PnL Question

[SodyTexas]

I'm Stumped,

What I am trying to is keep track of a trades Profit and Loss per round trade, not per fill. For example If I buy 3 contracts and when they are sold 2 are filled on one lot and 1 at another price. I want to store the PnL in a DataSeries for this trade as one trade (the 3 contracts).

My code is recording PnL for each lot not the round trade. HELP!

protected override void OnExecution(IExecution execution)

		{
			// Check to make sure there is at least one trade in the collection
			if (Performance.RealtimeTrades.Count > 0)
			{
				// Get the last completed real-time trade (at index 0)
				Trade Trade1 = Performance.RealtimeTrades[Performance.RealtimeTrades.Count - 1];
				
				// Calculate the PnL for the last completed real-time trade
				double lastProfit = Trade1.ProfitCurrency * Trade1.Quantity;
				Print("Last PnL*" + PnL[1] + " Current PnL: " + PnL[0] + " LP " + lastProfit);
				
				if(lastProfit != PnL[1]) {PnL[0] = lastProfit; Print("PnL " +PnL[0]);}
				Print("The last trade's profit is " + lastProfit);

And what it is printing is:

Last PnL*0 Current PnL: 0 LP -379.999999999973
PnL -379.999999999973
The last trade's profit is -379.999999999973

Last PnL*0 Current PnL: -379.999999999973 LP -379.999999999973
PnL -379.999999999973
The last trade's profit is -379.999999999973

Last PnL*0 Current PnL: 0 LP -170.000000000005
PnL -170.000000000005
The last trade's profit is -170.000000000005

Last PnL*0 Current PnL: -170.000000000005 LP -179.999999999995
PnL -179.999999999995
The last trade's profit is -179.999999999995

Any help pointing me in the right direction would be very helpful!!

Cheers,

SodyTexas

[NinjaTrader_PatrickH]

Hello SodyTexas,

Thank you for your post.

Can you provide the code used to set the Pnl DataSeries?

I look forward to your response.

[SodyTexas]

PnL Question

Patrick,

First, thank you for taking the time to help!

I thought I did include the code,

This brings in the PnL:

double lastProfit = Trade1.ProfitCurrency * Trade1.Quantity;

Then: I record it in a data series here:

if(lastProfit != PnL[1]) {PnL[0] = lastProfit; Print("PnL " +PnL[0]);}

I do have a snippet of code that makes PnL zero at if I am on the first bar and also the basics to add a dataseries.

But I am thinking I am headed the wrong direction because it is bringing in just the PnL for the lots and not the entire trade.

Regards,

SodyTexas

[NinjaTrader_CalH]

SodyTexas,

Thank you for the info.

What is the code that creates the PnL[0] dataseries? Not necessarily the lastprofit but the variable PnL

[SodyTexas]

#region Variables
private DataSeries PnL;

protected override void Initialize()
{
PnL = new DataSeries(this);
}

protected override void OnBarUpdate()
{
//No PnL information in this 
}

protected override void OnExecution(IExecution execution)
{
if (Performance.RealtimeTrades.Count > 0)
{
	// Get the last completed real-time trade (at index 0)
Trade Trade1 = Performance.RealtimeTrades[Performance.RealtimeTrades.Count - 1];
				
	// Calculate the PnL for the last completed real-time trade
double lastProfit = Trade1.ProfitCurrency * Trade1.Quantity;
				
if(lastProfit != PnL[1]) {PnL[0] = lastProfit; Print("PnL " +PnL[0]);}
Print("The last trade's profit is " + lastProfit);
}

This is all the code pertaining to PnL, Again, I gave you the code already that creates the PnL Data Series. If you guys can't see how I am doing this I am asking the wrong people. But, I don't want to be mean so I apologize if I am confusing you and I do appreciate the help.

Cheers,

[NinjaTrader_PatrickH]

Hello SodyTexas,

Thank you for your response.

I see you are not setting the DataSeries but using '=' for the value. First item I notice is that you print the PnL of the current index value (0) before you set this value:

	Print("Last PnL*" + PnL[1] + " Current PnL: " + [B]PnL[0] [/B]+ " LP " + lastProfit);
				
				if(lastProfit != PnL[1]) {PnL[0] = lastProfit; Print("PnL " +PnL[0]);}

You could instead do the following before printing the values:

if(lastProfit != PnL[1])
PnL.Set(lastProfit);

And then print out the values. I would also include Time[0] with these prints in order get a timestamp of when these values are set, you can then compare these to find out if your calculations are correct.

Please let me know if I may be of further assistance.

[SodyTexas]

Hello SodyTexas,

Thank you for your response.

I see you are not setting the DataSeries but using '=' for the value. First item I notice is that you print the PnL of the current index value (0) before you set this value:

	Print("Last PnL*" + PnL[1] + " Current PnL: " + [B]PnL[0] [/B]+ " LP " + lastProfit);
				
				if(lastProfit != PnL[1]) {PnL[0] = lastProfit; Print("PnL " +PnL[0]);}

You could instead do the following before printing the values:

if(lastProfit != PnL[1])
PnL.Set(lastProfit);

And then print out the values. I would also include Time[0] with these prints in order get a timestamp of when these values are set, you can then compare these to find out if your calculations are correct.

Please let me know if I may be of further assistance.

Hey Patrick,

Thanks for taking a look, but I don't think this will resolve my issue. I am sorry if I am not getting my point across.

The issue with what you posted there is the same issue I am having. If I buy three contracts with one EnterLong signal; when I sell them 2 fill with a PnL of 200.00 and the third 199.00, our math would treat them as two separate PnL entries. I would like to treat them as one PnL entry. I been exploring asigning them as tokens in order to look at the PnL per token, but I can't find the syntax for PnL on tokens.

Does that help explain my situation?

Thanks,

SodyTexas

[NinjaTrader_PatrickH]

Hello SodyTexas,

Thank you for your response.

Correct, using IOrder objects you could call the specific orders and tie their PnL together using your own calculation. You would need to compare the fill price of each entry to it's exit and then calculate the PnL based on that for the whole of the "trade".

For information on IOrder objects please visit the following link: http://www.ninjatrader.com/support/h...nt7/iorder.htm

Please let me know if you have any questions.

[SodyTexas]

Thanks Patrick,

I will give it a try..

SodyTexas