Performance calculations messed up with IB

[NinjaTrader_JoshP]

adamus,

I am not following you. What exactly are you looking at from where? Please see my screenshot in post #7. In that Control Center tab near the top you will find From and To dates.

[adamus]

I'm talking about the right-click option on the strategy in the strategies tab.

[NinjaTrader_JoshP]

If you select that you get all trades based on the starting date of the strategy. When you added the strategy you could choose how many days to load. That determines how much historical reporting you would get. Selecting real-time would be real-time trades only. In these cases there would be no date range to select.

[adamus]

Josh,
when is the strategy starting date set or reset? Is it only when I first set up the strategy, or is it reset to a newer more recent starting date when I shutdown NT or similar actions?

Edit: actually I am now not certain how the settings for a strategy start time interact.

I have a strategy that I am trying to run in simulated mode and it doesn't trade despite running for a week on 4 diff markets with expected trade rate of 0.3 per day.

When I run it in backtesting I see that the 'Min. bars required' are counted from the start date. Is that correct? In what situations do I use this setting? I want backtests to run for the complete time of the period that I stipuldate, so ideally this would be zero so that the strategy starts trading immediately at the start date.

When run in real-time, there is also the 'Days to load' setting. If my strategy has a 5 day moving average, would I set 'Days to load' to 5?

Sorry but the help is a bit lame here. It explains that the 'Days to load' setting sets the days to load. I guess the Help author didn't know either!

[NinjaTrader_JoshP]

adamus,

The start date of your strategy is a rolling start date because it goes by the number of historical days you want to load if you shutdown NT or otherwise turn on/off the strategy on different dates. If you leave it running 24/7 the start date will be whatever is loaded by the "Days to load" parameter and will remain that and just keep processing forward.

"Min bars required" starts counting from the first bar of the start date. Lets say you chose a start day 5 days ago. That means NT will start loading bars for the strategy that correspond with 5 days ago. Then NT will not begin running the strategy till the min bars is met. Default is 20 so that means after 20 bars of that fifth day ago the strategy will actually begin.

"Days to load" means exactly the number of days the strategy will load historically. Setting it to 5 means 5 days will be loaded for the strategy. The strategy will start on the first of those historical dates once the "Min. bars required" is met on that date.

[adamus]

Hi Josh,

thanks for the run-down.

Can you just tell me if I'm missing something obvious, but why shouldn't I set both "Days to load" and "Min bars required" to zero?

[adamus]

Can you just tell me if I'm missing something obvious, but why shouldn't I set both "Days to load" and "Min bars required" to zero?

That is a serious question.

If I have logging print statements in my OnBarsUpdate() method and I see that they are outputting info, does that mean that the strategy has definitely started and is no longer in the buffer zone of "Min bars required" or "Days to load" before hand?

Thanks

[NinjaTrader_JoshP]

Setting both to 0 means you have zero data before hand to "initialize" your strategy. If your strategy uses indicators, without historical data, your indicators may not be calculating correctly. For instance trying to get SMA(20) when you have only 10 bars will yield an irrelevant value. That would mean you are trading off values that are simply irrelevant.

If you simply don't want to process historical bars you should instead just add this to the beginning of your OnBarUpdate()

if (Historical)
     return;

[adamus]

So if I want my indicators to be initialized fully before the trading starts in real-time, I should work out the "min bars required" to initialize them, and then round up that number of bars into the equivalent days, and use that as the "Days to load" parameter.

Is this correct then?

[NinjaTrader_JoshP]

adamus,

Yes, if you are trying to load the absolute minimum number of days.

[adamus]

At least I have a closer understanding now of what I'm configuring. However I am still not completely sure about it.

I have a strategy and it logs output print statements from the OnBarUpdate.

I did the calculation of how many "Days to load" I need.

The strategy uses a 4800 period MA on a 5 mins timeframe.

This is 24000 minutes which is 400 hours or 16.666 days, rounded up = 17 days.

However when I use 17 "Days to load" and 4800 "min bars required", it's not enough for the strategy to start.

It needs more like 20 or 25 days to load.

What am I missing from the puzzle?

Thanks

[NinjaTrader_JoshP]

adamus,

You can't calculate it like that. Trading days are not 24/7 so you can't just calculate 24000 minutes as 400 hours and translate that into days. Each trading day only has x amount of bars depending on the instrument. You would need to calculate it based from the number of bars existent per day.

[adamus]

OK I see.

Thanks for the info.

[Harry]

DOM - no profits or losses shown when flat

NT 7.0.0.20

First connection Kinetick, second connection InteractiveBrokers. Alternatively only connected to Interactive Brokers.

The DOM and the chart trader do not display profits or losses when flat, although selected under settings.

When I switched the DOM to ES, when I had a position on with TF, the realized profits were shown Since I closed the TF position, nothing is displayed. Disconnecting and reconnecting to Interactive Brokers does not help. Nothing is shown.

Happens every day. I have neutralized my account number in the DOM.

[NinjaTrader_JoshP]

Harry,

This is what I tried on my end and it seemed to work.

1. Connect IB
2. Open SuperDOM, set settings to allow for show PnL when flat
3. Select live account, select TF, place buy market trade
4. Switch to ES
5. Go to Control Center, wait for price on TF to move up/down a bit, close market trade
6. Look at SuperDOM, PnL counter is now updated to reflect the closed position

What steps am I doing differently than you? Thank you.