Misreporting of MAE, MFE and ETD in live trading

[drolles]

Hi NT support,

I thought it best to open a thread here; we have discussed this previously but due to the confusion of the issues we had open I think this issue got a bit lost.

I’m running an automated in Live testing, using the MBT price feed in to the Sim101 account. This screen shot is from the Control Centre. Note, this isn’t anything to do with backtesting, this is live trading into the Sim101 account.

I had a trade the occurred this morning that appears to be completely misreporting MAE, MFE and ETD. Could you please help me understand what is happening here?


I've had to email the PDF to the support address. Why are we only able to attach 39k PDFs and much bigger MS Word docs?


Thanks and regards,

drolles

[NinjaTrader_Brett]

Hello,

I covered this in a previous email but most likely got lost. Let me grab the response on this from development.

This is a limitation of the these 3 stats. They were never specced to include the currency conversion math involved to do this as the PnL fields where. Therefor, there is no currency conversion going on for these fields for non home currency pairs.

This is on our suggestion list to possibly change in a future version of NinjaTrader since development currently views it as a feature request then a bug as this would be the first this has been brought up since >4 years. It is being tracked with tracking number: #781

For now you will need to export these results to excel and do the currency conversion by hand if this is needed on the non home currency pairs Unfortunately at this time.

Let me know if I can be of further assistance.

[drolles]

Brett,

Thanks for the reply.

I’m not sure I understand why this is happening? Why is there no cross rate information? This is coming off a live data feed, with live trading.

Thanks and regards,

drolles

[NinjaTrader_Brett]

Hello,

Its not that there is no cross rate information. Its simply these statistics do not include code to do the currency conversion. Therefor these are non-currency adjusted rates.

Let me know if I can be of further assistance.

[drolles]

Brett,

Thanks very much for that.

What do you mean by “non-home currency pairs”? Of the MBT list (http://www.mbtrading.com/forexSpreadsPairs.aspx)which fit that criteria?

Thanks and regards,

drolles

[NinjaTrader_Brett]

Hello,

What I mean is when a conversion is needed.

For example for me.

My Home Currency is the USD.

If I trade the EURUSD, the PnL does not need to be converted since USD is used in this currency pair and the PnL makes since to me.

However if I trade the EURJPY, since EUR or JPY does not have USD in it the PnL reported will be JPY. Therefor I would need to convert JPY to USD and convert the PnL to make since of the PnL. Unless I knew what JPY currency is and what equals what and I can do the conversion in my head for example.

Let me know if I can be of further assistance.

[drolles]

Brett,

Thanks very much for the clarification.

How do I determine my home currency? I can’t find any documentation in this. This is trading into the sym account.

Kind regards,

drolles

[NinjaTrader_Brett]

Helllo,

This is the currency you use in your home country. It is simply what your computer is set to in windows to report as. This is under control panel->Reginal and Language options of the windows PC.

Let me know if I can be of further assistance.

[drolles]

Brett,

Thanks for the reply.

Unfortunately, I’m not more confused than I was before. I’ve included a screen shot from my Regional Settings screen – it shows that I’m set to the UK – England.

I’ve also included a screen shot of the control which tracked a trade against the CADCHF, neither of these two currencies are my home currency, yet the MAE, MFE and ETD appear to be correct. Whilst I haven’t gone back to recalculate this tick by tick it appears reasonable. Unlike the calculations I forwarded over to your previously.

Thanks and regards,

drolles

[NinjaTrader_Austin]

drolles, I will have Brett get back to you on Monday.

[NinjaTrader_Brett]

Hello,

Since there is no currency conversion going on here.

The MAE you see is listed in CAD or Canadian dollars. You will see different currencies that are formatedd differently. Such as CAD is close to your currency, howevere JPY pais are really different in there price quotation.

Let me know if I can be of further assistance.

[drolles]

Brett,

Thanks for your help on this.

You say below that is this the first time that it has been highlighted in 4 years. I don’t get that? Are you saying I’m the only person with this problem? Or are you saying that the problem has always existed and I’m on the only person who has brought it up?

Thanks and regards,

drolles

[NinjaTrader_Brett]

Hello,

What I mean by this is that this has existed since NinjaTrader was first created and your the first to bring it up.