Simulator reports

[BIGRED]

Josh,

This is a long thread, originated by me. Finally in post 38, Ray said he

"Disregard samples.

I have detected an issue with USDJPY price conversion routines. We are still investigating and this could be the source of the issues you experienced. I will report back once I have more information."

I further asked / clarified a question in post 45

"Ray,

Further tests confirmed it is working as it should. Great news!

Being that i am in the US and should I be trading a pair that has USD as the Quote currency(denominator) the point value of pip never changes, it is always $10.00.

Should the dollar be the base currency (numerator) the point value of a pip will constantly change.

Should the dollar be neither the base or quote currency (Cross Pair), the point value in US dollars changes as the value of the Cross pair changes.

What I meant by updating dynamically, is that by some frequency logic, the correct point value is re-calculated so that no matter the value of the various pairs, the point value is correct in US dollars. If it is not, then as part of a maintenance routine, one needs to adjust the point values manually.

It seemed to me that the values were being calculated and therefore would never need adjusting.

Thanks,
Don"


To which Ray replied on post 46

"Got it. There is never a need to change the point value. For clarification, the value changes as you execute a trade. Once the trade is complete, the PnL value for that trade is not dynamic, its fixed to the rate data at that point in time."


Finally I see the identical problem showing up and I am told it must be how I am setting things up.

The problems appears identical, I suggest that the identical problem exists.

Just as before, because others have not reported it, it does not mean it is not wrong.

cc to [email protected]

[NinjaTrader_Ray]

Here are the facts and there is no need for you to respond to this -

- Do not change any point values, they are designed to work as expected
- Executions coming into NinjaTrader that did not occur while NinjaTrader was NOT connected will ALWAYS have incorrect PnL since NinjaTrader was unable to record the rate data at the time of the execution which is used for calculations
- So, if you do not change point values and the executions occur while NT is connected and the PnL is inaccurate as compared to MBT then for sure there is a problem
- Even if there is a problem and I nor anyone on my team can reproduce then there is nothing to fix until we can reproduce

At this time, we can not reproduce after extensive testing. This does not mean we are ignoring a potential issue it just means that we can not reproduce after a reasonable amount of effort based on a single report. What we would hope is that others who experience similar issues will report to us so we can triangulate on the common elements of the cases which then allow us to reproduce it.

I consider this thread closed for now but the case open.

[TakisTakis]

Non US-based crosses backtesting: So, this can be a problem right ?

- Executions coming into NinjaTrader that did not occur while NinjaTrader was NOT connected will ALWAYS have incorrect PnL since NinjaTrader was unable to record the rate data at the time of the execution which is used for calculations
- So, if you do not change point values and the executions occur while NT is connected and the PnL is inaccurate as compared to MBT then for sure there is a problem

If that is the case then backetsting in non us based currencies can show wrong results right ?

NT is dollar denominated meaning my account is always in dollars right ?

I have dollars and I want to place an order in a non US bassed pair currency eg AUDCAD,

To do that I use dollars to then simultaneously buy AUD and sell CAD to reverse this action at some point in the future. In real time I know the rate to go from

USD -> AUDCAD ( open and close position) AUDCAD - back to -> USD

(Actually this is more complicated than the above graph)

However, those rates are ONLY known in real time.

However, does NT take into account the rates of USDAUD in backtesting, if we have downloaded that rate ?

Because if not in the meantime the rate of AUDUSD can move significantly and the backtesting will GIVE US WRONG RESULTS.

Is there someone here that can comment in this one ?

Thanks in advance!

[NinjaTrader_Tim]

Hi TakisTakis,


In realtime, the appropriate conversion rate is found, as you mentioned.

In backtesting, the conversion rate is unknown so the conversion is simply a direct transfer, or a conversion ratio of 1. So, no, it will not use any historical values to make the conversion. This is why the PnL will not be correct, in terms of the native currencies that are non-$.

[TakisTakis]

Thanks a lot Tim for clarifying this. I have to say that you and your team are doing an amazing job running all over this forum and answering all our wierd questions.

Thanks again !

[NinjaTrader_Tim]

Hi TakisTakis,

You're welcome, and thank you for your kind words.