Unrealized amounts are not becoming Realized upon market close?

[timmbbo]

Two questions: Shouldn't unrealized amounts become realized upon market close, and shouldn't cumulative Realized amounts be identical to Account gains/loss?

Today is the first day I'm trading on a brand new spanken account, so everything is set to zero. 15 minutes before market close, I take a screen shot of how my strategies are doing. (Screen shot foo1). Then, 15 minutes after market close, I take another screen shot (foo2). I would very much expect, at market close when the positions are then closed for the session, that they Unrealized amounts become Realized. That is, if I had $100 unrealized at market close, then it comes $100 realized just after market close. However, this isn't the case. You can see that in several strategies, the amounts are zeroed out, at market close. This has the potential to be a big deal, since it means that I can not accurately track how well my individual strategies are doing.

Second, I would expect the sum from the Realized amounts should be identical to Account gain/loss (screen shot foo3). When I add up the total amount from the Realized column on the Strategies tab, I'm up $2660 (yea for me!). However, under the Accounts tabs, of Total PnL, the gain is only $1510. There's about a $1000 difference here. Where did it go?

I'm really confused on this, and more specifically, how am I supposed to accurately track strategy performance from these tabs. Your knowledge here is appreciated.

[bltdavid]

How are you taking commissions into account?

Use figures from RTrader/Pro if you need true exactness,
not all figures reported by Rithmic back to NinjaTrader are
completely accurate.

[NinjaTrader_BrandonH]

Hello timmbbo,

Thanks for your post.

What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.?.?.?)

Who are you connected to? This is displayed in green on the lower-left corner of the Control Center window.

Who is your broker?

Are you taking commissions into account as bltdavid noted?

To clarify, is this occurring for strategies running on the Live account or for strategies running on the Sim101 account?

I look forward to assisting further.

[timmbbo]

> What version of NinjaTrader are you using?
8.1.1.7 64-bit


> Who are you connected to?
Rithmic Paper Trader (Chicago)

> Who is your broker?
Bulenox

> Are you taking commissions into account as bltdavid noted?
I am.

> To clarify, is this occurring for strategies running on the Live account or for strategies running on the Sim101 account?
This is a live account, not a Sim account


To simplify, let me boil down to two questions.

First, I'd like to confirm my understanding that, under the Strategies Tab, the Unrealized amount should become Realized upon market close. As an example, for a strategy, I have $100 unrealized. Upon market close, that $100 then becomes realized. Is this correct?

The Realized amount should be a running total of the Unrealized amounts. Say I run NT for three days. Just before market close on each day, I have unrealized $100 on day 1, $50 on day 2, and ($25) on day 3. At market close on day 3, my realized amount is then $125, correct?


I'm not finding any good documentation on what the amounts in the Strategies tab represent, and in practice, I've seen these values jump around without apparent reason. Therefore, I'd really like to get a deeper understanding of what's going on here.

Thanks for your help.

[NinjaTrader_BrandonH]

Hello timmbbo,

Thanks for your notes.

For a strategy running on a live brokerage account the Unrealized PnL and Realized PnL values come from the brokerage themselves.

The Unrealized PnL may not reflect in the Realized PnL after the market has closed depending on the broker and when the daily PnL reset occurs.

Typically these PnL values are reset daily at the close of a session so I would expect for these values to be reset to 0 at the end of a session.

Something you could consider is generating a Strategy Performance report for the strategy to see how it performs.

See the 'How to view strategy performance' section of this help guide page for more information: https://ninjatrader.com/support/help...tegies_tab.htm

[timmbbo]

Branden, I appreciate your help, but this still isn't making sense on a fundamental level for me.

Again, I'm starting off with a brand spanken new account, with a $50K balance. I'm testing five strategies. At the moment, I have two strategies running, with Unrealized amounts of ($100) and $70. So you'd think the total unrealized amount would be ($30) right? Well, when I look at the account balance, I'm up $65. (Account started at $50K, account balance is $50,056.64 after commissions.)

Not that I'm complaining about being up, but I'm struck how there's no alignment between the numbers. On a new account with only two trades of ($100) and $70, somehow my account balance is up $65. Obviously, the math doesn't add, and something else is going on here.

What is that something else? I'd really like your help getting to the bottom of this. Thanks,

[bltdavid]

Those values come from Rithmic, NinjaTrader does not calculate the
Unrealized PnL or Realized PnL -- those values are coming from your
Rithmic connection to Bulenox.

From NT point of view, your Bulenox account is a 'live' account, I
mean, it's not a local Sim101 acct, it is connected to a real broker
based connection, so as far as NT knows, it is considered a live
account.

Wanna get to the bottom of it? Ask Bulenox why Rithmic is
sending NT values that don't make sense to you.

Also, you gotta know that Unrealized values don't automatically
become the Realized value -- it depends on the exit price when
the position was closed -- these values are calculated separately,
from two different formulas, and even though they are obviously
related, to expect your 'Unrealized amount to automatically
become the Realized amount upon market close' is somewhat
incorrect thinking.

And, those formulas for calculating the Unrealized and Realized
PnL values? I'm pretty sure that's being done by Rithmic (er, I
mean, your broker), not by NT.

[NinjaTrader_BrandonH]

Hello timmbbo,

Thanks for your notes.

bltdavid is correct in their explanation.

Since you are connected to a Rithmic connection for your live Bulenox account, the Unrealized PnL and Realized PnL values are coming from your broker, not from NinjaTrader.

You could contact your broker directly to understand why the reported PnL values are reporting as you are seeing them.

The Unrealized PnL values may not automatically become the Realized PnL value at the close of a session. As bltdavid noted, this depends on the exit price of the order when the position was closed and is calculated from the entry price of the entry order. Further, PnL values are reset daily at some time between when one session ends and the next session begins. These values do not carry over to the next trading session. If there is still a position open at the close of a session, I am not certain if the Unrealized PnL would be from the session start price or from the position average price.