Commission on multi-instrument automation

[tradetree]

I have a strategy that runs statistics on a future (QM 3-11) and then buys an ETF stock (UCO). So the 3 instruments on the chart are QM/UCO/SCO, 15min bars. The strategy is profitable, but the commission is (falsely) so high that it makes it unprofitable. It is computing $2 / share rather than per trade, so 240 shares costs $465 in one single trade! The total commission is $1396 for the 3 trades.

I looked at the underlying instruments and commissions are $0 futures, $0 stock in the instrument manager. In Tools->Options->Commissions I have $0 for IB commissions and $4 for Vision Financial futures. The QM is Vision Financial, so it must be treating my 240 shares as 240 contracts and charging $4 per round trip or something like that. But how can I get it to compute commission based on the ETF stock actually being traded? Shouldn't it be $0 because my IB commissions are currently $0? (I actually want to get my IB commissions setup right as well, but one thing at a time).

[NinjaTrader_RyanM1]

Hi TradeTree,

Thanks for the report. We'll look into this here.

[NinjaTrader_RyanM1]

I was not able to reproduce this here. Tried with real time trades and similar setup. Commission was not used for the stock trades. The commission calculations for a backtest are based on the settings defined under the Simulator connection.
Are you looking at performance in real time or backtest?

[tradetree]

This is from Strategy Performance. The strategy is being run on a chart. It doesn't appear to matter what account, Sim101 or a real account. Here is the Trades tab:


1 UCO Sim101 TradeCOM2 Long 231 10.85 11.44 11/3/2010 11/13/2010 UCO Exit long -0.13 -0.13 462 0.01 0.11 0.24 9
2 UCO Sim101 TradeCOM2 Long 241 10.15 10.5 11/20/2010 11/27/2010 UCO Exit long -0.16 -0.27 482 0.03 0.05 0.21 5
3 UCO Sim101 TradeCOM2 Long 226 11.02 12.26 12/2/2010 12/8/2010 UCO Exit long -0.07 -0.32 452 0.01 0.11 0.18 5

[NinjaTrader_RyanM1]

Please send us your database file and I will try this here. This can be attached with Help > Mail to support feature. Also, let us know your connection order - Vision first or second?

[tradetree]

I sent it in, but I did get some kind of log error about "Failed to compact database." So let me know if it worked or not. I connect Vision Financial as primary and Interactive Brokers as secondary. Vision does not have stock data, so all stock data comes from IB.

[tradetree]

Ryan,
Any word on progress with this? It is very reproducible so if you need anything else it will be easy to provide it. I do realize it is the holidays, so just let me know what the schedule looks like.

[NinjaTrader_RyanM1]

Hi TradeTreee,

I apologize - it seems you didn't get my email. I actually need your config.xml file in addition to the database. This is stored in My Documents\NinjaTrader\Config.xml

I will look at this next week after the break. Thanks and Happy Holidays!

[NinjaTrader_RyanM1]

Thanks for the config file. I did not run into any issues testing this.

Historical Performance - uses correctly the commission settings defined under the simulator connection.

Real Time Performance - uses correctly the commission settings defined for the connections you're using.

You defined commission levels for Simulator - Stocks, and Vision Stocks and it was using these in performance calculations.

[tradetree]

That's because you don't have a multi-instrument strategy that trades on the secondary instrument. If you don't reproduce the conditions you won't get the same results.

Thanks for the config file. I did not run into any issues testing this.

Historical Performance - uses correctly the commission settings defined under the simulator connection.

Real Time Performance - uses correctly the commission settings defined for the connections you're using.

You defined commission levels for Simulator - Stocks, and Vision Stocks and it was using these in performance calculations.

[NinjaTrader_RyanM1]

I did use a multiInstrument strategy. If you are still seeing issues with this, please send a simple strategy I can use to see the issue and provide the steps to see it. If there are any changes to the commission setup, please send an updated config.xml file as well.