Trade Object from Executions

[SantoshXX]

I have an Indicator which subscribes to ExecutionUpdate, so I can track all of my Executions.
What I want to do now is to create Trades from these Executions, which I can then export for example.

The trade object can be created like this:

Trade trade = new Trade(entryExecution, exitExecution, qty);

so every trade consists of an entry and exit execution.

When I just use simple orders with one buy and one sell then this code could work:

private Execution entryExecution = null;
private void OnExecutionUpdate(object sender, ExecutionEventArgs e)
{
    Execution execution = e.Execution;

    // doesn't work with position scaling
    if (entryExecution == null)
    {
        entryExecution = execution;
    }
    else
    {
        trade = new Trade(entryExecution, execution, 1);
        entryExecution = null;
        Print("Trade: " + trade);
    }
}​

but when it comes to multiple orders with different quantities and position scaling, this doesn't work.

Is there an easier way to extract trades from executions similar to the way they are displayed in the Trade Performance tab? Or do I need to manually calculate these with all the order handling metrics?

[NinjaTrader_BrandonH]

Hello SantoshXX,

Thanks for your post.

The SystemPerformance collection could be used to get TradesPerformance information from the TradeCollection. Note that a trade is considered a buy and a sell.

See the help guide documentation below for more information about accessing trades in the TradeCollection.

SystemPerformance: https://ninjatrader.com/support/help...collection.htm
TradeCollection: https://ninjatrader.com/support/help...collection.htm
TradesPerformance: https://ninjatrader.com/support/help...erformance.htm
Trade: https://ninjatrader.com/support/help.../nt8/trade.htm

[SantoshXX]

Thanks for the reply!

It seems like SystemPerformance only works for trades placed within a strategy. What I'm looking for are the trades that are manually placed, I want to access them in an Indicator.

[NinjaTrader_BrandonH]

Hello SantoshXX,

Thanks for your notes.

Correct, SystemPerformance would return trades placed by a strategy. There would not be a simpler way to track manual trades made in an indicator script.

To accomplish this in an indicator you would need to come up with your own custom logic calculate these with all the order handling metrics as you noted in post # 1.

To do this in an indicator you will need to set up an account object similar to the example code on the Account help guide page. After that is set up, you can get an Execution collection from the Account object. With the Execution collection you could create "Trades", comprising of an entry execution and an exit execution.

Note that at this time there is not a supported method to retrieve historical executions from the local database. We are tracking interest for this in an internal feature request to get the Trade Collection information in an indicator or addon. Please let me know if you would like me to add your vote to this feature request.

Account: https://ninjatrader.com/support/help...ghtsub=account
ExecutionUpdate: https://ninjatrader.com/support/help...tionupdate.htm
Executions: https://ninjatrader.com/support/help...executions.htm

[SantoshXX]

Thanks for the answer, Brandon!

Yes this feature would be really helpful, please add my vote to this feature request. Thank you!

[bltdavid]

+1

Please add my vote.

[NinjaTrader_BrandonH]

Hello SantoshXX and bltdavid,

Thanks for your notes.

I have added both of your votes to the feature request.

This request is being tracked under the number SFT-586.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted on the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm