Bug in Performance.AllTrades?

[trader_rick]

Hi guys,

When I access Performance.AllTrades[ myIndex ].Entry.Price, the actual price returned seems incorrect. First of all, it does not tally with the corresponding prices shown in the Strategy Analyzer. The prices moreover are impossible - as they are not integral multiples of the tick size. They are however, within less than half a tick of the correct execution price.
There is no such problem with Exit.Price - all the prices correspond exactly with what I am seeing in the Strategy Analyzer and are integral multiples of the tick size.

I presume this is a bug.

regards

[NinjaTrader_Dierk]

Could you please provide detailed on how to reproduce what you experienced? Thanks

[trader_rick]

if( Performance.AllTrades.Count > tradeCount )
{
lastTrade = Performance.AllTrades[ tradeCount++ ];
entryTrade = lastTrade.Entry;
exitTrade = lastTrade.Exit;
sw.WriteLine(
entryTrade.Instrument + ";" +
entryTrade.Time +";" +
entryTrade.MarketPosition +";" +
entryTrade.Quantity +";" +
entryTrade.Price +";" +
exitTrade.Time +";" +
exitTrade.MarketPosition +";" +
exitTrade.Quantity +";" +
exitTrade.Price +";" +
);
}

entryTrade and exitTrade have been properly declared as of type IExecution.
sw is a StreamWriter I opened earlier.
The output produced is 100% correct apart from entryTrade.Price as mentioned in my earlier post.

The strategy I am running is on ES 06-08, using 1 hours' worth of minute data.

Here is the output produced by the above code;

ES 06-08 Globex;28/04/2008 09:18:00;Long;1;1400.81666666667;28/04/2008 09:18:00;Short;1;1400
ES 06-08 Globex;28/04/2008 09:31:00;Short;1;1400.13333333333;28/04/2008 09:33:00;Long;1;1400.5
ES 06-08 Globex;28/04/2008 09:34:00;Short;1;1401.425;28/04/2008 09:35:00;Long;1;1402.5
ES 06-08 Globex;28/04/2008 09:42:00;Long;1;1401.665;28/04/2008 09:45:00;Short;1;1401.5
ES 06-08 Globex;28/04/2008 09:52:00;Long;1;1400.31666666667;28/04/2008 09:52:00;Short;1;1399.75
ES 06-08 Globex;28/04/2008 09:56:00;Short;1;1400.65;28/04/2008 09:56:00;Long;1;1401.25

Here is the corresponding output from the Trades tab of the Strategy Analyzer;

Trade-#,Instrument,Account,Strategy,Market pos.,Quantity,Entry price,Exit price,Entry time,Exit time,Entry name,Exit name,Profit,Cum. profit,Commission,MAE,MFE,ETD,Bars,
1,ES 06-08,Back101,Methodv0x1,Long,1,1400.75,1400.00,28/04/2008 09:18:00,28/04/2008 09:18:00,DRES_E_BUY_16,Stop loss,-0.06%,-0.06%,0.00,0.06%,0.00%,0.00%,1,
2,ES 06-08,Back101,Methodv0x1,Short,1,1400.25,1400.50,28/04/2008 09:31:00,28/04/2008 09:33:00,DRES_E_SELL_29,DRES_DEACT_BUY_31,-0.03%,-0.08%,0.00,0.04%,0.05%,0.07%,3,
3,ES 06-08,Back101,Methodv0x1,Short,1,1401.50,1402.50,28/04/2008 09:34:00,28/04/2008 09:35:00,DRES_E_SELL_32,Stop loss,-0.08%,-0.16%,0.00,0.08%,0.01%,0.09%,2,
4,ES 06-08,Back101,Methodv0x1,Long,1,1401.75,1401.50,28/04/2008 09:42:00,28/04/2008 09:45:00,DRES_E_BUY_40,DRES_DEACT_SELL_43,-0.01%,-0.17%,0.00,0.03%,0.04%,0.05%,4,
5,ES 06-08,Back101,Methodv0x1,Long,1,1400.25,1399.75,28/04/2008 09:52:00,28/04/2008 09:52:00,DRES_E_BUY_50,Stop loss,-0.04%,-0.21%,0.00,0.04%,0.00%,0.00%,1,
6,ES 06-08,Back101,Methodv0x1,Short,1,1400.75,1401.25,28/04/2008 09:56:00,28/04/2008 09:56:00,DRES_E_SELL_54,Stop loss,-0.04%,-0.26%,0.00,0.04%,0.00%,0.00%,1,

As you can see, the entry prices are out by less than half a tick (a tick is 0.25 for this contract).

Hope this helps,

regards

[NinjaTrader_Dierk]

Trade prices on SA are rounded to tick size your print out is not.

a) to resolve you would need to code something like

entryTrade.Instrument.MasterInstrument.Round2TickSize(entryTrade.Price)

b) curious: I suspect your strategy sets odd stop/limit prices, correct?

[trader_rick]

a) Yes, I have since compensated for this by rounding to tick size.

b) Yes, you are correct, my strategy as is generates non-rounded stops and limits but orders are still submitted rounded by NT.

thanks for looking at this,

regards