Weird values for Yen pairs / distorts stats

[nkonialidis]

Hi,

I am running some simulated strategies on FX pairs. When I trade Yen pairs (e.g. GBPJPY or EURJPY), and I look at the trade analysis, the some values of the gains and losses are correct, but the MAE, MFE and ETD are off by a wide margin.

Please refer to the attached spreadsheet. I have taken a sample of my trades. A s you see, the % values are correct. The yen trades are highlighted in Green. For instance, trade number 1 had a MAE of 0.11%. (K8).

However, the same trade which made 6 pips (short from 114.10 to 114.06) gave me a dollar gain of 600 points in the table, not 6, and a MAE of 1200 points, not 12 as it should (cells V8 and X8). Points are highlighted in yellow.

The dollar value for the gain or loss is correct (AI1) as I make a profit of 600 yen (which equals $7.49),but the MAE, MFE and ETD are off (AL8, AM8 and AN8). Remember, the gain is in yens, then translated into USD.

I have tried adjusting tick size and the point values in the instrument editor (attached), but I can either correct the point value or the $ value, not both.

The consequence is that all my aggregate stats are wrong. I'm pretty sure there's an obvious fix but I can't find it. Many thanks for your help.

N

[NinjaTrader_Matthew]

Hello nkonialidis,

Thank you for your post.

If you are trading non-USD pairs please ensure you have data streaming for related USD conversion pairs prior to placing orders. This is required for accurate PnL reporting.

You can ensure you have the data streaming by loading the USD pairs in a chart or a market analyzer window.

Unfortunately, the cross rate for the previously executed trades cannot be corrected, however you should not see issues moving forward as long as the relative USD pairs are streaming to NinjaTrader.

[nkonialidis]

Weird values for Yen pairs / distorts stats

Thanks Matthew for your prompt reply.

However, I must point out that:
1/The problem does not stem from the USD conversion at all but from the pip value / size value relating to yen crosses.
2/ I am well awayre of the Market analyser and streaming quotes you mention.
3/ I don't need to rebook the earlier trades but would like to be able to generate consistent and correct analysis looking forward.

Someone else seems to have had the same problem and this does not seem to have been resolved to jvracing's satisfaction:

http://www.ninjatrader.com/support/forum/showthread.php?t=19037

I use E-signal feed too.

Please advise.
Nicolas

[NinjaTrader_Matthew]

nkonialidis,

Your instruments are correct if you are intending to display full pips.

To clarify it is only the MAE, etc based off the cumlative profit that you are having issues?

The profit for the JPY trades are correct based off your QTY and the pip settings you are using. However, to determine why the aggregated states are not calculated as you expect, I will need to test your database file.

Please use the following 3rd party service to send the file.

http://filexpressit.com/main

• Browse to: (My) Documents\NinjaTrader 7\db\NinjaTrader.SDF
• To: [email protected]
• From: <your email address>
• Message: ATTN: Matthew - http://www.ninjatrader.com/support/f...ad.php?t=42171

[nkonialidis]

Weird values for Yen pairs / distorts stats

Matthew,

To be clear it is not only the cumulative values that are wrong but the individual trades. for instance the gain of 600 Yen should be 6 points, but it appears as 600 points.

The USD conversion is right for the Profit and loss : in other words the yen value of teh gain is translated to USD. However, the dollar value of the MAE and MFE (for each trade) are wrong and use the same values as the points (1 point = $1). The ETD is the point value of the MFE minus the USD value of the gain.

Basically, unless my maths skills are really bad (which is very possible), there seems to be an inconsistency in the instrument manager regarding the yen pairs.

I sent you the SDB file you requested. I am also sending you the Excel extract of some specific trades. The trades in question are colour coded as I mentioned in my original email.

Many thanks.

Nicolas

[NinjaTrader_RyanO]

Hi nkonialidis,

In working with development regarding this issue it has been noted that the MAE and MFE columns do not calculate for non USD currency pairs, and thus when using GBPJPY or EURJPY these columns values would display values that would not correspond as expected.

This is a known issue and it is currently being looked at by development. We appreciate your feedback and have assigned this feature request ID # 781 in our tracking system for your future reference.

[nkonialidis]

Ryan/Matthew,

Many thanks for your help. I look forward to seeing this issue resolved by the developers. If it is so resolved, will it just be in the next version of NT or will it require a separate download?
Regards,
Nick

[NinjaTrader_Matthew]

nkonialidis,

Thank you for reporting and bring it to our attention.

When do not yet know what version this will be fixed in, but you can always check from our release notes when a new version is announced:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?release_notes.htm

Any fixes will automatically be applied to the new version when installing and does not require a 2nd download for the fix in particular.