Long and Short on the same instrument

[tiffanychan887]

Has opened two SuperDOM Window, one short and the other long at different price level of the same instrument. Two Windows are set to DisplaySelectedAtmStrategyOnly. However, after both orders are settled, there is only two Long Record in the Account Performance Tab. Why can't I found the Short Record? There is also no Short Record in under the Executiion Tab

Thanks.
Tiffany

[NinjaTrader_Jason]

Hello Tiffany,

Can you please check the execution times of the two long trades. Are these the 4 executions that occurred during the trade in question?

Please note that the entry orders are paired together as a trade in such a setup. Subsequently the exit orders are paired as well.

[koganam]

Has opened two SuperDOM Window, one short and the other long at different price level of the same instrument. Two Windows are set to DisplaySelectedAtmStrategyOnly. However, after both orders are settled, there is only two Long Record in the Account Performance Tab. Why can't I found the Short Record? There is also no Short Record in under the Executiion Tab

Thanks.
Tiffany

If you are executing orders in the same account, it does not matter from where you do so. You cannot be long and short at the same time in the same instrument in the same account. It is a physical impossibility, as the broker simply executes buy and sell orders, not long and short orders. The second (opposite) order will simply cancel the first order and take you flat.

[tiffanychan887]

The following are the details of what I've done :

1) Open two SuperDOM with the "DisplaySelectedAtmStrategyOnly".

2) Long at 91.98 in one SuperDOM window at current price in the 1st SuperDOM.

3) Short at 92.06 in the 2nd SuperDOM window when price reaches 91.06.

4) Exit the short order in the 2nd DOM window when price reaches 91.09, That means there should be a 3 ticks loss.

5) Price then drops from 91.09 all the way to 91.98 and exit my long order in the 1st window. The long order should be a break even.

The total loss should be 3 ticks for the above but when I check the Performance tab, this is what I've got.

Two long orders :

1) Long at 91.98 and exit at 92.06. Profit of 8 ticks..

2) Long at 92.09 and exit at 91.98. Loss of 17 ticks.

Is it possible to achieve the 3 ticks loss as I expected.

In the Execution tab, I've got the following :

1) Buy at 91.98

2) Sell at 92.06

3) Buy at 92.09

5) Sell at 91.98

Thanks. Tiffany.

[NinjaTrader_Jason]

Hello Tiffany,

The total loss is 3 ticks.

First trade:
91.98 and exit at 92.06. profit of 8 ticks

Second trade:
92.09 and exit at 91.98. loss of 11 ticks

[tiffanychan887]

Dear Jason,

It seems to be correct but the following is another case.

1) Long at current price of 93.04 in 1st SuperDOM.

2) When price reaches 93.13, short in 2nd SuperDOM.

3) When price rises to 93.17, exit the short order in 2nd SuperDOM, so a loss of 4 ticks.

4) When price drops back to 93.14, reenter short in 2nd SuperDOM at 93.14.

5) When price rises to 93.18, exit both the Long and Short order, so a profit of 93.14 - 93.04 = 10 ticks

Hence, the accumulated profit = 10 - 4 = 6 ticks.


In the Trade Tab, we have

1) Long, entry 93.04, exit 93.13, 9 ticks profit

2) Long, entry 93.17, exit 93.14, 3 ticks loss

3) Long, entry 93.18, exit 83.17, 1 ticks loss

Hence, the accumulated profit = 9 - 3 - 1 = 5 ticks

The results are different because the method of calculation are different. In the first case, the price 93.18 at step 5 will not affect the profit/loss.

In the 2nd method, this will significantly affects the result.

Is it really possible to have both long and short on the same instrument with one account? If not, is it possible to operate two accounts using SuperDOM with only one NinjaTrader?

Thanks.

Tiffany

[koganam]

Dear Jason,

It seems to be correct but the following is another case.

1) Long at current price of 93.04 in 1st SuperDOM.

2) When price reaches 93.13, short in 2nd SuperDOM.

3) When price rises to 93.17, exit the short order in 2nd SuperDOM, so a loss of 4 ticks.

4) When price drops back to 93.14, reenter short in 2nd SuperDOM at 93.14.

5) When price rises to 93.18, exit both the Long and Short order, so a profit of 93.14 - 93.04 = 10 ticks

Hence, the accumulated profit = 10 - 4 = 6 ticks.


In the Trade Tab, we have

1) Long, entry 93.04, exit 93.13, 9 ticks profit

2) Long, entry 93.17, exit 93.14, 3 ticks loss

3) Long, entry 93.18, exit 83.17, 1 ticks loss

Hence, the accumulated profit = 9 - 3 - 1 = 5 ticks

The results are different because the method of calculation are different. In the first case, the price 93.18 at step 5 will not affect the profit/loss.

In the 2nd method, this will significantly affects the result.

Is it really possible to have both long and short on the same instrument with one account? If not, is it possible to operate two accounts using SuperDOM with only one NinjaTrader?

Thanks.

Tiffany

Tiffany, as I already responded, you cannot be long and short the same instrument in the same account. Remember that brokers make buy and sell orders, not short and long orders. They really do not care whether you are long or short; they simply see that you want to buy or sell. Long and short are really only of relevance to the trader: she needs to remember what she did when she was last flat and entered the market is all; the broker does not care, as long as he collects his vigorish. NT helps by telling you are a glance what you need to do to get flat or add on, hence showing your current position as long or short.

Here is really what happened, as clearly shown by your log.

1) Long at current price of 93.04 in 1st SuperDOM. - broker makes a buy order. You are long.

2) When price reaches 93.13, short in 2nd SuperDOM. - broker makes a sell order. You are flat. Profit = 9 ticks.

3) When price rises to 93.17, exit the short order in 2nd SuperDOM, so a loss of 4 ticks. - broker makes a buy order because you did issue a buy order to exit a short (you were thinking), even though you are actually flat. So, you are now long.

4) When price drops back to 93.14, reenter short in 2nd SuperDOM at 93.14. - broker makes a sell order (because you think you are going short, and issued a sell order). You are again actually flat. Loss = 3 ticks.

5) When price rises to 93.18, exit both the Long and Short order, so a profit of 93.14 - 93.04 = 10 ticks - broker issues a buy order at Ask, and a sell order at Bid. You lose the spread of 1 tick.

Your profit is 9 - 3 -1 = 5 ticks. As you can see, this matches your log: you went long and sold, then went long and sold, then went long and immediately sold (you tried to exit what you thought was a simultaneous long and short position, but you were flat, in reality).

When you enter positions, try to think like the broker. Do not think in terms of long and short, when issuing orders, think in terms of buy and sell. If you buy, then sell, you are flat; not simultaneously long and short.

[tiffanychan887]

Dear Koganam,

Thanks for the info. Then is it possible to develop a strategy in NinjaScript that can long and short in the same instrument in a single account? I believe it's not possible too. Is that correct?

Thanks.
Tiffany

[koganam]

Dear Koganam,

Thanks for the info. Then is it possible to develop a strategy in NinjaScript that can long and short in the same instrument in a single account? I believe it's not possible too. Is that correct?

Thanks.
Tiffany

Unfortunately, the situation is no different, no matter how the orders are issued. The real problem is that the broker really has absolutely no idea of your setup. Even if you were issuing the orders from different programs, all the broker sees are buy and sell orders, so no, it is physically/logically impossible to be simultaneously long and short in the same instrument in the same account.

I do know one person who sometimes does do the opposing position thingy using a futures instrument and a corresponding ETF. Specifically he uses the IWM and /TF. He only goes long in IWM, and only goes short in /TF, and sometimes is in both instruments at the same time.

His reasoning, (I have no knowledge if it is true), is that the ETF rises faster than it falls, and the futures falls faster than it rises. He claims that that means sometimes, they are actually out of whack and a simultaneous exit can be profitable. YMMV.

[jitterbug]

I see now, thanks for this link Koganam.

[jitterbug]

according to FXCM you can hedge with them, go long and short on the sam FX pair.

[NinjaTrader_Jason]

Unfortunately FXCM accounts with hedging enabled are not supported in NinjaTrader. If you like to connect to FXCM in NinjaTrader, you will need to contact FXCM to disable hedging as per your account.

[jitterbug]

Jason is it a technical hurdle re programming to implement their hedging functionality inside of NT or is it a business driven decision?

[NinjaTrader_Jason]

It is a technical hurdle. The NinjaTrader platform cannot properly manage such accounts.

[bltdavid]

It is a technical hurdle. The NinjaTrader platform cannot properly manage such accounts.

With regards to Forex and/or FXCM, does NT8 have this same technical hurdle as NT7?