$USDJPY value per tick

[adamus]

I can't figure out how to get NT backtesting Strategy Analyzer to the correct values for USDJPY. I haven't looked at the other Yen crosses yet but I assume it's the same problem.

See the attachments.

In the Strategy Analzyer I have a strategy set up on the USDJPY instrument and it gives me mixed results for the performance stats.When I right-click and choose 'strategy performance' -> historical & real-time, I get a weird result for the PnL and looking the trades tab shows the first few trades with the correct values, but the rest are way too much.

It looks like the historical trades profits are calculated wrong by a factor of $100. See the settings in the menu dialog in the attachment.

[NinjaTrader_Jason]

Hello adamus,

Can you please set 'Currency' to US Dollar instead of Japanese Yen as per the USDJPY. Subsequently profit readings should be correct.

I am able to reproduce it when 'Currency' is set to Japanese Yen. However 'Currency' needs to be set to US Dollar (by default it is set to US Dollar as well). Once set to US Dollar it does not result in the unexpected profit readings.

[adamus]

Sorry but it does - as you say it was set to USD by default and I only changed it because I thought that would solve the issue.

In fact it didn't change anything. Is there anything else it could be?

[NinjaTrader_Jason]

My apologies, I was incorrect in my statement that I was able to reproduce it using Japanese Yen as Currency. I accidently scrolled the Mode setting during testing, which set it to Points. This caused it to look like the issue you reported.

We released a new beta version today (7.0.0.20). Could you please upgrade.

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

Check if the issue persists. Can you please test the SampleMACrossOver strategy as well using the same historical data.

If the issue only occurs using your strategy only, could you please send it. You can forward it to support[at]ninjatrader[dot]com, reference this thread and put 'Attn Jason' in the subject header.

[adamus]

Hi Jason,

I installed beta20 and set up SampleMACrossOver.

If I run the strategy trading 1,000, then I get the results I would expect. But it's in yen. So I'd trade 100,000. But the strategy analyzer is displaying it as dollars.

And changing the currency in the Instrument Manager isn't making any difference - it should make my dollar PnL display correctly.

And since the markets are closed while I'm doing this, I'm not seeing the correct values which I was seeing last week for the real time trades. This is just historical.

[NinjaTrader_Jason]

I tested the SampleMACrossOver strategy using order quantities of 1000 and 100,000, however PnL was reported as expected on my end.

Can you please go to Tools-->Options-->Data-tab and click Reset Instruments. Subsequently restart NinjaTrader and perform new backtests.

Let me know if the PnL discrepancy persists.

[adamus]

Hi Jason,

I'm dumbfounded. I did a complete de-install of beta19 before I installed beta20. I even moved the user ninjatrader directory and copied over my strategies and indicators.

I also reset my instruments.

None of this did anything. I still see 100x too much $ per tick.

Why would it be different on my machine? I guess I'm the only one reporting this. I guess it's not critical so long as it reports the results right when it's live. Backtesting results are fine too.

[NinjaTrader_Jason]

Unfortunately I am not sure why this occurs on your end. Do you have any specific software installed on your PC related to numeric values?

Your initial report referred the Strategy Analyzer. So the issue does not occur in the Strategy Analyzer anymore, but only when running a strategy on real-time data in simulation, correct?

Does the PnL report 100X consistently for each trade or does it occur only for some trades as your initial report?

[adamus]

Hi Jason,

I just have the software I need for trading, plus firefox, acrobat reader, ftp client, servers alive, hmm - nothing else I can think of. What would effect NinjaTrader like that?

Just to clarify this issue only occurs in the historical results for strategies running and enabled in the control center. Backtesting results in the strategy analyzer are unaffected. Sorry for the confusion but I thought the window that comes up when you click on "Strategy Performance -> something" was in fact the Analyzer.

So you only see it when you look at Strategy Performance -> Historical in the Control Center. If you look at Strategy Performance -> Real-time, then you see correct numbers. And if you look at "Real-time and Historical" you see them both - correct and then below, incorrect. See my original posts, there's a screenshot.

[NinjaTrader_Jason]

I am not aware of any software that would affect NinjaTrader like that - I was just looking for a potential cause.

I see - I tested it on my end using the Market Replay connection and I was able to reproduce the PnL discrepancy between historical and real-time orders.

I will forward your findings to Development. Thank you for reporting.

[adamus]

That's a result! Another bug pinned down by my razor-like analysis

[mgin98]

same thing here on v19

I'm seeing the same thing running v19 on two different PCs. The white pic is my laptop where I'm in a trade during replay and the pnl is calculated properly. The black pic is my desktop where I simply entered a new position and the pnl is off by a factor of 100. Wierd thing is, my desktop just started doing this after I rebooted it last night. Now this morning and I can't get pnl to calc properly.

[NinjaTrader_Austin]

mgin98, please try restarting your computer again and see if that makes the issue go away. If not, you'll probably have to wait until Beta 21 is released for a fix to this issue.

[mgin98]

Just weird. I haven't rebooted my PC yet, but I left it on since yesterday on a paused replay session. I modified the "Points Value" in Instrument Editor yesterday from 1000.00 to 10.00 to workaround the pnl issue which worked fine all day. Today, I hit "play" on the replay session to continue from where I left off yesterday and entered a trade only to see it off again and had to change it from a "Points Value" of 10.00 to 1000.00 to get the pnl to calc correctly. Will see later if the reboot helps, otherwise, will skip 20 and wait for 21.

[mgin98]

Reboot cleared the issue for the first trade in replay session, but subsequent trades reproduced the issue. Same if I reset the replay101 account. Only way it works is if I adjust the points value back and forth between 1000 and 10.