Loading Past Trades

[richtobey]

I think it's a new feature to NT8 that the system will load executions for the current day that occurred while NT was not connected to the account. It will build trades in the performance monitor for which it has the open and the close of the position. I'm connected using IB Gateway.

Do I have this right?

Is it possible to get the system to load trades that occurred for the past week or month. Perhaps there is a class method which can be triggered?

Thanks,

Rich

[dalebru]

I think it's a new feature to NT8 that the system will load executions for the current day that occurred while NT was not connected to the account. It will build trades in the performance monitor for which it has the open and the close of the position. I'm connected using IB Gateway.

Do I have this right?

Is it possible to get the system to load trades that occurred for the past week or month. Perhaps there is a class method which can be triggered?

Thanks,

Rich

This is very important to me as well. Currently I must read historical executions from SQL, but I'm hoping NT 8 will expose them.

[richtobey]

I did the same thing. Problem is, if the strategy stops for some reason, NT is closed or has a dropped data feed and an exit occurs, the other half of the trade doesn't get logged. This happens with NT and with my own solution.

Though with add-ins in NT8 I suppose it's possible to write something to talk to the broker (in my case Interactive Brokers) directly and then add the missing trades to NT8 db. I've dug around to see that there is an interface for this.

[richtobey]

Historical load from IB past 24 hours not possible

This is very important to me as well. Currently I must read historical executions from SQL, but I'm hoping NT 8 will expose them.

I appears it's not possible on IB via the api.

https://www.interactivebrokers.com/en/software/api/apiguide/java/reqexecutions.htm

Perhaps an import feature from a text file would be best.

[richtobey]

Sorry for not putting this all in one post. It's been a work in progress. But ! ...

For purposes of loading past trades on the IB platofrm, open TWS > Classic TWS (At bottom), Account > TradeLog> Show Trades > All. Then disconnect the NT8 and reconnect. NT8 setup guide will tell you how to connect NT8 to TWS. After reconnect, all trades for the last week are there.

I use IB Gateway for regular connection though because it stays up 24/7.

Rich

[NinjaTrader_PatrickH]

Hello Rich and Dale,

This would actually perform as it would in NinjaTrader 7. Where execution updates will be received from the API you are connected to, but previous/historical trades outside of NinjaTrader would not be loaded.

[dalebru]

Hello Rich and Dale,

This would actually perform as it would in NinjaTrader 7. Where execution updates will be received from the API you are connected to, but previous/historical trades outside of NinjaTrader would not be loaded.

I'm puzzled, though, that you would bother to store executions in the sdf database never to be accessed, nor to be accessible, forever after...

[richtobey]

Hello Rich and Dale,

This would actually perform as it would in NinjaTrader 7. Where execution updates will be received from the API you are connected to, but previous/historical trades outside of NinjaTrader would not be loaded.

NinjaTrader_PatrickH,

Try it. You will see the the procedure I outline below is loading executions that occurred while NT8 was closed or not connected to the API. You'll have to create some transactions in IB while NT8 is closed. Or you could create the transactions, reset the database, reconnect to the datasource, and presto they are there for the last day or week depending upon how you do it.

Rich

[richtobey]

I'm puzzled, though, that you would bother to store executions in the sdf database never to be accessed, nor to be accessible, forever after...

I'm almost certain these can be accessed from a strategy. In my case, I'm storing a bunch of extra data along with my trade. I use this info in my strategy. So I'm not sure this totally helps me. I really like the way NT8 properly calculates executions from the trades. NT7 had errors with regard to currencies conversions on forex instruments. Also, when an execution occurred outside of NT it would totally mess up the performance queries. So the fact that NT8 loads the missing trades is very helpful.

[NinjaTrader_PatrickH]

Hello Rich,

So are you looking at the Strategy Performance or the Trade Performance?

Are these orders that were submitted from NinjaTrader and filled while NinjaTrader was shut down or submitted and filled with NinjaTrader shut down?

[richtobey]

Hello Rich,

So are you looking at the Strategy Performance or the Trade Performance?

Are these orders that were submitted from NinjaTrader and filled while NinjaTrader was shut down or submitted and filled with NinjaTrader shut down?

Trade performance. Ninjatrader was not connected when the orders or executions happened.

Rich

[NinjaTrader_PatrickH]

Hello richtobey,

I am still trying to re-produce this as it is unexpected behavior. Thank you for your patience.

[dalebru]

Patrick,

I have a feature request about this. Simply expose a method that returns all of the executions history for an account, perhaps limited to a date range. The data is in your sdf database, so I don't see why we shouldn't be able to access them easily, not do I see why they should be ignored by Trade Performance just because a restart of NT loses them on trades held overnight.

Thanks,
Dale

[NinjaTrader_PatrickH]

Hello Dale,

Thank you for the suggestion.

[garfielalvin]

Any update on feature of getting past trades into NT database ?
Or is there a work around solution available?
Please advice, thank you.