Performance calculations messed up with IB

[adamus]

NT7 beta20 can't handle a week's trade results in the performance results for my strategies.

I've attached a screenshot of one strategies trades and it looks as if NT has confused the entries and exits. It shows more than 1 simultaneous trades and my strategies are all set to trade only one lot at a time.

I suspect it stems from the disconnections caused by disconnecting from IB and re-connecting, especially when positions are one. This morning for instance, I had to disconnect and on reconnection, the strategy would not recognise the position.

At several points during the week NT was disconnected from IB and the price data was distorted, sometimes offset from the correct price by 100 or 200 ticks, sometime just all the same, flat-lining for minutes or hours, requiring a historical data reload.

I also had to do historical data reloads to stop bad ticks from ruining the charts and today I saw a trade which had happened this morning using the live data with the bad tick. Once reloaded, the bad tick was gone, but the strategy didn't produce the trade either.

Perhaps you've been informed of the same situation for other traders. I'd appreciate some feedback and would be happy to help get debug info for you dev team.

Thanks

[NinjaTrader_JoshP]

Please try increasing the report time frame. Trades are based on the executions and the filtering of executions is not done based on complete trades so the reporting can appear like that. You would need to ensure you get a report shown from the beginning or where you were last flat.

[adamus]

Josh, all the trades for that were finished when I ran it, and anyway NinjaTrader should deal with whatever I do and not just serve up garbage! I know you guys see a lot of bugs in NT but you can't expect me to accept this weird stuff.

[adamus]

Here's the list of trades.

Notice that I label all my entries and exits.

If you want, I'll get the trade report from IB too. Actually I'll do that anyway for my sake.

EDIT: the website won't let me upload .xls files so I cut & paste it into word. Hopefully it's still readable.

[NinjaTrader_JoshP]

adamus,

Trade #3 listed is the problem right there. Action is to sell 100000 off a flat state ending with a position of 0.3M when it should be 0.1M.

Please send in your database. Thank you.

[adamus]

OK I've emailed in the database for your attention. Hope it helps.

[NinjaTrader_JoshP]

This is what your database looks like on my end which is accurate. I am on latest sources for NT7 which has had some tweaks to Account Performance after B20. What I suggest is for you to try it again after the next release as it seems to be working on this latest version. Thanks.

[adamus]

I'm checking my trades for last week and when I look at the strategy performance via the right-click menu -> real time option, it only goes back to Tuesday. I guess this is a default which loads up 7 days?

Do you have plans to allow the user to choose the number of days? It's pretty inconvenient not being able to include the trades from Monday.

The date for Tuesday is given in the summary tab. However strangely if you look in the trades tab, it includes the trades from Monday.

Thanks

[NinjaTrader_JoshP]

I'm not quite sure I am following you. Your report was of 8/20 which is a Friday. A report from Friday would include the next Monday's trades on 8/23. Please clarify. Thank you.

[adamus]

I was looking at a new performance report which I opened last night. I wasn't even aware that I could save them from one day to another.

[NinjaTrader_JoshP]

adamus,

What is the From date and the To date you are using? The performance report will include executions starting from the From date. The only time you would see executions before the From date is if the From date starts without a flat position. In such instances you will see trades prior to it to a point where it was at a flat state.

[Harry]

NT 7.0.0.20 with TWS 906.8

If you activate "show profit and loss when flat", neither profit nor loss is shown. Show realized PnL when flat is set to "true" on both DOM and charttrader, but ignored.

[NinjaTrader_JoshP]

Attached is a screenshot of my Chart Trader with "Show realized PnL when flat" set to true. My position is flat and we can see the PnL.

Harry, it would be important to have an account selected that actually holds the trades in NT for the DOM/Chart Trader. If you can still reproduce we will need some steps to see how exactly you achieve this. Sending in your database would be needed as well. Thanks.

[Harry]

In the mean time it works here as well.

I think that the information has not been transmitted temporarily. I also remember this problem, when the entry price for a position is communicated as zero for a couple of minutes, compressing the chart with the chart trader.

Will observe this and come back, when it repeats itself.

Attached is a screenshot of my Chart Trader with "Show realized PnL when flat" set to true. My position is flat and we can see the PnL.

Harry, it would be important to have an account selected that actually holds the trades in NT for the DOM/Chart Trader. If you can still reproduce we will need some steps to see how exactly you achieve this. Sending in your database would be needed as well. Thanks.

[adamus]

adamus,

What is the From date and the To date you are using? The performance report will include executions starting from the From date. The only time you would see executions before the From date is if the From date starts without a flat position. In such instances you will see trades prior to it to a point where it was at a flat state.

I can't define the From and To dates. They are always From today and To 7 days ago - actually now it is showing From 30th and To 25th. Can I set that somehow?