commisions

[werido]

Yes the other strategies that only have one entry per direction are fine. So I'm getting the issue when I have 2 entries per direction set. I meant by repeat command that I have the same buy/sell order duplicated in the code to double the position size. All the repeat commands get the $45 commissions, and I guess I can now assume that the other ones getting it are the multiple entries per direction. How is that causing such a strange commission?

[werido]

ok, to further test it, I set entries per direction to 3 in the backtest, and now I'm also getting many $40 commissions, in addition to the $45 and $60.....

[werido]

entries per direction set to 4 and 5 are producing commissions including 37.50 and 36.00 respectively...

[werido]

Yes, I confirmed in the chart that when there are more than one entries per direction, they each get the lower commission. This can only make sense in the backtest because those getting the lower commissions were not just the repeat orders happening at the same time to double the position size, but also the orders entered in the same direction several minutes apart, which means that the first one getting the commission of $45 knew that it was going to be the first of many entries in that direction, which can only happen in a backtest.
But why are the multiple orders in the same direction getting a lower commision?

[werido]

Try it out on the "SampleOnOrderUpdate" strategy. Set entries per direction to 5 and you'll get many $45 commissions listed in the trades tab. sort by commisions.

[NinjaTrader_Jason]

Hello werido,

I will look into this tomorrow. Please expect a response by then.

[werido]

Thank you very much

[NinjaTrader_Jason]

Hello werido,

Yes, I can reproduce it using the 'SampleOnOrderUpdate', however I am not able to clarify why this occurs. I will need to escalate it to a NinjaScript support member.

Can you please check if the issue will persist in NinjaTrader 7. You can download and install it from the link below.

http://www.ninjatrader.com/webnew/download_trading_software.htm

If so, can you please send us your strategy, so we can analyze why it occurs. Please send it to support[at]ninjatrader[dot]com. Put 'Attn Jason' in the subject header and reference this forum thread.

Please expect a response next week.

[werido]

I'm using NT7.

[NinjaTrader_Jason]

I see - I assumed you had NinjaTrader 6.5 installed, since your message is not posted in the NinjaTrader 7 section of the forum.

Could you please send us your strategy.

[werido]

It's a proprietary strategy so I can't send it, but I think if you can see the $45 come up with that sample strategy that might give some answers. Its the multiple entries per direction that causes it since the $45 doesn't appear in either strategy when there is only 1 entry per direction. Were you able to make any headway on that?

Thank you.

[NinjaTrader_Jason]

I have forwarded your findings to Development to further analyze the issue. Once there is news regarding the matter, I will let you know.

[NinjaTrader_Jason]

Hello werido,

Unfortunately this is as expected. This is because there is only 1 exit order for two entry orders. The single exit order would be listed twice and as such the commission is divided and shown on the two trades separately. Subsequently when adding all up, the commssions would then be correct as opposed to overstating it.

[werido]

ok, I see that pattern now, every time a single exit closes two identical orders, the commission for each is listed at $45, and each time it close 3 it's $40. But how can I make each exit order be $60? I mean an exit order is still an order closing the same size as the entry so it would cost the same from my perspective. How can I have it show that it costs the same?

Thank you.

[NinjaTrader_RyanO]

Hi werido,

What you would do is when setting your commissions if you create a commission level where 3 contracts results in 20 dollars per contract. Please see the following link.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?CommissionTab

You would define a level with 3 units, and 20 for the commission. This means that with 3 contracts it would be 20 dollars per.