Synchronization - Need ability to modify fills

[cgeorgan]

Hi,

Not sure if this has been addressed elsewhere but I don't see how it can't;

Attached is a screenshot of what I got when I turned NT7 on this morning. Still in testing; I had a residual Wheat and Soybean position from friday's close (not sure how NT allowed me to sync "in" to a position where the instrument was closed but that's a different matter).

Upon restart this morning, I have two positions that have been synched out for ($45,827), $24,399 and $46,823 in profit (in other words, the positions were bought for nothing and sold at full price).

There's no way to modify these fills - i.e. enter a new entry price or exit price, or to even delete the fills entirely and easily (I say that because it appears I can go in, disable/remove a strategy, then search out any fills and delete them, though I haven't done this successfully yet).

Is there a method by which we can change values in fills? If there isn't, I highly suggest adding it -

Kind Regards,
CG

[NinjaTrader_Brett]

Hello,

Thank you for your forum post.

I dont think theres anything wrong with the account performance report since its showing the PnL from the difference of the entry price and the exit price. It looks like your entry price or exit price is incorrect I can tell from screenshot but what is your entry price listed as?

Also At what time was the syncronization order placed and can you please provide more information what what your doing for this order and if you programmed it into your strategy or you used the auto sync feature of NinjaTrader.

Thank You.

[cgeorgan]

Hello,

Thank you for your forum post.

I dont think theres anything wrong with the account performance report since its showing the PnL from the difference of the entry price and the exit price. It looks like your entry price or exit price is incorrect I can tell from screenshot but what is your entry price listed as?

Also At what time was the syncronization order placed and can you please provide more information what what your doing for this order and if you programmed it into your strategy or you used the auto sync feature of NinjaTrader.

Thank You.

The 'problem' as I would put it is incomplete synchronization logic. "Synchronization" is a tricky subject in general, but it needs a certain level of flexibility to get correct.

What you see here is exactly what you've stated - incorrect entry prices (listed somehow as $0.25). From a coding perspective I wouldn't expect NT to pick up random entry prices if none were ever provided; though I would suggest keeping some sort of execution table written to file somewhere so that perhaps NT could go back in time and recreate a position "by fill" (something I've coded on my own elsewhere).

On the other hand, simply allowing the user to manually manage entry and exit executions would be a simple - and elegant - solution to synchronization.

I've done away with situations in my code where I enter strategy positions outside of real time (a combination of user parameters and the use of the bool "Historical"). I enter all strategies flat now and execute live orders accordingly.

[NinjaTrader_Brett]

Hello,

What I would need here to further assist.

Without more specific information to how your code is working I would only be able to make guesstimates as to why your getting the results that you are.

What I would need is for you send me a note to support at ninjatrader dot com with a simplified version of your code the exhibits the issue you described with a few steps to reproduce this. It is then that I can analyze what is going on here to see if we have a bug here or we have a error in your code.

Please put attn: Brett in the subject line when you send this in and reference this forum post.

I look forward to assisting you further.

[cgeorgan]

Hello,

What I would need here to further assist.

Without more specific information to how your code is working I would only be able to make guesstimates as to why your getting the results that you are.

What I would need is for you send me a note to support at ninjatrader dot com with a simplified version of your code the exhibits the issue you described with a few steps to reproduce this. It is then that I can analyze what is going on here to see if we have a bug here or we have a error in your code.

Please put attn: Brett in the subject line when you send this in and reference this forum post.

I look forward to assisting you further.

Brett-

I wouldn't say it's a coding issue at all. When I experienced this, I had been using a synchronization regime whereby:
-SyncAccountPosition = true;
-Execute live trades immediately.

I also had "close position on session close" enabled. So one confusing behavioral aspect of what happened was that my strategy actually allowed me into a position when my session manager was telling the strategy that market hours had closed...

Anyways, turning on the strategy had me into positions which did have prices on them, oddly, at inception. I was not able to close out the positions - obviously - because it was after session market times and there was no market to "flatten" against.

Thus, when I turned this on Monday, the original entry prices had disappeared from Friday (replaced by $0.25), and I was synched to flat with market prices - resulting in what we saw.

I'm going to e-mail you a log of all this. I can see from my own log that around 2:10 - 2:15 PM, NT attempted to enter a ZW position and did in fact get a filled price of $0.25. How this happened is beyond me but I suspect it's because NT is attempting to force a synchronization outside of defined session times.

The code I'm using is extremely simplistic - nothing you won't see anywhere else.

Thus, when I turned on the strategy (it was probably after the two instrument's close Friday), I was synched into a strategic pos

[NinjaTrader_Brett]

Hello,

Thanks I have recieved the email and I am looking into this.

Thank you for your patience.

[NinjaTrader_Brett]

Hello,

Here is what I found as the cause here.

When you first open NinjaTrader on the 28th at 7:04 AM you had 3 open positions with bad fill prices.

6/28/2010 7:04:40 AM|1|64|Instrument='ZS 11-10' Account='MomentumUnmanaged' Avg price=-0.25 Quantity=1 Market position=Short
6/28/2010 7:04:40 AM|1|64|Instrument='SI 07-10' Account='MomentumUnmanaged' Avg price=19.055 Quantity=1 Market position=Short
6/28/2010 7:04:40 AM|1|64|Instrument='ZW 09-10' Account='MomentumUnmanaged' Avg price=0.25 Quantity=3 Market position=Long

This is where the error is coming from, these bad fill prices either came from a manual execution you added before today (Which I cant see as I dont have access to all your log and trace files only todays). Or was caused by something at some earlier point in time, either yesterday or any time before that.

To resolve this issue please reset the Sim account you created MomentumUnmanaged.

However I would be interested if you have any feedback on if you know when these orders may have been entered before todays date. Or a best guess on the date and then please send in the log file to support at ninjatrader dot com ATTN: Brett with the log file for that date.

Thank You and I look forward to assisting you further.

[cgeorgan]

Thank you for looking into that - I'm not sure how the bad fills got in there; I just started messing with NT last week...it might have been something on my end.

Anyways, to that end, are there any plans to allow manual adjustment of fills?

[NinjaTrader_Brett]

Hello,

No problem, like mentioned there is the ability to add an execution. But there is currently no way to modify.

There is currently no plans to allow this at this time.

Let me know if I can be of further assistance.

[cgeorgan]

Hello,

Here is what I found as the cause here.

When you first open NinjaTrader on the 28th at 7:04 AM you had 3 open positions with bad fill prices.

6/28/2010 7:04:40 AM|1|64|Instrument='ZS 11-10' Account='MomentumUnmanaged' Avg price=-0.25 Quantity=1 Market position=Short
6/28/2010 7:04:40 AM|1|64|Instrument='SI 07-10' Account='MomentumUnmanaged' Avg price=19.055 Quantity=1 Market position=Short
6/28/2010 7:04:40 AM|1|64|Instrument='ZW 09-10' Account='MomentumUnmanaged' Avg price=0.25 Quantity=3 Market position=Long

This is where the error is coming from, these bad fill prices either came from a manual execution you added before today (Which I cant see as I dont have access to all your log and trace files only todays). Or was caused by something at some earlier point in time, either yesterday or any time before that.

To resolve this issue please reset the Sim account you created MomentumUnmanaged.

However I would be interested if you have any feedback on if you know when these orders may have been entered before todays date. Or a best guess on the date and then please send in the log file to support at ninjatrader dot com ATTN: Brett with the log file for that date.

Thank You and I look forward to assisting you further.

Actually, I forgot to ask - there was a second example I sent, where I had a correct entry price for HG, then while the strategy was running, got a 0.25 fill to close? If I haven't sent you that log, let me know -

[NinjaTrader_Brett]

Hello,

Yes, Please send the log to support at ninjatrader dot com ATTN: Brett and let me know about what time this second case occured, Thanks for Mentioning!. Please insure that it is less then 5 mb's when you send it or it may get stuck in our support system.

Thank You.

[cgeorgan]

Hello,

Yes, Please send the log to support at ninjatrader dot com ATTN: Brett and let me know about what time this second case occured, Thanks for Mentioning!. Please insure that it is less then 5 mb's when you send it or it may get stuck in our support system.

Thank You.

Hey-

I must have done a reset on all the executions from yesterday; I can't find the fill.

I will keep my eyes open in testing here for a similar situation, and I'll write you directly -

Thanks again for the help;
CG

[NinjaTrader_Brett]

Hello,

Sounds good, Thanks for reporting in!