NT8 Beta 9

[FaaastEddy]

Hi,

When I backtest a strategy in Strategy Analyzer, the minimum commission value is not being taken into consideration instead it uses always the per unit commission value.

I confirmed my settings are correct for that Commission setting and that the account is configured to use that Commission setting.

Interestingly, when I place a test trade the minimum commission is being used correctly. I think there might be a bug with Strategy Analyzer ignoring the minimum commission setting specifically.

Thanks,
Ed

[NinjaTrader_PaulH]

Hello edchavez,

Thanks for your post.

Are you able to replicate this using the sampleMACrossover strategy? Can you provide more detail about your settings so that I can replicate on my end. What instrument, what bars (5 minute?), time frame (March 1 to present 2016?) what value are you getting for total commissions, what are you expecting? Which commission template are you using (standard/custom)?

If you would prefer, feel free to send in the information to PlatformSupport[at]NinjaTrader[dot]com atten:Paul and a link to this thread.

[FaaastEddy]

Hi Paul,

Yes, I can replicate with the sampleMACrossover strategy. I tried with a bunch of different instruments (i.e. ES, EURUSD, MSFT) thinking it might be an asset class bug in the Commission Manager. I also tried 5, 10, 30 and daily time frames across periods from present to last 3 months. I tried both a custom and the standard NT Lifetime commission template. As I mentioned, I'm getting the per-unit commission values, the minimum commission is not be used. Give it a quick test, I think you'll see the bug.

Thanks,
Ed

[NinjaTrader_PaulH]

Hi Ed,

Thanks for your reply.

What I observed when using commission templates where the instruments were defined that the back test used those commission correctly.

What I observed was when applying the commission template that has no specific instruments listed and only minimum commissions defined by instrument type, that the backtesting results showed a commission of $2.00 per trade (R/T) for ES and NQ. These same instruments showed commissions of $4.90 per trade (R/T) when orders placed on superdom. In this example I had set the minimum to $2.45 per side.

Please let me know if this confirms what you are seeing.

[FaaastEddy]

Hi Paul,

I'm still actually able to reproduce the issue.

Thanks,
Ed

[NinjaTrader_PaulH]

Hi Ed,

Thanks for your reply.

When you run the strategy analyzer on a particular instrument and are using a commission template that does not have a definition for that specific instrument and you do have a minimum commission set for that "type" of instrument, do you see a commission of $2.00/trade in the strategy analyzer? The expectation is that you would see the minimum commission but what I am seeing and what i am asking is do you see a $2.00 commission per trade?

[FaaastEddy]

Hi Paul,

Yes, I've tried both commission methods - Per Instrument and Per Asset Class. I don't see the minimum commission used/displayed when I run Strategy Analyzer and look at the trade results. As soon as I add a per-unit commission to either the Per Instrument or Per Asset Class commission definition then I see the commission calculated in backtest results. The minimum commission is being ignored completely in all cases.

Thanks,
Ed

[NinjaTrader_PaulH]

Hi Ed,

Thanks for your reply.

Can you confirm when you are not seeing the minimum commission that you are seeing $2.00/trade commission reported in the strategy analyzer? If not what specific value are you seeing?

[FaaastEddy]

Hi Paul,

The commission is $0.00 when I look at the trade results of the Strategy Analyzer when I only use the minimum commission setting. Is this clear now?

Thanks,
Ed

[NinjaTrader_PaulH]

Hi Ed,

Thanks for your reply.

In order for us to investigate an issue we need to be able to recreate it and through our exchanges it seems we are not seeing the same thing. So that I can replicate what you are observing, please detail the step by step process to reproduce the results that show a commission of $0.00 (in the strategy analyzer) when a minimum commission has been defined for the instrument.

Please feel free to add screenshots if that will help in understanding. If you would prefer you can also send into PlatformSupport[at]NinjaTrader[dot]com with Atten: Paul and a link to this thread.

Thank-you for reporting this issue and we appreciate your participation in the beta program.