Get current session's PNL, current realized & unrealized PNL while using ATM strategy

[rasdaka]

Hi,

Please help / guide as to finding the current session PNL along with current realized & unrealized PNL (and PNL at Start of Session) when
1. A Limit order has been placed and accepted, but not yet fulfilled.
2. A Limit order has been filled, and
3. The Limit order has been stopped out. i.e., no longer executing...

Thank you.

RK

[NinjaTrader_ChrisL]

Hi, thanks for posting.

The built in way of getting strategy performance metrics is through the SystemPerformance class. This gives trades since the strategy was started, and you can also filter the real time trades from the historical trades. To separate this out into the session will take more C# logic and the use of the SessionIterator. So a full example will not be feasible for me to make in a reasonable amount of time. You can keep track of working, filled, and canceled orders in the OnOrderUpdate event method.

Kind regards,
-ChrisL