Simulator reports

[BIGRED]

There are issues when using the simulator at least when connected to MBT trading Forex.

1. Being that there are fractions of pips being traded when a trade occurs at a fraction, the decimal is dropped for a hyphen. On the orders tab it is handled as a decimal. On the quotes it is not. When the math is applied to the trade P/L it is not correct.

Example

No fractional Pip
open buy trade at 1.250
close sell trade at 1.251
1 pip profit $10.00 ($1.00 on a mini).

Fractional pip
open buy trade at 1.250
close sell trade at 1.2515
1.5 pips (15 fractional pips) profit $15.00 ($1.50 on a mini) however

What was reported is a profit of $5.00




2. Almost all trades (positions) are reported as 0.1M for a 100k position or 0.01M for a 10k position. Occasionally and it would seem in the case of a partial fill trades shows up as a full number such as 90.

If you export this to a spreadsheet it forces an additional column for the row that has this type of a trade - forcing all information over one cell to the right.


Thank you
Don

[NinjaTrader_Ray]

1) Works as expected here. See images, one of open trade and the other when it is closed. Maybe your tests included commission? Maybe you switched sub-pip supported mid trade? That could possibly affect PnL, don't recall.

2) Thanks for reporting.

[BIGRED]

1) Works as expected here. See images, one of open trade and the other when it is closed. Maybe your tests included commission? Maybe you switched sub-pip supported mid trade? That could possibly affect PnL, don't recall.

No commission was included, did not change anything happens maybe 5 to 10% of the time.

I will wait for another occurnaces and capture images.

Thanks,
Don

[BIGRED]

Attached is a image ("Trades") of 2 trades (partials) being reported as 68,000 and 32,000. instead of 0.068M and 0.032M

As I mentioned previously it throws off the columns as shown in the attached spreadsheet image ("SH").

The other work will have to wait until the markets are open.

Thanks
Don

[NinjaTrader_Dierk]

On the Excel column issue:
- please make sure you are on latest 6.5.0.10
- in the executions grid: Right click-> Click properties->Reset

>> being reported as 68,000 and 32,000. instead of 0.068M and 0.032M
Works as expected, since any qty which is not a even multiple of 10,000 is displayed that way.

[BIGRED]

The attached image shows that the Pip P/L varies. I understand that the P/L may not be exact because of dynamic pip value changes but as you note trade numbers 3,5 and 8 are off quite a bit.

Actual (per spreadsheet calculations) pip times pip value
Trade#
1. -$70.302
2. -$40.173
3. -$28.020
4. $130.562
5. $84.363
6. $8.34
7. $83.158
8. $79.341
9. $63.272

P/L per simulator trade profit
Trade #
1. -$70.47
2. -$4.03
3. -$37.15
4. $130.63
5. $94.45
6. $9.34
7. $83.20
8. $69.33
9. $63.30


Thanks for your help
Don

[NinjaTrader_Dierk]

Unfortunately I can't comment on the correctness of your custom calculations in your Excel sheet.

Let's focus one one (!) particular trade: Why do you think the PnL for trade #3 in incorrect? Please show me your detailed math. Thanks.

Also: What are your exact (!) commission settings for this instrument?

[BIGRED]

Hello Dierk,

First I have no commission applied. Prices adjusted for the values at the time of reply.

Trade number 3 is a short and I am trading full contracts

1. Entry price 99.359
2. Exit Price 99.390
3. Trade Profit 3.1 pips
4. Value of a pip 10.017
5. Multiply values of line numbers 3 and 4 = $31.053
6. Multiple result of line number 5 x.9 (partial fill) = $27.947
7. Simulator trade result $37.150
8. Subtracted result of line numbers 6 and 7 = $9.203



Thanks
Don

[NinjaTrader_Dierk]

>> 4. Value of a pip 10.017
Why do you think value of a pip was 10.017 at the time the partial fill happened?

[BIGRED]

I pulled it from MBT. Even if you round it to 1.00 per fractional pip or 10.00 per pip the problem shows. At 10.00 per, it takes 3.7 pips to equal the value on the simulator.

I don't think the problem is in pip X pip value but rather the
entry price - exit price. It feels like something to do with partial fills or because it is not in decimals and something is happening to the math with the hyphen (gut instinct).

Adding to that feeling comes from the issue with the spreadsheet (shifting columns) with fractional fills. Just feels like there is something off in there... somewhere.

Trade 3 has a fractional fill and is a partial fill
Trade 5 has a fractional fill
Trade 8 has a fractional fill

While it is true that at times it does not occur while it is fractional and or partial. I have yet to see a "full" pip completed trade with the wrong calculation.


Thanks
Don

[NinjaTrader_Dierk]

Apparently your excel calcs/logic is based on the current (!) pip value and not on the pip value as the execution went off. That explains the difference and that's why both calcs never will match.

Also: In case you placed these trades while connected to the sim feed,the calcs never would match too, since sim feed never will match the real pip value.

[BIGRED]

That does not make sense to me. First one controls the value of pips in the manager. Second I have 3 trades that took place out of a group of 9 in a 45 minute period on the same instrument.

In all cases but 3, the p/l difference between the simulator p/l and the calculated p/l is only off by pennies.

In the 3 case shown, it is off by around $10.00 each.

Clearly it has nothing to do with the difference in pip values as it changes dynamically. This is proven in the very close p/l results of trade numbers 8 and 9, the entry times are 1 minute apart and the exit times the same.

Trade 8 shows a 7.9 pip profit - total of $69.30 - pip value 8.77
Trade 9 shows a 6.3 pip profit - total of 63.30 - pip value 10.05

I suggest looking under the hood.

[NinjaTrader_Dierk]

As explained below you are comparing apples and oranges: NT perf stats are triggered of the pip value at the time the execution went off (in case you traded against the sim feed this even would be sim pip value which has nothing to do with the real pip value) and not at the time you run the report.

Your excel sheet always will be off, since it will not reflect the pip value used by NT as the execution went off.

[BIGRED]

Maybe were miss communicating.

I am using TS 8.3 and NT to automate my trades to MBT. I connect the simulator to MBT and have confirmed their prices, being the ones executed. I am not using simulator data.

[BIGRED]

As explained below you are comparing apples and oranges: NT perf stats are triggered of the pip value at the time the execution went off (in case you traded against the sim feed this even would be sim pip value which has nothing to do with the real pip value) and not at the time you run the report.

Your excel sheet always will be off, since it will not reflect the pip value used by NT as the execution went off.

I find it hard to believe that the simulator has no P/L relevance to the actual market.

I thought the pip value was static and not dynamic...no matter pip values do not change radically enough to cause what I am seeing. It is not possible even under the most extreme violent market conditions.