross profit of $15.50.
Now I look at the Accounts tab and I see Replay101 has recorded "Realized PnL"=15.50 correct!
But "Cash Value" has been increased to 2,099,995.50
So $1999995.50 has been added
I think this represents the net profit incorrectly multiplied by Instrument "point value" (100000).

[NinjaTrader_Bertrand]

Dave, thanks for the detailed reply, I was able to reproduce here in my testing - we'll look into the issue.

[DaveE]

Bertrand,
Thanks for looking into this.
Obviously I got Gross and Net mixed on previous post. The net after commission is what should be used to adjust the Cash.
Possibly not only the 100,000 multiplier issue needs fixing but also the fact that its using Gross instead of Net to update Cash.

[NinjaTrader_Bertrand]

Guys, thanks all for the persistence in demonstrating the issue and for reporting in - we've added a fix for the next beta round taking care of those PNL reporting issues for currencies on Market Replay.

[DaveE]

Bertrand,

My testing of the fix for NT7 b15:
Repeating the test below I now get Realized PnL =15.50 (correct net value as before), and "Cash Value" has been increased by 20 (the gross value). This is not fully correct since cash should be updated after commission is deducted.
I have (in Options/General) "Apply commission to PnL calculations" set. Perhaps the code that updates Cash does not look at this flag.

However I can confirm that the main bug (incorrect multiplication by 100000 in case of most FX instruments) has been fixed.

The main problem (pre beta 15) was that small losses caused Cash to run out quickly and stopped the strategy from running.
What I intend to do in beta 15 is simply ignore the reported "Cash Value" (since it does not take commission into account) and rely on "Realized PnL" instead.

Thanks to everyone at NT who contributed to getting the main problem fixed.

I will be looking into buying NT later today if my strategy works through enough Market Replay.

[NinjaTrader_Bertrand]

You're welcome, thanks for working with us to isolate out and reporting in - how have you setup your commissions for the currencies in detail? Could you perhaps post a screenshot so I can check into here? Thanks

[DaveE]

Commission

Bertrand,

My commission setup is very simple.

I have not changed anything in "Options/Commission" (so for instance its the default "No commissions defined" for Currency Replay, Currency Simulator, Currency IB et).

In Instrument Editor for EURUSD:
For Replay (& Simulator & IB):
"No commission levels defined"
"Minimum Commission"=2.25

[NinjaTrader_Bertrand]

Thanks Dave, the replay one should do, is Apply PNL checked under Tools > Options > General?

Do you see any commissions listed for your executions while in MR mode in the Control Center?

Thanks

[DaveE]

is Apply PNL checked under Tools > Options > General?

Yes

Do you see any commissions listed for your executions while in MR mode in the Control Center?

Yes

[NinjaTrader_JoshP]

DaveE,

Can you please see if adding it to the Tools>Options commission levels does anything?