Performance calculations messed up with IB

[Harry]

I tried all afternoon. Sometimes the P&L is displayed, sometimes it is not. Just made a test. For the test I used a workspace with 4 charts connected to the DOM, all set to TF. Used the chart trader on one chart as well.

Step 1

Connected to Kinetick first (this is important). Account shown now is SIM, because I have no Kinetick Broker Account. Then connect to Interactive Brokers. Now switch account from SIM to live account via DOM. P&L of this morning is not shown on the DOM. Then switch chart trader from SIM to live account. P&L of this morning is not shown on the chart trader.

Step 2

Enter short position TF. P&L of open position is shown. Switch DOM to ES. P&L of this morning is not shown. Switch DOM back to TF. P&L of open position is shown. Exit short position TF. Total P&L for this morning and new TF trade is now shown.

Step 3

Switch DOM to SIM and back to live account. No P&L is shown, although I am flat.

Repeating Step 2 several times

I enter a position again and exit. This is time no P&L is shown, when flat. Identical with Step 2, but opposite result.

Conclusion

It is completely unpredictable whether P&L will be shown or not, when flat.

[NinjaTrader_JoshP]

Will test again tomorrow when markets are open.

[Harry]

Thank you Josh.

obviously this feature is not important, but in contributes to that feeling "You never know what is happening."

Will test again tomorrow when markets are open.

[NinjaTrader_JoshP]

Harry,

Unfortunately I am completely unable to reproduce this at this point in time. The PnL shows up every single time accurately regardless of how I change instruments, when I place trades, where I place the trades from, or what account is selected. I can cycle through different instruments, different accounts, etc. and it will all show me the realized PnL.

[adamus]

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.

Hi Josh,

does the "min bars required" parameter refer to all of the bars series used by the strategy, so if I add a longer timeframe series in Initialize(), the min bars required will take that longer time frame into account?


Thanks

[NinjaTrader_JoshP]

adamus,

"Min. bars required" is effective on all series. Only when all series have met the requirement will the strategy begin. If one series doesn't meet the requirement then the strategy will not process.

[adamus]

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.

Hi Josh,

just to go back to this quickly - are the days included in the DaysToLoad parameter business days when the market was open, or weekdays only, or perhaps 7 days a week?

Thanks

[NinjaTrader_Austin]

adamus, I believe DaysToLoad includes all 7 days in the week, but I will have Josh get back to you tomorrow with a direct answer.

[NinjaTrader_JoshP]

It is indeed 7 days of a week.

[adamus]

OK, thanks for the info.

[adamus]

I am deleting and recreating all my strategies to try to resolve this issue, where I'm seeing entries and exits mixed up by the performance report on the strategy, positions reported wrong, and performance numbers just plain wrong and sometimes absurd.

After re-enabling the strategies on Sunday evening last, all my exits have been detected as overfills by NT, so I assume that there is a record somewhere for the strategies including details of executions and positions which is wrong. When I have deleted and recreated all my strategies, can I clean up and erase the old data somehow using the Options dialog?

[adamus]

description of issue currently

Deleting and recreating the strategy didn't solve the issue for me.

I recreated the strategy this morning and have one trade executed and closed now.

In the 'Executions' tab on the Control Center, it shows the entry was an exit and the exit is identified as an entry, and the position size is given as 100000S but in actual fact, it's flat.

If I right-click the strategy in the Control Center and call up the real time performance window, I see the executions in the Executions tab there are identified correctly.

So it looks like there's something wrong in the Control Centre that is being taken into account, but that the real-time performance window is able to deal with it.

Additionally when looking at the instrument on a chart with the chart trader enabled, the executions are flagged with the arrows on the wrong side of the bar. No doubt the same problem as the confusion of entries and exits on the Executions tab.

[NinjaTrader_RyanO]

Hi Adamus,

Thank you for that explanation of the issue. This is something that we have seen before, and are working to resolve it. Presently, it is a known issue with a developmental fix.

If you change the dates for the performance report to being with yesterday's date and end with today's date you should get an accurate report for two days, but the report for one day will show the first entry as an exit until we can resolve the issue.

What you can do is reset your database to clear all of the order executions, but before doing that you may want to create a backup file of your current database. To reset the database please go to Tools-->Options-->Data.

[adamus]

That's encouraging. Do you know which beta release will contain the fix?

Thanks

[NinjaTrader_RyanO]

Hi adamus,

Unfortunately, I do not know the precise version but can you please send an email to support[at]ninjatrader[dot]com using the Help-->Mail to Support feature and include your database file and log and trace files.

Please reference this thread and put ATTN RyanO in the subject or body of the message that way I can more fully document the issue using your database.