replay101 cash value gain does not equal realized pnl

[ATI user]

NT version 9

why does cash value gain (1404.86) not equal realized pnl when account is flat?

pic 1 does not use last price for pnl calcs

pic2 does use last price for pnl calcs

pic 3 on rewind replay101 always resets to 10000

[NinjaTrader_Brett]

Hello,

I would want to reproduce this and look into this.

What instrument are you using?

What day and time are you testing.

Can you send a screenshot of your simulation tab settings.

Finally what type of trades are you doing, can you duplicate with only one trade or does it take some scale in and scale out to duplicate?

-Brett

[ATI user]

Hi Brett
ES 12-11 for 9 aug 2011 from midnight to 4:00 PM eastern
scale in and out...see Executions

[ATI user]

1 lot no scale in/out is no problem

so...seems related to scaling in/out

[NinjaTrader_Brett]

Thanks for that, in this case it could be due to accounting differences.

What do you have checked in control center->tools->options-> Check box for Use FIFO for position avg. price calculations?

Can you please retry with this checked if it is unchecked and let me know if they now line up a bit better or still off?

-Brett

[ATI user]

even worse with FIFO checked

[NinjaTrader_Brett]

Alright its not that then.

Another difference is you use use last price for PnL unchecked however I dont see this making that much of a difference. May be worth one more test with that checked however I do not think it will make the difference we are looking for unless you had some bad ask/bid data that's skewing the results.

Can you reproduce this with a set trade list of actions is so what is that list so I can look into the behavior on my side.

For example:

Buy 1 ES 03-12
Buy 1 ES 03-12
Sell 1 ES 03-12
Buy 1 ES 03-12
Sell 1 ES 03-12
Sell 1 ES 03-12


Or whatever action you take to reproduce on your side on replay and I will do the same exact procedure on my side. Thanks for supplying that.

-Brett

[ATI user]

Another difference is you use use last price for PnL unchecked however I dont see this making that much of a difference. May be worth one more test with that checked however I do not think it will make the difference we are looking for unless you had some bad ask/bid data that's skewing the results.
t

Please see original post above showing 'last price for pnl calcs' both checked and unchecked...i.e. no difference

[NinjaTrader_Brett]

Thanks I suspected that would be the case but wanted to double check.

Can you reproduce this with a set trade list of actions is so what is that list so I can look into the behavior on my side.

For example:

Buy 1 ES 03-12
Buy 1 ES 03-12
Sell 1 ES 03-12
Buy 1 ES 03-12
Sell 1 ES 03-12
Sell 1 ES 03-12


Or whatever action you take to reproduce on your side on replay and I will do the same exact procedure on my side. Thanks for supplying that.

[ATI user]

closer in this test

FIFO is unchecked; use last price for pnl calc is unchecked

commissions are 2.20 one way

[NinjaTrader_Brett]

Last thing we might try is un checking commissions if your willing.

-Brett

[ATI user]

Last thing we might try is un checking commissions if your willing.

-Brett

pic 1 includes commission
pic 2 does not

either way, commissions should be applied to both cash value and realized pnl at the same time

[NinjaTrader_Brett]

Ok so nothing conclusive here.

Looks like something I would need to test on my side.

What is the sequence of orders you using to get this result for me to do on my side?

Thx.

[ATI user]

Ok so nothing conclusive here.

Looks like something I would need to test on my side.

What is the sequence of orders you using to get this result for me to do on my side?

Thx.

I am executing from code using EnterLong and EnterShort...i.e. no atms

[NinjaTrader_Brett]

Thanks for the list, I will look into duplicating these types of buys and sells on my side shortly and check into the math.

-Brett