Strategy feature: Order quantity by account size missing?

[Ram011558]

Ok. I thought you said in your previous reply that this could be done with the strategy builder. So I revert back to my previous statement:


Thank you. It does clarify but I have to say that I am taken back by this. The basis for having the strategy wizard is to allow those with no programming knowledge the ability to build and test strategies. Since prices vary widely over time, the current configuration makes this impossible. Seems crazy to me for what is likely a fairly easy fix. I'm guessing I'm not the only person in this boat.

[mic414]

You are not alone, that is the feature why I'm not even considering to upgrade to NT 8.

For the sake of NT8 developers, as apparently they don't understand/appreciate how some of their customers use the product:
When you backtest over many years, you want to use the same position size in dollars, (e.g. 10K USD), otherwise your metrics are useless, especially for leveraged ETFs that change a lot in value over time. E.g. VXX was over $110,000 a share in 2009 (split adjusted), and now it us under $40. The account size feature in NT7 was very useful, as I could backtest 7 years of VXX with the same position size. Without this feature, you simply can't use NT8 for backtesting properly.

This shouldn't be a difficult feature to build (not to mention it is there in NT7). I don't need any account/margin information from the broker, nothing complicated, I just want to be able to set the position size in dollars, not # of shares. It's not a complicated math problem, you have to divide two numbers.

Yes, I guess you can solve this by unlocking the code and calculating the position size through manual input, but once you do that, you can't go back to the strategy builder to adjust your strategy, you have to do everything directly in the scripts, and for folks who are not familiar with scripting languages, this will increase the learning curve and decrease the convenience factor immensely.

[Ram011558]

Thank you mic414. I was beginning to wonder if it was just me. Seems crazy to offer back testing and a strategy builder for non-programmers that doesn't include this feature. All results would simply be invalid. Not sure why NT is resisting this. As you put it, it should be a relatively easy programming change. NT8 is out of the question for me. Cheers.

[mic414]

Hello aaadetos,

You should confirm with your broker the formula for calculating the funds required for each trade or contract.

In general the formula would be the AccountSize divided by Margin.

I think what people are looking for in this feature has nothing to do with their broker's margins or account rules.

What I need is a code that would set the order quantity to the following value: UserInput/(Instrument Close price), rounded to integer. UserInput is a variable indicating the order size in dollar terms, e.g. 10,000.

Can someone from NT Support please provide a sample code that solves this in the script? I haven't found any documentation that would clearly explain what needs to be done. Essentially I'm looking for the replacement of the below code:

EnterLong(Convert.ToInt32(DefaultQuantity), "");

[NinjaTrader_ChelseaB]

Hello mic414,

From my understanding, this thread was created with the question how can I reproduce the AccountSize value that was in NinjaTrader 7?

This represented the total number of contracts that could be purchased for a given brokerage account size (meaning we would need account information).

The general formula for this would be Account CashValue divided by Margin.


You can make your quantity size any calculation you would like. If you want to divide a user input number by the close price you can do this.

Replace the 'Convert.ToInt32(DefaultQuantity)' part with your calculated value or variable.

I would suggest that if you do this, you round to the nearest tick size to ensure the order price is a valid price.

Below is a publicly available link to the help guide.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?roundtoticksize.htm

[NinjaTrader_ChelseaB]

Hello,

This thread was never updated with a feature request tracking ID.

This request for auto position sizing options for the Strategy Analyzer is being tracked with ID #SFT-289.

Please note it is up to the NinjaTrader Development to decide if and when a request will be implemented.

Thank you for making this suggestion.

[Ram011558]

Hi Chelsea,

Is there an update on #SFT-1645? Thank you.

[NinjaTrader_ChelseaB]

Hello Ram011558,

Feature request SFT-1645 has not been implemented at this time.

Please note, it is up to the NinjaTrader Development to decide if and when a request will be implemented.

As new releases of NinjaTrader become available, you can check the release notes for an ID to see if this was implemented in the latest release.

Below is a public link to the release notes in the NinjaTrader 8 help guide.

https://ninjatrader.com/support/helpGuides/nt8/en-us/release_notes.htm