Unmanaged order system and SystemPerfromance.AllTrades.Count

[Ja3nyc]

Hi,

I've been working on a strategy that is proving to be extremely successful using an unmanaged order system. In order to determine which of the "triggers" that I have set that need to be satisfied to enter a trade are the best, I decided it would be a good idea to collect data. I understand NT8 allows you to export data internally, however, I'd like to have it export the trade data as soon as it successfully exits a trade (in other words, it satisfies the trade object requirement of an entry and exit) through the streamwriter. Through testing it seems that the unmanaged orders aren't counting towards a "trade" when using "SystemPerformance.AllTrades.Count" (it just continuously outputs "OnPositionUpdate: The strategy has taken 0 trades."). My question is do unmanaged orders have to have its own SystemPerformance coded into the base or should SystemPerformance.AllTrades.Count work with unamanged orders and perhaps there is something wrong with my code?

Thank you,

John

[bltdavid]

Welcome to the forums!

Do unmanaged orders have to have its own SystemPerformance coded into the base?

No.

Should SystemPerformance.AllTrades.Count work with unamanged orders?

Yes.

Is something wrong with my code?

Probably.

If by 'success' with your strategy, you mean
your backtesting is showing profits, have you
enabled IncludeTradeHistoryInBacktest?

[Ja3nyc]

Hi David,

Thank you for the welcome!

So my current strategy utilizes multi-timeframe triggers, which from my testing is far too complex for NT backtesting to figure out, so it doesn’t take trades. However, when I run the strategy in current prices (what I term “forward” testing), it takes trades beautifully and catches 100 point trades on ES. From my thorough research on the forums, it seems there was an issue in the past with strategies and system performance, where it wouldn’t count trades in systemperformance when turning on a strategy through the strategy tab, but would when doing it through the chart. This occurred because of the “IncludeTradeHistoryInBacktest” value wasn’t enabled in the strategy through the strategy tab, but enabled when doing it on the chart. What I’m trying to figure out is how to log every single trade data (where a trade is a complete entry and exit), such as PnL, entry price, exit price, Marketposition, true and false values for each trigger condition, etc. to determine which trigger to eliminate because it isn’t as profitable as the others. I’m trying to figure out how to do this in real-time, not back testing, with streamwriter. Would the value, “IncludeTradeHistoryInBacktest” for real-time?

[NinjaTrader_ChrisL]

Hi John, thanks for posting.

Our colleague made a good post here on why a backtest might have different results compared to a real time strategy here. This includes information on adding intrabar granularity if your strategy is calculating intrabar signals:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance#post100192

The strategy analyzer/backtest system can handle multi time frame scripts. One way you can write your own trade data to a file is to generate a CSV file. I attached an example of how to do this.

Kind regards,
-ChrisL

[Ja3nyc]

Hi ChrisL,

Thank you so much for the refrerences, but the issue I'm having is as follows:

protected override void OnOrderUpdate(Order order, double limitPrice, double stopPrice, int quantity, int filled, double averageFillPrice, OrderState orderState, DateTime time, ErrorCode error, string comment)
{
base.OnOrderUpdate(order, limitPrice, stopPrice, quantity, filled, averageFillPrice, orderState, time, error, comment);
bool atLeastOneTrade = SystemPerformance.RealTimeTrades.Count > 0;
if(WriteEx && atLeastOneTrade)
{
Trade lastTrade = SystemPerformance.RealTimeTrades[SystemPerformance.RealTimeTrades.Count - 1];
sw = File.AppendText(path);
sw.WriteLine(String.Format("{0}, {1}, {2}, {3}, {4}, {5}, {6}, {7}, {8}, {9}, {10}",
lastTrade.TradeNumber, lastTrade.Entry.Instrument, lastTrade.Entry.Time, lastTrade.Exit.Time, lastTrade.Entry.Price, lastTrade.Exit.Price, lastTrade.ProfitCurrency, lastTrade.Quantity, lastTrade.Entry.MarketPosition, lastTrade.MaePoints, lastTrade.MfePoints));
sw.Close();
}
}

I use the unmanaged order submission in my strategy, but whenever I do:

Print(SystemPerformance.RealTimeTrades.Count);

It always returns a value of zero even after the strategy takes a trade. My assumption is that the limit orders used for stop loss and take profit are not being considered as a completed trade. I could be wrong on that one.

How would I be able to resolve this?

Thank you,

John

[Ja3nyc]

So I fixed the issue:

It was this:

IncludeTradeHistoryInBacktest                = true;

inside the (State==State.Configure).

I also moved the large code block from OnOrderUpdate to OnExecutionUpdate.

Thank you all for your help, very much appreciated!

Best,

John