Real-time risk management

[jeronymite]

Apologies if this has been asked and answered previously -- I couldn't find it if it was.

Does anyone have working NinjaScript code to do the following (supported or unsupported methods welcome):

• Identify base currency of the account
• Identify available account balance
• Calculate the available margin at any time in real-time
• Calculate the value per pip in real-time for any combination of circumstances:
  • Trading any currency pair (e.g. EURCHF)
  • Account in any base currency (e.g. GBP)
  • Going long or short
  • Any account configuration: one pip, half pip or tenth pip
• Calculate stop loss parameters for any order where any of the following may be fixed or variable:
  • Risk amount in base currency of the account or any other currency
  • Stop loss size in pips
  • Going long or short
  • Number of units to buy or sell short (i.e. fractional lotsize, not rounded)
• Calculate PnL accurately in real-time for any position
• Calculate take profit parameters for any position where any of the following may be fixed or variable:
  • Profit amount in base currency of the account or any other currency
  • Take profit size in pips
  • Long or short position
  • Number of units to sell or buy to cover (i.e. fractional lotsize, not rounded)

Whilst I am aware of a number of NinjaScript data structures and methods that can determine some of these things, there are quite a few things I do not know, including some uncertainty on the formulae to use. I am looking for comprehensive code to implement all these things. I'm happy to consolidate code snippets, so long as the overall effect is to produce the above in a robust, accurate (preferably elegant) method. I will repost any end-result code.



Many thanks!

[NinjaTrader_JC]

Hello jeronymite,

The only supported account values that you can get is "Buying Power", "Cash Value", and "Realized Profit and Loss" as demonstrated in the following Help Guide link.

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

As for the Stop Loss it would be whatever you have set it to before your entry order was called. I am not aware of any method to check this but you may set the Stop Loss value before your entry order once again to ensure that the Stop Loss value is going to be what you would like it to be set to. The same thing can be done with the Profit target.

SetStopLoss: http://www.ninjatrader.com/support/h...etstoploss.htm

Profit Target: http://www.ninjatrader.com/support/h...ofittarget.htm

[jeronymite]

Thanks, JC.

Fortunately, I was aware of all that, but I appreciate your response nonetheless.

What I need is as described originally. Any insights or even unsupported ways to achieve this would be greatly appreciated. Anything unsupported obviously comes with a strong CAVEAT to "use at your own risk". I fully understand that, as I currently employ a variety of unsupported (but legitimate) data structures and methods, so I am very familiar with the disclaimer and have no problem with that.

Any further advice/assistance (from any reader) would be very much appreciated indeed!

Thanks!

[jeronymite]

... and one further comment after the fact, which I should have mentioned before.

Obviously, when any requests of this nature are made and the answer is "not supported" or "not possible at this time" or "no/not ...", may I strongly urge NinjaTrader to add the request automatically to the list of requested features for consideration in future versions of NinjaTrader, please? You may already do this (I'm impressed by NinjaTrader's diligence in this matter), but just in case, I offer this recommendation for your earnest consideration.

Many thanks! Very much looking forward to NT8's arrival!

[NinjaTrader_JC]

Hello jeronymite,

I will forward your suggestions to our development team for consideration on future releases of NinjaTrader and leave this thread open for other members to contribute their experiences.