Calculating P/L

[delTik]

just getting to grips with NT Strategy.

Quick question: if I call multiple EnterLong's (same entry/instrument) and want to determine the P/L on exit what are my options? e.g.

EnterLong(3)
ExitLong(3)
call Position.GetUnrealizedProfitLoss on fill exit event

or

if(Performance.AllTrades.Count >= 1)
{
Trade lastTrade = Performance.AllTrades[Performance.AllTrades.Count - 1];
ProfitLoss_LastTrade = lastTrade.ProfitTicks;
}

on fill exit event

[NinjaTrader_ZacharyG]

Hello delTik,

Thank you for writing in.

You will want to obtain the last trade as you have outlined in your second block of code.

This does not necessarily have to be done immediately upon the exit execution, however. As long as your strategy does not make additional trades, Performance.AllTrades.Count - 1 will still be referring to that last trade that was made by your strategy. If another trade occurred before you were able to obtain that PnL value, Performance.AllTrades.Count - 1 will be referring to that new trade.

[sledge]

just getting to grips with NT Strategy.

Quick question: if I call multiple EnterLong's (same entry/instrument) and want to determine the P/L on exit what are my options? e.g.

EnterLong(3)
ExitLong(3)
call Position.GetUnrealizedProfitLoss on fill exit event

or

if(Performance.AllTrades.Count >= 1)
{
Trade lastTrade = Performance.AllTrades[Performance.AllTrades.Count - 1];
ProfitLoss_LastTrade = lastTrade.ProfitTicks;
}

on fill exit event

If you are filled at 2 contracts and then 1 contract, that code will only return the final 1 contract traded. It would not be for all "3".

So be careful.

[delTik]

ok thanks. so if I use

		protected override void OnExecutionUpdate(...)
		{
			if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled)
	  		{
				if(SystemPerformance.AllTrades.Count >= 1) 
				{   
					 Trade lastTrade = SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1];
					 cumulativeTick += lastTrade.ProfitTicks; 
				}		
			}
		}

on each execution event I'll have the correct cumlative PL?

[NinjaTrader_PaulH]

Hello delTik,

Thanks for your post.

I copied your code into a test strategy and tested it against the sim101 account. After the first order completes, subsequent entry orders cause your accumulation to double the ticks. I think you would only want to add to your cumulativeTick when the execution is a profit target or a stop fill and not en entry fill.