Realized PnL with ATM in Script

[NinjaTrader_JoshP]

We do not have reference samples for ATM strategies in NinjaScript. You need to post your code.

[Trade1953]

OK, I THINK I might have found the problem, but not sure. This code is in my strat which was copied from the ATM Sample.

} // If the strategy has terminated reset the strategy id
else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
atmStrategyId = string.Empty;

Since the GetAtmStrategyPnL uses the atmStrategyId, could this be why it's not adding up the PnL? It LOOKS like this resets it back to zero every time a trade is done. When is says "If the strategy has terminated", is it talking about the ATM strategy and not the NinjaScript strategy terminating?

Is this a simple matter of taking this reset code out of the strategy?
Joe

[NinjaTrader_JoshP]

You would always want to reset it. Just store the value in your own variable before you reset it and aggregate that for your PnL.

"if strategy was terminated" should be referring to ATM strategies.

[Trade1953]

OK, thanks. Let me see if I can figure out how to do what you just told me. You make it sound so simple but for a non-programmer like me it's like chewing on tin foil.

[NinjaTrader_JoshP]

In the NinjaScript create yourself a variable.

someVariable += GetAtmStrategyRealizedProfitLoss(atmStrategyId);

Then you can reset your atmStrategyId after you save out your PnL.

[Trade1953]

That helps a LOT!!! Thank You!!
I didn't know we could use a += so I guess that's what makes them add together.

The cummulative trades, cummulative profit works great in a plain old Ninjascript strategy, but not with one that creates an ATM.

Now if I can just get it to work......
I appreciate it Josh!

[NinjaTrader_JoshP]

Right. You need to aggregate them yourself when dealing with ATMs.

[cirion]

Josh (and NT support) you are so much help i thank you for sticking with us through our noobness. NT is a great product on its own but having support like you provide puts it above the rest imo. Thanks

Will give this a go tonight but i believe it will solve my issue.

[Trade1953]

Josh,
Great news is that it works! I also add my THANKS to cirion's.

HOWEVER.........

It doesn't seem to be adding (subtracting) a loss to the realized PnL. It looks like it only sees the profitable trades to aggregate. I just ran the strat on yesterdays data.
Daily Profit Goal was set to $200.
First Trade: - $202.50
Second Trade: $95.30
Third Trade: $95.30
Fourth Trade: $95.30

Then it stopped trading. Total Realized PnL was $83.40. Even if it doesn't see commissions it should have kept trading since the PnL limit was $200 and it would have only been $100 to the good.

The total for the profitable trades was $285.90, which is over $200, so it quit.

Any ideas?? I double checked the Time and it was definitely in bounds and conditions met.
Joe
PS - when this thing works as advertised I'll post a sample strat that others can use.

[NinjaTrader_JoshP]

Please post code of what you have. Thank you.

[Trade1953]

OK. I'm posting the part I think you will want to look at.
The code you had me put is is just under OnBarUpdate.

#region Variables
// Wizard generated variables

// User defined variables (add any user defined variables below)
private double realPnL = 90.000;
private string atmStrategyId = string.Empty;
private string orderId = string.Empty;
private double profit= 0;
#endregion

protected override void Initialize()
{
CalculateOnBarClose = true;
}

protected override void OnBarUpdate()
{
// Checks for total realized PnL
profit += GetAtmStrategyRealizedProfitLoss(atmStrategyId);

**** ALL BAR CALCULATION STUFF LEFT OUT****

// calculate the highest high for this range
double highestHigh = MAX(High, startBarsAgo - endBarsAgo)[endBarsAgo];

// calculate the lowest low for this range
double lowestLow = MIN(Low, startBarsAgo - endBarsAgo)[endBarsAgo];

if (Historical)
return;

// Check for valid condition and create an ATM Strategy
// Condition set 3
if (ToTime(Time[0]) >= ToTime(7, 50, 0)
&& ToTime(Time[0]) <= ToTime(14, 0, 0)
&& orderId.Length == 0 && atmStrategyId.Length == 0
&& profit <= realPnL
&& highestHigh > 0 && Close[0] > highestHigh)

{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Action.Buy, OrderType.Limit, highestHigh, 0,
TimeInForce.Day,orderId , "2 Point",
atmStrategyId);

}

// Condition set 4
if (ToTime(Time[0]) >= ToTime(7, 50, 0)
&& ToTime(Time[0]) <= ToTime(14, 0, 0)
&& Position.MarketPosition == MarketPosition.Flat
&& orderId.Length == 0 && atmStrategyId.Length == 0
&& profit <= realPnL
&& lowestLow > 0 && Close[0] < lowestLow)
{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Action.Sell, OrderType.Limit, lowestLow, 0,
TimeInForce.Day,orderId , "2 Point",
atmStrategyId);

}

// Check for a pending entry order
if (orderId.Length > 0)
{
string[] status = GetAtmStrategyEntryOrderStatus(orderId);

// If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
if (status.GetLength(0) > 0)
{

// If the order state is terminal, reset the order id value
if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
orderId = string.Empty;

}
} // If the strategy has terminated reset the strategy id
else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
atmStrategyId = string.Empty;

Thanks Josh, you have the patience of a saint.
Joe

[NinjaTrader_JoshP]

You should not put it up on the top there.

Please just try aggregating it as your position is closed.

...
else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
{
     profit += GetAtmStrategyRealizedProfitLoss(atmStrategyId);
     atmStrategyId = string.Empty;
}

[Trade1953]

Josh, it's working perfectly now!!! You are a genius! Case closed.
Joe

[Trade1953]

If anyone is following this thread, I just posted a Sample RealizedPnLwithATM strategy that folks can use as an example of how to do it.
Thanks to Josh!!!!!!!!!
Joe

[delek77]

Exit based on PNL

Hello,
I want to know if its possible and how it would be good.

FLAT position and remove pending orders on a day of trading based on profit trading PNL(+200) or PNL(-1000) incluiding comissionsfor stop trading.

Thanks.
Delek