Partial Fill - Flat Rate Commissions Do Not Add UP Correctly

[Lucius]

Hello Support,

Can you please help me understand how NT is calculating this example of FLAT Rate Commissions using Market Replay.

I globally specified in NT->Control->Options-> Futures Replay a $2 flat rate.

The Strategy is trading YM, and I have specified NO COMMISSIONS for YM in NT->Tools->Instrument Manager.

When the strategy trades 1 YM Contract at a time, the commission NT calculates is what I expect, commission of $2.00 per order per side, or $4.00 per the entire order. Please see attachment rows 1-7

When the strategy trades 2 YM Contracts at a time, and NT must manage the execution of the trade using partial fills, the commission calculation does NOT look right to me. Please see the attachment rows 8-15.

The attachment was created using NT Reatime Strategy Performance Grid extract to Excel.

Rows 12-15 should have Commission of $2.00 (not $4, see red circles on attachment) since the trade execution quantity of the partial Fill is 1 contract, yet NT used $4.00 for the first Fill of each trade (row 12 & 14). Then NT added another $2.00 commission for the last partial Fill.

The result is the commission for both “partial fill trades” (Rows 12-15) is $6.00 each entire order, when it should add up to $4.00.

What Do I need to specify to NT, so that partial Filled order commissions add up to equal the correct $2.00 per order per side, or $4.00 per the entire order ?

Or can you please explain why NT is calculating Flat Rate Partial Fill commission this way, and what are the rules it follows for Flat Rate Partial Fill Commissions?

What would the Flat Rate Commissions look like if I traded 5 contracts that resulted in the execution of 4 partial Fills of Quantity=1,1,1,3… ?

Please let me know.

[NinjaTrader_PatrickH]

Hello Lucius,

Thank you for your post.

The calculations appear to be incorrect, there should be no options you need to enable for the partial fills to be calculated correctly.

Please send me your log and trace files for today so that I may look into what occurred.

You can do this by going to the Control Center-> Help-> Mail to Platform Support.

Please reference this thread in the body of the e-mail: http://www.ninjatrader.com/support/f...ad.php?t=72130

[Lucius]

Hello PatrickH

OK. I've sent the email using NT.

Please let me know.

[NinjaTrader_PatrickH]

Hello Lucius,

Thank you for your response.

When running the report after the executions were made, make sure to enable 'Group Trade By ATM Strategy' to properly tie the entry and exits together.

Please let me know if you still see issues in the reporting after enabling the option above.

[Lucius]

Hello Patrick,

Typically I will right-click on a strategy from the Strategies tab and select Strategy Performance->Realtime to get a report. See Attached. I can't select "Group trades by ATM strategy" on the dialog window that comes up after that. So in other words, selecting performance reports using this right-click method from the strategy tab will not show partial fill commissions correctly. Maybe this can be addressed in a future release of NT.

However, doing as you suggest, I will from now on, only select performance reporting using the Account Performance Tab where I have the option of selecting "Group by ATM strategy".

I reran my strategy test and my partial fills are now being charged flat rate commissions correctly.

Thanks for your Help !