Understanding strategy analyzer PnL results

[Maese]

Hi,


I have configured a EUR/USD 'mini' contract that I trade with one of my brokers:

• Tick size = 0.0001
• Point value = $10,000

The 'Point value' in the instruments manager is described in the NT help guide as "The currency value of 1 point of movement for the instrument". And the 'Tick size' as "the increment value the instrument trades in".
According to these definitions the value of tick in the instrument I configured should be $1 = 0.0001*10,000. Right?

I have then back tested a strategy on this new instrument and when I look at the results it seems the PnL is off by a factor of 10.
For example, the strategy generated a short sell of 10,000 at 1.3635 which is then closed at 1.3626. That is a 0.0009 difference or 9 ticks.
In the 'Trades' tab of the Strategy Analyzer I can see the following:

• When reporting in 'Points' the Profit column shows 9
• When reporting in 'Currency' the Profit column shows $0.90

The price moved 9 ticks and since the tick value is $1I therefore expect to see a Profit=$9 instead of $0.90.
How can this be explained?

thanks

Maese

[NinjaTrader_Bertrand]

Maese, there would be no need to change the point value here - just use the standard settings and only trade 10k units and you will see the pnl reporting as you would expect.

[Maese]

Bertrand,

adjusting for the 10x factor within the logic in my strategy is what I did initially, but when I applied the same strategy to different instruments I realized it would required a different adjustments for different instruments. This is precisely what I thought could be avoided by using the point value and tick size information instead.
The other reason I moved away the 10x code adjustment is that it would become unpractical when taking the strategy to live trading.

Therefore I suggest we go to the root of the problem: in the example I sent you, with the settings I made, shouldn't the Profit be reported as $9?

I have made another test with a Market Reply connection and data for EURUSD:

- With EURUSD having point value = 100,000 and tick size = 0.0001 (original settings) the tick value should be $10. I enter long 100,000USD and each 0.0001 price change translates into a $10 move in the 'PnL' column of the 'Positions' tab of the Control Center. Similarly, once I close the position, the 'Realized' column in the 'Accounts' tab shows the correct pnl. This is all working as expected.

- Now I change the point value of the EURUSD to 10,000 and keep the tick size = 0.0001. The tick value should now be $1. I enter long 10,000USD and each 0.0001 price change translates into a $0.1 move in the 'PnL' column. When I close the position I get a realized pnl 10 times smaller than what it should be.

I also did a similar test with a simulated data connection and got the same results.

Am I misunderstanding point value and tick size?
How can I setup an instrument to represent the contract that pays off $1 for each tick of the EURUSD rate (where the tick is 0.0001)?

thanks

Maese

[Maese]

Hi Bertrand

did you have a chance to look into my last replay to your answer?

regards

Maese

[koganam]

Bertrand,

adjusting for the 10x factor within the logic in my strategy is what I did initially, but when I applied the same strategy to different instruments I realized it would required a different adjustments for different instruments. This is precisely what I thought could be avoided by using the point value and tick size information instead.
The other reason I moved away the 10x code adjustment is that it would become unpractical when taking the strategy to live trading.

Therefore I suggest we go to the root of the problem: in the example I sent you, with the settings I made, shouldn't the Profit be reported as $9?

I have made another test with a Market Reply connection and data for EURUSD:

- With EURUSD having point value = 100,000 and tick size = 0.0001 (original settings) the tick value should be $10. I enter long 100,000USD and each 0.0001 price change translates into a $10 move in the 'PnL' column of the 'Positions' tab of the Control Center. Similarly, once I close the position, the 'Realized' column in the 'Accounts' tab shows the correct pnl. This is all working as expected.

- Now I change the point value of the EURUSD to 10,000 and keep the tick size = 0.0001. The tick value should now be $1. I enter long 10,000USD and each 0.0001 price change translates into a $0.1 move in the 'PnL' column. When I close the position I get a realized pnl 10 times smaller than what it should be.

I also did a similar test with a simulated data connection and got the same results.

Am I misunderstanding point value and tick size?
How can I setup an instrument to represent the contract that pays off $1 for each tick of the EURUSD rate (where the tick is 0.0001)?

thanks

Maese

That would be expected. You have changed both the lot size and the point size. Change one or the other. not both.

[NinjaTrader_Bertrand]

Maese, sorry for the late update - I looked further into and you trade too less size then for the adjusted point value as koganam has also pointed out. A full position in FX corresponds to 100K units, so if you trade just 10K units on a tenth of the point value then you're PNL will not match up and be off by the factor 10. My original suggestion would stand, adjust the unit size as needed on our default settings.

[Maese]

"[...] you trade too less size then for the adjusted point value [...]"
Does this mean that the "Point value" setting limits the minimum size you can trade?

"A full position in FX corresponds to 100K units"
Is this a hard coded setting?

Let me try to keep it as simple as possible:
I want to setup a mini contract that trades in lots of 10K units and for each 0.0001 movement in the EURUSD rate pays off 1USD.

What value should I set to "Points Value"?
What value should I set to "Tick Size"?
Given that I can only trade 10K

thanks

Maese

[koganam]

"[...] you trade too less size then for the adjusted point value [...]"
Does this mean that the "Point value" setting limits the minimum size you can trade?

"A full position in FX corresponds to 100K units"
Is this a hard coded setting?

Let me try to keep it as simple as possible:
I want to setup a mini contract that trades in lots of 10K units and for each 0.0001 movement in the EURUSD rate pays off 1USD.

What value should I set to "Points Value"?
What value should I set to "Tick Size"?
Given that I can only trade 10K

thanks

Maese

Trade your mini contract size. Leave "Points Value" and "TickSize" alone at their defaults.