currency - currencies - foreign exchange.

[rtwave]

people with nt,




regards.



i have been working on adapting some of my strategies to foreign exchange instruments.



and as is the case with a lot of endeavors that involve nt, it has not been an intuitive or straightforward process at all.




i'm quite sure that no one at nt has ever used the platform to trade or program on foreign exchange so it will be necessary to search hard and long in the foundational documentation for the platform to retrieve the following information:




- the first situation is that using position size 1 for usdjpy will generate minuscule results that will all be rounded down to 0. in fact, performance values will only become readable if one selects - pips - for display in the reports. this then generates multiple questions. ¿how can i make sure that i'm using the exact same unit (pips or ticks or even usd currency) across all relevant settings for a strategy (slippage, commissions, stop loss sizes, etcetera)?




- commissions are a very relevant aspect. i tend to think that institutions will not charge commissions to clients when trading foreign exchange instruments but rather will factor these costs into the tradeable bid - ask values. however, nt seemingly does include commission totals in the performance reports. i want to understand what values are being used and how could i eventually set this value to a fixed 1 usd cost per side.




- and also, ¿does anyone know where does the price data that the platform provides free of cost for foreign exchange instruments originate from? ¿is it possible to use interactive brokers own price data for foreign exchange instruments in nt? i have been able to have nt work with ib data for equities and it would be fantastic to use ib data for usd.jpy, eur.usd and gbp.usd as is their notation.




very well, i will wait for the responses from nt staff.

[NinjaTrader_ChelseaB]

Hello rtwave,

"the first situation is that using position size 1 for usdjpy will generate minuscule results that will all be rounded down to 0."

This is expected. Forex is traded in lot sizes and a contract size of 1 is typically not accepted by most brokerages.

A standard lot is equal to .1M
A mini lot is equal to .01M
A micro lot would then be .001M
1,000 = .001M
10,000 = .01M
100,000 = .1M
1,000,000 = 1.0M

A single contract would have PnL of less than 1 cent which would not be something that can be reported in the summary.


"how can i make sure that i'm using the exact same unit (pips or ticks or even usd currency) across all relevant settings for a strategy (slippage, commissions, stop loss sizes, etcetera)?"

Unfortunately, these are not all comparable.

Slippage is a measure of distance, i.e. the number of ticks of price movement between an order being submitted from the local computer to being filled by the brokerage. Commissions is a dollar amount of fees applied to each order by the brokerage.

A stop order has to be submitted at a specific price. However, using Set methods (like SetStopLoss() allow NinjaTrader to calculate that price based on amount of Currency loss (in dollars), Percent, Ticks, or Pips. Use Pips if you would like to use Set methods with Forex.

Ticks and Pips are similar in the sense of distance of minimum price fluctuation for an instrument.

That said, you can select Pips as the Diplay Unit from the Display drop-down to report PnL in Pips in the Summary.

https://ninjatrader.com/support/helpGuides/nt8/index.html?using_trade_performance.htm#UnderstandingThePerformanceReport

"commissions are a very relevant aspect. i tend to think that institutions will not charge commissions to clients when trading foreign exchange instruments but rather will factor these costs into the tradeable bid - ask values. however, nt seemingly does include commission totals in the performance reports. i want to understand what values are being used and how could i eventually set this value to a fixed 1 usd cost per side."

Commissions will be calculated by the brokerage and will be included or not included in the RealizedPnL depending on the brokerage.
For Trade Performance reports commissions are applied to real-time orders if a commission template is applied to the account.

https://ninjatrader.com/support/helpGuides/nt8/understanding_commissions.htm

With backtesting, commissions are only applied from the Commission template applied to the Sim101 account, when 'Include commissions' is checked.

You can create a custom commission template and set the minimum commission per trade and / or commission per unit to 1.
You'll need to check with your broker on how commissions are charged.


"does anyone know where does the price data that the platform provides free of cost for foreign exchange instruments originate from"

As NinjaTrader is a futures brokerage, NinjaTrader does not provide a brokerage or demo for Forex.
In the past when this was offered, the data was from Forex.com.


"is it possible to use interactive brokers own price data for foreign exchange instruments in nt"

Yes, below is a link to the connection guide for Interactive Brokers. (Note this requires the Multi-Broker Addon)

https://support.ninjatrader.com/s/article/Connecting-to-Your-Interactive-Brokers-Account

Also, note that Forex does not have a centralized exchange. This means volume is for the bank of the exchange only and not the entire market, and is typically a value of 1 with historical data as it doesn't have real meaning.

[rtwave]

NinjaTrader_ChelseaB, people with nt,



thanks.




most of the questions i have have been cleared. however, i still have some questions of relevance.




i will try and use pips for stop loss sizes, however, my strategies do not use set methods but the ExitShortStopMarket varieties. ¿how can one make sure that all values are set in pips in these cases?



" Ticks and Pips are similar in the sense of distance of minimum price fluctuation for an instrument. "


in the case of futures contracts, options contracts and equities it would seem that ticks and pips are equivalent. but seemingly, that's not the case with foreign exchange instruments.


and the situation with values for slippage persists, ¿what does it mean if one uses 1 in the line for slippage when backtesting? ¿how can one make sure that one is using pips?




" With backtesting, commissions are only applied from the Commission template applied to the Sim101 account, when 'Include commissions' is checked. "



yes, this is what i was asking for. this succinctly explains where do the values come from and how to modify them.




" As NinjaTrader is a futures brokerage, NinjaTrader does not provide a brokerage or demo for Forex.
In the past when this was offered, the data was from Forex.com. "


the nt platform does provide forex data free of cost for all the pairs that are included in the forex list that is programmed in the platform. i have been able to download years of minute data and even tick data for the major pairs. i will assume that the source you mention is the one still providing the data currently.




" Also, note that Forex does not have a centralized exchange. This means volume is for the bank of the exchange only and not the entire market, and is typically a value of 1 with historical data as it doesn't have real meaning. "


yeah, i had never seriously considered currencies trading because of the fragmentation and the conflict of interest where brokers hold the counter position to every trade initiated by their clients. i read that a virtual venue called idealpro now provides some measure of aggregation and solves the issue of trading against one's own broker.

[rtwave]

people with nt,



i have been waiting one full week for the information i requested above.



another post i created in the indicators section has also gone one week unanswered.

[NinjaTrader_ChelseaB]

Hello rtwave,

Apologies for the delay, our ticketing system has had disruptions over the last week with the forum.

"my strategies do not use set methods but the ExitShortStopMarket varieties."

These will require a specific price to be supplied.

You can convert pips to a decimal.

Check the exchange website for the tick fraction per point.
If 32, divide the fraction by 320.

For example for 124'240 this would convert to 124.75 as 240/320=.75,

With 10 fractions per point 1.1411'4 would convert to 1.14114

For distance the calculation would appear as:

distance x point value x quantity

5,000 quantity | entry 1.1411'4 | exit 1.1410'2 | .60 profit

4 / 100 = .04 | 1.1411'4 = 1.14114
2 / 100 = .02 | 1.1410'2 = 1.14102

1.14114 - 1.14102 = .00012

1 x .00012 x 5000 = .6


Note, that all price series used in the script, such as the Close[0], High[0], Low[0], etc would be in decimal format.



"and the situation with values for slippage persists, ¿what does it mean if one uses 1 in the line for slippage when backtesting? ¿how can one make sure that one is using pips?"

With the slippage setting for backtesting, using a value of 1 on a forex instrument would be 1 pip (or one unit of the minimum price fluctuation).


"the nt platform does provide forex data free of cost for all the pairs that are included in the forex list that is programmed in the platform. i have been able to download years of minute data and even tick data for the major pairs. i will assume that the source you mention is the one still providing the data currently."

You may be referring to the Kinetick End of Day Free connection which does provide End of Day (day bars) for forex, equities, and futures. This would not be a brokerage demo, but would be the Kinetick data feed End of Day connection. This would not provide minute or tick data.

If you are referring to an actual demo, these are no longer available to sign up for. In the past when this was offered, the data was from Forex.com.