Track pnl on both PartFilled and filled executions

[mr_trade]

Hi All,

This seems to be a grey area on the forum as nothing concrete in resolving this or the best approach from my searches.
In the simulation accounts I have come across partFilled entries with a single fullyfilled exit, and the other way around, fully filled entry and PartFilled exit executions.
How would one track the PnL in this situation?
For example. Enter 3 contracts, onexecution part fills the order, 1 contract and 2 contracts. The position exit is fully filled for 3 contracts. There is only 1 OnExecutionUpdate to work with, so when tracking this trades PnL i can only retreive the last trade using "SystemPerformance"

How can i track each partial entry/exit as you would see it in the Executions strategy performance Report? See attached. You can clearly see 2 separate entries and 1 exit for a position.

Thankyou

[NinjaTrader_Kate]

Hello mr_trade,

Thank you for your note.

You'd want to calculate the average entry price as position increases in size if a partial fill is seen. IE. Average Entry: 13707.5 x 2/3 + 13707.75 x 1/3

then Exit - Average Entry.

If you close out of a position with 2 executions, this gets counted as 2 trades, the first would be the average of the first entries and the 2nd would be the average of the second entries.

So let's say we enter with a quantity of 4, and have it partially fills in 4 executions and then we exit with a quantity of 4 and get 2 partial fills with quantities of 2.

The first two entries will be averaged, and that trade would be the first exit of 2 minus the average of the first 2 entries. The second trade would be the 2nd exit minus the average of the 3rd and 4th entries.

I recommend starting there and if you have another specific trade that you see and aren't sure how to deal with, to show us that specifically.

Please let us know if we may be of further assistance to you.