Commissions

[Zeos6]

Hi,

I know how to apply commissions calculations during back testing, but as far as I can see, there is only a single commission rate that can be used, regardless of the instrument being back tested. However, different instruments have different commission rates. Is there a way to apply the correct commission rate based on the instrument being back tested?

[NinjaTrader_CalH]

Hello Zeos,

Thank you for your note.

You would need to factor these calculations into your script and then print those values in order to see the different commissions for the different futures.

[Zeos6]

Hi cal,

Thank you for your reply but can you elaborate a bit? There is only one way I am aware of to set commission rates: in the Replay and in the Simulator. Can you elaborate on what you mean by "You would need to factor these calculations into your script ..."? Thank you.

[NinjaTrader_CalH]

Zeos6,

You would be manually calculating these commission rates in your script.
You can then apply that value to the Trade Performance for the strategy and get the results per the Future instrument.

Looking at building this, you would want to create a User Defined Variable that before running the strategy you would set the commission rate.

Then with each trade you would add the rate to a running total and then get the total performance of the strategy and apply the commission rate to this.

Here is a link on the Trade Performance for strategies -
http://www.ninjatrader.com/support/h...collection.htm

[Zeos6]

Hi Cal,

Thank you for this information. So does this mean that the commission rate I set in the Futures Replay and Simulator are not correct during back testing the strategy; i.e. the information I get in the Summary tab of the Strategy Analyzer?

[NinjaTrader_CalH]

Zeos6,

Not exactly. The commissions you set in there are going to be for the market type and the data provider you are connected to. These will be applied to the entry and exit order for the trade, not a per round trip.

Say, you input 2$ for the commission. You would see 4$ for one trade.

[Zeos6]

Hi Cal,

I understand that. However you can only set one rate there, not a rate for different type of security.

I guess what I am asking is that when you back test a strategy, how do you set the commission rate appropriate for the instrument being back tested, and will this show up correctly in the Summary tab of the Strategy Analyzer?

[NinjaTrader_CalH]

Zeos6,

You will need to either setup the calculations with in the script as suggested in post #4 or you would need to change the commission rate from the Options menu each time you run a different instrument.

[Zeos6]

Hi Cal,

Thanks for letting me know. I get it. Either I change the single rate in the Options depending on the instrument being back tested, or I do it manually via script. In either case, this will be reflected in the Summary tab of the strategy Analyzer.

[NinjaTrader_CalH]

Zeos6,

Let me be clear here for clarification.

The first option will show up in the strategy analyzer summary

The second option will not show up. You would need to print out the values that you are calculating inside the script.
Specifically, with Print();
http://www.ninjatrader.com/support/h...html?print.htm

[Zeos6]

Thanks for the reply Cal.

I see. So if I want the commissions to show up in the summary then it would be best to change the commission rate in the Options for each instrument tested.

It would be nice if we could specify the commission rate for the instrument in the same way we can specify slippage.

Thank you for your help.

[koganam]

Hi,

I know how to apply commissions calculations during back testing, but as far as I can see, there is only a single commission rate that can be used, regardless of the instrument being back tested. However, different instruments have different commission rates. Is there a way to apply the correct commission rate based on the instrument being back tested?

Not correct. You use the Instrument Editor to set commissions for a particular instrument. This commission overrides the global one that you set in the Options.

This is pretty well stated in the NT Help.

ref: http://www.ninjatrader.com/support/h...ission_tab.htm

[koganam]

Thanks for the reply Cal.

I see. So if I want the commissions to show up in the summary then it would be best to change the commission rate in the Options for each instrument tested.

It would be nice if we could specify the commission rate for the instrument in the same way we can specify slippage.

Thank you for your help.

We can. See my other reply.

[Zeos6]

Hi koganam,

Thank you for this info. I was not aware of this. So if I understand you correctly, setting commission rates specific to the various instruments will allow the correct commission to apply during back testing in the Strategy Analyzer. Good to know. Thank you.