Announcement
Collapse
No announcement yet.
Partner 728x90
Collapse
NinjaTrader
MBT - Trailing Stop Behavior Resulting in Multiple Commissions
Collapse
X
-
MBT - Trailing Stop Behavior Resulting in Multiple Commissions
I just started trading with MBT today and noticed some odd behavior with an ATM Trailing Stop with one block of 2000 shares. When the stop executed to close full position the shares were sold in smaller orders at the broker/exchange and NT appears to have added the ATM Trailing Stop to every order resulting in multiple commissions (one for each order). Does this have something to do with simulation?Tags: None
-
Hello,
The commission are simulated based off the local NT settings and are tied per execution event. In the case you receive a partial fill which results in multiple executions, you will see the commissions reflected for each execution. This is a limitation of the simulated commissions and improving this behavior is on our development team's list of future enhancements.MatthewNinjaTrader Product Management
-
Originally posted by LeeMellinger View PostI just started trading with MBT today and noticed some odd behavior with an ATM Trailing Stop with one block of 2000 shares. When the stop executed to close full position the shares were sold in smaller orders at the broker/exchange and NT appears to have added the ATM Trailing Stop to every order resulting in multiple commissions (one for each order). Does this have something to do with simulation?
Set your commissions directive properly to "per share" and no minimum.
Comment
-
I'm referring to actual commissions charged by the broker. Meaning, the literal charges accessed by the broker (real money). Not simulated. Appears to only be triggered by an ATM trailing stop with MBT. IB did not do this. I suspect simulated OCO logic, though I'm not certain. I'm still investigating.
Comment
-
Hello LeeMellinger,
Orders can execute in partial executions. NinjaTrader does not have any effect on the execution of orders - orders execute as per market dynamics. I am not sure how commissions are setup as per your MBTrading account. However it seems to calculate commissions for each partial trade instead of one commission for the entire trade. I suggest to contact MBTrading for clarification regarding the commission structure of your account.JasonNinjaTrader Customer Service
Comment
-
Originally posted by LeeMellinger View PostI'm referring to actual commissions charged by the broker. Meaning, the literal charges accessed by the broker (real money). Not simulated. Appears to only be triggered by an ATM trailing stop with MBT. IB did not do this. I suspect simulated OCO logic, though I'm not certain. I'm still investigating.
Comment
-
You're correct. After doing some checking MBT is not charging for each partial fill. However, the main issue was that a trailing stop loss was apparently attached to each partial fill and I'm still checking to see if these trailing stop losses will trigger separate charges since they are really separate orders on MBT. I sent in the log from yesterday to support. I'll get back to you on the trailing stop loss issue.
Comment
-
And two years later it still calcs a commiss for each partial fill , which totally screws up the PnL and % correct vs. % incorrect trade calcs. Might as well just do all the calcs manually in an Excel spread sheet for all the good this program is.Last edited by bortz; 01-30-2015, 12:37 PM.
Comment
-
Thanks Brandon. It just isn't realistic as brokers aren't going to charge you a one way commiss for each partial on the way to filling your 2000 lot for example. it just took me 13 partials to fill a 2000 lot and TDA commiss on that at 9.99 per partial is a total profit killer as far as a Pnl calc is concerned. The only work around is to set a one way trade cost to like .50 cents as a type of compensation for the program error. But it's still way off and renders the entire record keeping process as useless.
Comment
-
Originally posted by bortz View PostThanks Brandon. It just isn't realistic as brokers aren't going to charge you a one way commiss for each partial on the way to filling your 2000 lot for example. it just took me 13 partials to fill a 2000 lot and TDA commiss on that at 9.99 per partial is a total profit killer as far as a Pnl calc is concerned. The only work around is to set a one way trade cost to like .50 cents as a type of compensation for the program error. But it's still way off and renders the entire record keeping process as useless.
Comment
-
Hello bortz,
Thanks for your reply.
Your feedback will be taken into consideration however this will be how NinjaTrader 7 will function. I agree that to get the commissions you are looking for it will be best to do it in Excel or to look at your brokerage statement.BrandonNinjaTrader Customer Service
Comment
Latest Posts
Collapse
Topics | Statistics | Last Post | ||
---|---|---|---|---|
Started by judysamnt7, 03-13-2023, 09:11 AM
|
4 responses
59 views
0 likes
|
Last Post
by DynamicTest
Today, 08:25 PM
|
||
Started by ScottWalsh, Today, 06:52 PM
|
4 responses
36 views
0 likes
|
Last Post
by ScottWalsh
Today, 07:40 PM
|
||
Started by olisav57, Today, 07:39 PM
|
0 responses
7 views
0 likes
|
Last Post
by olisav57
Today, 07:39 PM
|
||
Started by trilliantrader, Today, 03:01 PM
|
2 responses
21 views
0 likes
|
Last Post
by helpwanted
Today, 07:25 PM
|
||
Started by cre8able, Today, 07:24 PM
|
0 responses
10 views
0 likes
|
Last Post
by cre8able
Today, 07:24 PM
|
Comment