SystermPerformance question

[trader3000a]

Hi,
In an enabled strategy, is it possible to gather statistics of the historical trades that are within "Days To Load"? I have a method using Trade lastTrade, which works when running back tests but not on the loaded historical trades of an enabled strat. What is possible?
thanks,
David

[NinjaTrader_Emily]

Hello David,

Thank you for your post.

Yes, you could access all trades (both historical and real-time) with the SystemPerformance.AllTrades collection:

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

TradeCollections are indexed in a sequence from oldest trade to newest trade. The last trade would just be the trade at the index of count - 1, and the first trade would be at index 0 of the collection. You could choose to loop through the collection if you'd like to gather information for each trade. The first example on this page demonstrates how to get the lastTrade and firstTrade:

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

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

[trader3000a]

Hi Emily,
I get lastTrade prints when running the strategy in the Strategy Analyzer, but I don't get lastTrade prints when running the strategy live. What might i be missing?
thanks,
David

[NinjaTrader_Emily]

Hello David,

Thank you for your reply.

Please provide a code snippet of the value you are printing out so I may better understand and assist you.

I look forward to your reply.

[trader3000a]

namespace NinjaTrader.NinjaScript.Strategies
{
public class LastTradeTest : Strategy
{
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "LastTradeTest";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 1;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{

}
}

protected override void OnBarUpdate()
{
if (BarsInProgress != 0)
return;

if (CurrentBars[0] < 1)
return;

//entry
if (Close[0] > Open[0])
{
EnterLong(Convert.ToInt32(DefaultQuantity), "");
}

//exit
if (BarsSinceEntryExecution() > 5)
{
ExitLong();
}

//collect stats
if (SystemPerformance.AllTrades.Count > 1)
{
Trade lastTrade = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1];
Trade firstTrade = SystemPerformance.AllTrades[0];

Print("The last trade profit is " + lastTrade.ProfitCurrency);
Print("The first trade profit is " + firstTrade.ProfitCurrency);
}



}
}
}​

[NinjaTrader_Emily]

Hello David,

Thank you for your reply.

I see the following prints should occur if the AllTrades.Count is greater than 1:

if (SystemPerformance.AllTrades.Count > 1)
{
Trade lastTrade = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1];
Trade firstTrade = SystemPerformance.AllTrades[0];

Print("The last trade profit is " + lastTrade.ProfitCurrency);
Print("The first trade profit is " + firstTrade.ProfitCurrency);
}​

In order to understand why you are or are not seeing these prints when running the strategy live, I suggest printing the value for SystemPerformance.AllTrades.Count outside of the condition to understand if it is less than, equal to, or greater than 1:

Print(Time[0] + " SystemPerformance.AllTrades.Count is: " + SystemPerformance.AllTrades.Count);
if (SystemPerformance.AllTrades.Count > 1)
{
Trade lastTrade = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1];
Trade firstTrade = SystemPerformance.AllTrades[0];

Print("The last trade profit is " + lastTrade.ProfitCurrency);
Print("The first trade profit is " + firstTrade.ProfitCurrency);
}​

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

[trader3000a]

Hi Emily,
I modified the strat to hold for 1 bar only and close. I then allowed a few trades to open and close. The trade count is always zero for historical and live bars. This is using the sim account.

12/21/2023 2:19:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:20:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:21:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:22:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:23:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:24:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:25:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:26:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:27:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:28:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:29:00 PM SystemPerformance.AllTrades.Count is: 0
Enabling NinjaScript strategy 'LastTradeTest/309086611' : On starting a real-time strategy - StartBehavior=ImmediatelySubmitSynchronizeAccount Position=MNQ MAR24 1L EntryHandling=All entries EntriesPerDirection=1 StopTargetHandling=Per entry execution ErrorHandling=Stop strategy, cancel orders, close positions ExitOnSessionClose=True / triggering 30 seconds before close SetOrderQuantityBy=Strategy ConnectionLossHandling=Recalculate DisconnectDelaySeconds=10 CancelEntriesOnStrategyDisable=False CancelExitsOnStrategyDisable=False Calculate=On bar close IsUnmanaged=False MaxRestarts=4 in 5 minutes
Syncing account position on starting strategy 'LastTradeTest/309086611'. Account position=' MNQ MAR24' Strategy position='L MNQ MAR24'
12/21/2023 2:30:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:31:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:32:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:33:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:34:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:35:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:36:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:37:00 PM SystemPerformance.AllTrades.Count is: 0
12/21/2023 2:38:00 PM SystemPerformance.AllTrades.Count is: 0​

[trader3000a]

Hi Emily,
I added this to State.SetDefaults (since i use the strategies tab):

IncludeTradeHistoryInBacktest = true;

and now i get prints

[NinjaTrader_Emily]

Hi Emily,
I added this to State.SetDefaults (since i use the strategies tab):

IncludeTradeHistoryInBacktest = true;

and now i get prints

Nice catch; I apologize for the inconvenience. IncludeTradeHistoryInBacktest defaults to true and it did not come to mind that this property being set to false would be the cause of the behavior you were reporting. For more information:

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

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