Data Collection Per Trade

[Anagoge]

It would be great to be able to collect additional user-defined data on a per-trade basis. For example, I would love to collect volume data, indicator values, % price movements, etc. on the entry bar of a trade and show that data in the trades tab grid in the strategy analyzer results. That way, I could analyze volume, etc. on winning vs losing trades, etc.

For example I could call something like this for each order entry:
(IOrder) Order.AddCustomData("Volume", int, CurrentBarVolume)
(IOrder) Order.AddCustomData("Pct Change", double, CurrentBarPriceChange)

[NinjaTrader_RJ]

It would be great to be able to collect additional user-defined data on a per-trade basis. For example, I would love to collect volume data, indicator values, % price movements, etc. on the entry bar of a trade and show that data in the trades tab grid in the strategy analyzer results. That way, I could analyze volume, etc. on winning vs losing trades, etc.

For example I could call something like this for each order entry:
(IOrder) Order.AddCustomData("Volume", int, CurrentBarVolume)
(IOrder) Order.AddCustomData("Pct Change", double, CurrentBarPriceChange)

Hello,

Thank you for your post and suggestion.

I will forward this to development for future consideration.

Have a great day and happy trading!

[LotsaOptions]

It would be great to be able to collect additional user-defined data on a per-trade basis. For example, I would love to collect volume data, indicator values, % price movements, etc. on the entry bar of a trade and show that data in the trades tab grid in the strategy analyzer results. That way, I could analyze volume, etc. on winning vs losing trades, etc.

For example I could call something like this for each order entry:
(IOrder) Order.AddCustomData("Volume", int, CurrentBarVolume)
(IOrder) Order.AddCustomData("Pct Change", double, CurrentBarPriceChange)

Hi Anagoge,

Attached is a custom "OptimizationType" called Optimization Logger that I use for this kind data gathering. When selected in the "Optimize on..." dropdown box of an Optimize or Walk Forward Optimization action it will do two things:
1 - Record strategy summary information by appending to a file called Summary Reports.csv
2 - Record per trade information by creating a .csv file for each iteration of the optimization. The file contains a row for each trade and columns for the following:

row["BarID"] = calculationTime.ToBinary();
row["CalculationTime"] = calculationTime;
row["CalculationBar"] = Strategy.CurrentBar - barsback;
row["EntrySignal"] = t.EntryExecution.Order.Name;
row["EntryBar"] = t.EntryExecution.BarIndex;
row["EntryTime"] = t.EntryExecution.Time;
row["ExitSignal"] = t.ExitExecution.Order.Name;
row["ExitBar"] = t.ExitExecution.BarIndex;
row["ExitTime"] = t.ExitExecution.Time;
row["Profit"] = Math.Round(t.ProfitCurrency * t.Quantity);

(now to your actual question, i think)
It also adds a column for each indicator.Value[] that is added in the Strategy. The values that populate each of the indicator columns are the values from the close of the bar that triggers the order that was filled. So if you want to see the volume on those bars, just Add(VOL()); to your strategy.

Hope this helps.

Cheers,
Frank

[Anagoge]

Thanks for your posting your ideas. Your approach might be the closest we can get using the current NT release. Ideally, we would be able to add metrics to the existing grids/UI, but file output is a reasonable workaround in many cases. Often, my optimizations are large enough that I need to use the genetic optimizer, but these two tools could also be combined. Thanks again!

[PrTester]

Hi Anagoge,

Attached is a custom "OptimizationType" called Optimization Logger that I use for this kind data gathering. When selected in the "Optimize on..." dropdown box of an Optimize or Walk Forward Optimization action it will do two things:
1 - Record strategy summary information by appending to a file called Summary Reports.csv
2 - Record per trade information by creating a .csv file for each iteration of the optimization. The file contains a row for each trade and columns for the following:

row["BarID"] = calculationTime.ToBinary();
row["CalculationTime"] = calculationTime;
row["CalculationBar"] = Strategy.CurrentBar - barsback;
row["EntrySignal"] = t.EntryExecution.Order.Name;
row["EntryBar"] = t.EntryExecution.BarIndex;
row["EntryTime"] = t.EntryExecution.Time;
row["ExitSignal"] = t.ExitExecution.Order.Name;
row["ExitBar"] = t.ExitExecution.BarIndex;
row["ExitTime"] = t.ExitExecution.Time;
row["Profit"] = Math.Round(t.ProfitCurrency * t.Quantity);

(now to your actual question, i think)
It also adds a column for each indicator.Value[] that is added in the Strategy. The values that populate each of the indicator columns are the values from the close of the bar that triggers the order that was filled. So if you want to see the volume on those bars, just Add(VOL()); to your strategy.

Hope this helps.

Cheers,
Frank

Got the following errors any idea?, do I need to add any reference to it?

Regards

[Anagoge]

Yes, you need to add a reference to System.Data.dll usually located somewhere under C:\Windows\Microsoft.NET\Framework*

See here for the assembly/class details:

http://msdn.microsoft.com/en-us/library/system.data.datatable.aspx

[Anagoge]

There seems to be a minor issue with the code. I get this error in the Log tab:
Error on calling the 'GetPerformanceValue' method for optimization type class 'OptimizationLogger': Index was out of range. Must be non-negative and less than the size of the collection. Parameter name: index

on both of these two lines of code:
DateTime calculationTime = Strategy.Time[barsback];
row[i.GetType().Name + index.ToString()] = i.Values[index][barsback];

But I just tested it after hacking around that issue and the overall concept works.

[PrTester]

Yes, you need to add a reference to System.Data.dll usually located somewhere under C:\Windows\Microsoft.NET\Framework*

See here for the assembly/class details:
http://msdn.microsoft.com/en-us/libr...datatable.aspx

Thanks work like a charm

[ag987654321]

I don't suppose that there is an updated NT7 version of this as this is exactly the kind of thing that I have been looking for?

Thanks
Alex

[NinjaTrader_Brett]

Hello,

This has to be added manually through NinjaScript by tracking your own information in a seperate file. You wouldnt be able to add saved information to the NinjaTrader database. However you could save this information to a text file for example if you analyze trade data in excel.

http://www.ninjatrader.com/support/forum/showthread.php?t=3475

Let me know if I can be of further assistance.