Wrong strategy entry/exit pair with multiple strategies (SIM)

[bretddog]

Hi,

I currently use NT7 in SIM/free license version. This problem was also with 6.5.

If I have two strategies, strategy1 and strategy2, then place buy orders and sell orders in this sequence:

(1 futures contract, both strategies in the same futures symbol)
strategy1 buy 1 @ 6000
strategy2 buy 1 @ 6001
strategy2 sell 1 @ 6002
strategy1 sell 1 @ 6003

..Then the trades table will show:

Strategy1 6000, 6002
Strategy2 6001, 6003

Hence the exits will switch. The strategy with the first (time) entry will always get the first exit price, even if it's an exit made in the DOM of strategy2.

I use DOM setting "DisplaySelectedAtmStrategyOnly".

Is there any way to avoid this problem?

[bretddog]

oh.. sorry.. I just found the "Group trades by ATM strategy". Was not aware of it..

You may delete this topic.

[NinjaTrader_Bertrand]

No worries, great that did it for you - thanks for letting us know.

[bretddog]

Hmm... I'm not so sure after all.

There seems to be some problem with the reporting in the "Trades" tab. Shouldn't I get the same cumulative profit no matter which way I "group" the trades?

See attached images. The "grouped" reporting seemed correct all up to the end, when it suddenly pairs the 5942.5 (buy) exit with some order happening long before, and the 5942 sell is nowhere to be seen. I believe there must be some bug here. It may be triggered by the fact that I have made new strategies during the trading (not sure), but the logic should in any case take care of that. (?)

I will try to trace the behavior and report back if I find out. However I would expect you are familiar with this ? As I think this also happens in 6.5, but not able to confirm that now.

[bretddog]

Obviously the (31.7 point) loss was not visible in my DOMs. It would have been way past my stops, and I also followed them so I know this open (profit) did not show. What was shown was it's profit relative to 5942 entry, as this trade was a scratch.

[NinjaTrader_Bertrand]

I can see your point and the empty strategy does not seem correct either - I'll look into here and attempt to reproduce here. Can you please send me your logs / traces via Help > Mail to Support?

Thanks

[bretddog]

Ok, files sent. The missing trade when "grouped" seems to be 12:15:17 @ 5904.5.

I would like to add that it doesn't feel logical when you add a new strategy, that you have to click on the main window top tabs (switch forth and back) in order for the newly added strategy to show up. Ideally it should show up in the "Templates" listbox as "unchecked" at the moment the strategy is created. The same thing goes for adding new instruments also.

Not sure if that could have anything to do with this problem..

[NinjaTrader_Bertrand]

bretddog, the mentioned issue at this price level occurs directly at the same time as an issue with your IB adapter / connection, which I believe is closely related to the unsupported TWS Version you were using as discussed via our email exchange. Please use the supported 900.6 TWS release when working with NT7 at this time and then let me know should the issue resurface for you -

http://www.ninjatrader.com/webnew/support_interactivebrokers.htm

For the strategies - are you referring to our NinjaScript strategies tab? Due to the new strategy persistence feature those will need to be explicitly enabled, this is correct.

Thanks for your support.

[bretddog]

Ok. Thanks for the support!

Strategy: No I meant the DOM ATM strategies, and it's failure to update the "Account Performance Tab" Templates listbox on creation of a new ATM strategy. And same with Instruments listbox when adding a new instrument.

[NinjaTrader_Bertrand]

You're welcome - the Account Performance trades section would be expected to update as the trade completes, the singular executions would update as they are coming in.

[bretddog]

Really..? Mine only updates when I click the "Generate" button. I thought that was the correct behavior.

What I mean however is:

0. Have Account Performance tab selected..
1. Create a new ATM strategy in DOM
2. Place a trade with it through DOM
3. Go to Account Performance tab, click "Generate"

Trade will show correctly in the table, but the strategy does not show in the Templates listbox. You need to click on another tab, then go back, for it to show. This is however just a minor triviality, as it seems the trades are saved with the correct strategy even under this condition (before user trigger them them to show in the listbox).

[NinjaTrader_JoshP]

bretddog,

What Bertrand meant was that only new information would be available in Account Performance after a trade completes. The new information is only viewable after you press Generate as you have stated though.

The observation about switching a tab and switching back to see the strategy is expected behavior too. The Account Performance does not have the UI refresh to newly added strategies until you do so.

[bretddog]

I've been able to reproduce the behavior of the "missing trade" on B18 with TWS 900.6. But I now found out exactly what I did to make this happen:

1. Chose a DOM ATM strategy, with a stop order (no target)
2. Enter a sell market order in the DOM
   (Move the stop order close to the current price to avoid waiting)
3. Place a second stop order on the DOM, to buy, just above your strategy stop order.
4. Move this last stop order to the same price as your strategy stop order
   (there will now be 2 stop orders to buy at this price as you want to reverse position)
5. When market hits the price, DOM will show you are long 1, but NOT with current strategy.
   Displays "1", and not "1 - 1"
   So far Acc. Performance (Trades), shows correct
6. Now close the order through the DOM by hitting "Close"
7. Account performance (Trades) will now "miss the last trade", when displayed as "grouped"

This trade will later show up in some unexpected way and mess up the Trades performance view.

This is the same behavior that caused my problem as described in post #4, however the cause of the problem is not with multiple strategies, or creating strategies as I thought, but instead what I just described above.

[NinjaTrader_Bertrand]

bretdog, if you close a trade without a working target that could be modified to exit your position as hit the 'close' button, this trade would not be listed if you've then to 'group' by ATM as for this the ATM has to manage the trade to it's closing.

[bretddog]

Bertrand,
I'm not sure I get really what you are saying here.. But it sounds like you are saying that this behavior is "by design", and not a bug.

But this design is then completely flawed and should be changed. You can not have trades not appearing in a standard performance view like this. I can't say exactly what needs to be changed here, but it obviously should not act like it does at the moment. Both grouped and ungrouped "Trades" table views need to hold absolutely all orders, with showing the identical cumulative profit, no matter how the user enters or exits orders.