SystemPerformance.AllTrades Issue with Live Trading

[wuileng]

Created a simple strategy to troubleshoot code which is supposed to print the realized P&L from the last trade a strategy has made, regardless of historical or live bars. Please see attached file for the strategy.

When backtesting, this is what I see, and is what I expect:

.....
Position Opened
Position Closed
Last Trade PL = ($35.00)
.....

However, when the strategy is run live, on historical bars, I do not see the "Last Trade PL" line at all.

This indicates that SystemPerformance.AllTrades is not being populated when a live strategy is run on historical bars. Not sure if this is a bug or I am misusing something, but since I'm not using SystemPerformance.RealTimeTrades, I would have expected it to include historical trades as well.

I have gotten here by trying to debug. Initially, I tried the following without the nested if statement as I assumed that the second Print() would only be called when a trade is exited (and thus AllTrades.Count having at least 1 item) but this caused NT8 to not respond/force close on me.

				if (execution.Order.Name.Substring(0,4) == "Exit")
				{
					Print("Position Closed");
					if (SystemPerformance.AllTrades.Count > 0)
						Print("Last Trade PL = " + SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1].ProfitCurrency.ToString("C"));
				}

[NinjaTrader_DaveI]

Hello,

Thank you for sharing that with us. I'm going to take some time to test this out on my end, and see if I can find a solution or pinpoint what is happening. I will get back to you as soon as I have some info to share.

[wuileng]

I modified the entry conditions to test this in realtime, so it would trade immediately when run, and also so I would see timestamps:

		protected override void OnBarUpdate()
		{
			Print (Time[0]);
			
			if (State == State.Realtime)
				EnterLong("Entry");
			//Add your custom strategy logic here.
			
			if (BarsSinceEntryExecution("Entry") >= 5)
				ExitLong("Exit", "Entry");	
		}

However, it seems that even in realtime, I am not getting the "Last Trade PL" printed. Output contents as follows:

5/15/2015 3:17:00 PM
NinjaScript strategy 'MyCustomStrategy/42297425' submitting order
Position Opened
5/15/2015 3:18:00 PM
5/15/2015 3:19:00 PM
5/15/2015 3:20:00 PM
5/15/2015 3:21:00 PM
5/15/2015 3:22:00 PM
5/15/2015 3:23:00 PM
NinjaScript strategy 'MyCustomStrategy/42297425' submitting order
Position Closed

[NinjaTrader_DaveI]

Hello,

Thank you for your patience. After testing on my end, everything seems to be printing as expected. The "Last Trade" prints were buried within hundreds of lines of timestamps, but they were there (see below)

http://screencast.com/t/FIKopOKp7
http://screencast.com/t/8VFdv59C
http://screencast.com/t/f7fPWvaY

Is it possible that they were just so buried in the timestamps on your end that you missed them? Or do you still not see them at all?

[wuileng]

Hi,

Thanks for investigating. I can confirm that they do not come up at all, and removing the nested if statement causes NT8 to crash.

However, this behaviour only occurs when I run the strategy from the strategies grid. When backtesting or running the strategy from a chart, it works as expected.

[NinjaTrader_DaveI]

Hello,

Thank you for clarifying that. I'm seeing the same thing on my end when I apply the strategy directly via the Strategies tab. After a bit of debugging, it appears the issue stems from SystemPerformance.AllTrades.Count always returning 0 when the strategy is applied within the Strategies tab.

I have submitted a QA report on this issue to our development team. Thank you once more for sharing this with us.

[sledge]

Hello,

Thank you for clarifying that. I'm seeing the same thing on my end when I apply the strategy directly via the Strategies tab. After a bit of debugging, it appears the issue stems from SystemPerformance.AllTrades.Count always returning 0 when the strategy is applied within the Strategies tab.

I have submitted a QA report on this issue to our development team. Thank you once more for sharing this with us.

This is still an issue in NT8Beta3 with Playback-market replay.

After my stoploss was hit, and the trade closed, it is always reporting 0. In NT7 this counted.

Print ( "NumberOfTrades="+ NumberOfTrades + " Performance.AllTrades.Count=" + SystemPerformance.AllTrades.Count );

NumberOfTrades=1 Performance.AllTrades.Count=0
NumberOfTrades=1 Performance.AllTrades.Count=0
NumberOfTrades=1 Performance.AllTrades.Count=0
NumberOfTrades=1 Performance.AllTrades.Count=0
NumberOfTrades=1 Performance.AllTrades.Count=0
NumberOfTrades=1 Performance.AllTrades.Count=0

[sledge]

And it looks like nothing is there. I counted my trades in TotalTrades and subtracted 1 to access and errored out.

NumberOfTrades=1 TotalTrades=1 Performance.AllTrades.Count=0
Strategy 'strategy1': Error on calling 'OnBarUpdate' method on bar 11101: You are accessing an index with a value that is invalid since it is out-of-range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.
Disabling NinjaScript strategy 'strategy1/51210416'

[NinjaTrader_DaveI]

Hello,

Try setting "IncludeTradeHistoryInBacktest = true" within State.SetDefaults, and see if that gives you a result. This property is set to false by default in certain cases, such as when a strategy is enabled directly in a grid (the Strategies tab or Strategy Analyzer, etc.).

[sledge]

I'll give that a try tonight.

[sledge]

Hello,

Try setting "IncludeTradeHistoryInBacktest = true" within State.SetDefaults, and see if that gives you a result. This property is set to false by default in certain cases, such as when a strategy is enabled directly in a grid (the Strategies tab or Strategy Analyzer, etc.).

Nope! DOES NOT work in Playback - Market Replay for me.

NinjaScript strategy 'strategy1/51210416' submitting order
1a marketPosition=Long
1b position.MarketPosition=Long
2 OnPositionUpdate.MarketPosition=LONG
NinjaScript strategy 'strategy1/51210416' submitting order
sjsV1issuL- 20140121,93500,ES,Entered Long @1842.75
NinjaScript strategy 'strategy1/51210416' submitting order
1a marketPosition=Flat
1b position.MarketPosition=Long
2 OnPositionUpdate.MarketPosition=FLAT
20140121,110900,ES,Flat
NumberOfTrades=1 TotalTrades=1 Performance.AllTrades.Count=0

[NinjaTrader_DaveI]

It seems to be working as expected on my end in Market Replay. I receive Prints that update Alltrades.Count each time a trade was taken on historical bars before State.Realtime. Can you share a snippet of code that shows your order entry and exit logic and the placement of your Prints so that I can test further?

[sledge]

It seems to be working as expected on my end in Market Replay. I receive Prints that update Alltrades.Count each time a trade was taken on historical bars before State.Realtime. Can you share a snippet of code that shows your order entry and exit logic and the placement of your Prints so that I can test further?

We might be still a step apart on understanding each other here. Yes I'll put something together tonight.

In the meantime, This is in playback-market replay. There are no historical trades.

The first trade is with the playback button going forward, max speed. There is no trade performance on the loss.

[sledge]

It seems to be working as expected on my end in Market Replay. I receive Prints that update Alltrades.Count each time a trade was taken on historical bars before State.Realtime. Can you share a snippet of code that shows your order entry and exit logic and the placement of your Prints so that I can test further?

This codes contains both the marketPosition/Alltrades issues.

http://ninjatrader.com/support/forum/showthread.php?t=77229

This code runs 1 time. I connect to PlayBack-Market Replay. I add and enabled the strategy. I turn playback up to max. hit play.

The code will enterLong at 9:34am or so. Hopefully you have a day where the stopLoss is hit.

In the case below - exitOnClose happened.

There is nothing in AllTrades, and the position.MarketPosition shows Long, inside of OnPositionUpdate?

NinjaScript strategy 'MyNT8test/51210427' submitting order
1a marketPosition=Long
1b position.MarketPosition=Long
2 OnPositionUpdate.MarketPosition=LONG
NinjaScript strategy 'MyNT8test/51210427' submitting order
test1- 20131230,93500,ES,Entered Long @1837.25
NinjaScript strategy 'MyNT8test/51210427' submitting order
NinjaScript strategy 'MyNT8test/51210427' submitting order
1a marketPosition=Flat
1b position.MarketPosition=Long
2 OnPositionUpdate.MarketPosition=FLAT
20131230,144300,ES,Flat
 Performance.AllTrades.Count=0
 Performance.AllTrades.Count=0

[NinjaTrader_DaveI]

Thank you -- I'll take a look at the code and see if I can gain any further insight.

It is expected that position.MarketPosition would show long in the OnPositionUpdate() called by exiting a long position. When OnPositionUpdate() is called, the Position object passed into it contains info about the position as it stood before OnPositionUpdate() was called. The MarketPosition object passed into OnPositionUpdate() should contain the current position. We do this to allow the previous state of the position to be compared with the new state, for any kind of logic you may need that requires both.