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| Automated Trading Support for automated trading systems using NinjaScript. Support for our ATI (Automated Trading Interface) used to link an external application such as TradeStation and eSignal to NinjaTrader. |
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#1 |
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Junior Member
Join Date: Oct 2011
Posts: 6
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On real time, this system closed a short position (on 9/23 16:45) on EnterLong() execution. Since then, trades seem to be displaced, trades begin on ExitLong/Short() and end on EnterLong/Short() (see trade on 9/26 11:45 - 9/26 12:30).(see attached image)
Could anyone explain it, please? Thank you. The system contains something like: EnterLong(0,1,"Compra") EnterShort(0,1,"Venta") ExitLong(0,1,"Cierro compra","Compra") ExitShort(0,1,"Cierro venta","Venta") |
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#2 |
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NinjaTrader Customer Service
Join Date: Sep 2009
Location: Denver, CO
Posts: 8,117
Thanks: 249
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Hello NoName,
Welcome to the NinjaTrader forum! Unfortunately real time performance does not pair trades according to the signal names used in a strategy. All trades are paired with FIFO, even if they originate from an automated strategy.
Ryan M
NinjaTrader Customer Service |
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#3 |
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Junior Member
Join Date: Oct 2011
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So realized PnL on strategies tab is different from real time performance by clicking right button Performance -> Realtime?
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#4 |
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NinjaTrader Customer Service
Join Date: Sep 2009
Location: Denver, CO
Posts: 8,117
Thanks: 249
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No, my response was about trade pairing. Generally PnL should be identical. Are you seeing different in your NinjaTrader?
Ryan M
NinjaTrader Customer Service |
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#5 |
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Junior Member
Join Date: Oct 2011
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Yes, i'm seeing different realized PnL. You can see the rare operations on the image I sent you. The realized PnL on strategies tab matches the ("CierroCompra" - "Compra") sum while the realized PnL on Performance->Realtime matches the ("Compra" - "CierroCompra") sum
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#6 |
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NinjaTrader Customer Service
Join Date: Sep 2009
Location: Denver, CO
Posts: 8,117
Thanks: 249
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One explanation for this is that the strategies tab is dynamically updated with each trade, and the real time performance is only updated at the time you request the report. Do they match if you request a new real time performance report?
Ryan M
NinjaTrader Customer Service |
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#7 |
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Junior Member
Join Date: Oct 2011
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That's not the problem. I think the problem is induced by 'rare trades'.
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#8 |
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NinjaTrader Customer Service
Join Date: Sep 2008
Location: Germany
Posts: 22,377
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NoName, from your original post it seems more like a syncronization issue as you restart the strategy - with which synching options are you working here?
Bertrand
NinjaTrader Customer Service |
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