ATM Strategy Stop-Loss Amounts Change On Me

[i2w8am9ii2]

Hello,

I set my ATM Strategy stop-loss amounts to as close as possible to a $75 risk per contract using ticks.

While trading yesterday and this morning I noticed that in a couple of markets, such as the 6E and if I remember right, the RB, my ATM Strategy stop-loss would be much tighter than usual.

I would quickly move the stop-loss to a place that I think would be around $75 when I saw that the stop was too tight, but a couple of times this morning I wasn't able to move my stops fast enough and got stopped out without giving the price enough room to roam.

Screenshot attached.

If I change it to currency instead of ticks, do I input 75 in each market to represent $75 instead of (for example), 6, to represent 6 ticks?

[NinjaTrader_PatrickG]

The 'currency' parameter type is available in NinjaTrader 8 and would function exactly as you desire. A stop loss of '75' would place your stop/target at that value in ticks away from your entry price.

In NinjaTrader 7, the 'currency' parameter type is not available. 'Price' is available, but this would submit your orders at literal price levels and not an amount of PnL away from your entry. For example, a stop loss value of '10' would equal 10 on the price scale of the instrument).

Because of the different tick values of instruments, the best solution in NinjaTrader would be to create individual ATM strategy templates for each instrument using the tick parameter type.

[i2w8am9ii2]

Thanks for your reply, Patrick.

Yes, I already have an individual ATM Strategy for each different instrument that I trade, each with unique tick values equaling $75.

But for some reason, the dollar amount stop-loss changed on me recently when I use a couple of the ATM Strategies that I created quite some time ago.

If I understand you correctly, if I go into the Chart Trader Properties and change the 'Parameter Type' for the 6E to 'Price' and have the 'PnL display unit' as 'Currency', and I input 75 into the 'Stop loss' section of the ATM Strategy, that would not be creating a stop-loss of $75, is that right?

You said that 'Price' is available, but this would submit my orders at literal price levels (a stop loss value of '10' would equal 10 on the price scale of the instrument).

I don't understand. Are you saying that I would multiply the 75 that I input into the 'Stop loss' section of the ATM Strategy by the point value?

If not, how would the stop-loss amount be determined?

Screenshot attached.

[NinjaTrader_PatrickG]

The 'parameter type' property and the 'PnL display unit' property do two separate things which are unrelated.

PnL display unit

Sets the display unit for profit loss in currency, percent or points

This property does not have anything to do with your ATM strategy. This changes how your PnL is displayed.

Parameter type:

Sets the parameter type used for entering ATM strategy information.

This changes whether the values you enter in your ATM strategy fields will be ticks, price, or percentage.

Price parameter type is absolute price, NOT an offset value (Example: Stop Loss = 1 will submit an order at a price of 1, NOT 1 point away from entry)

In your example, entering '75' with a parameter type of 'price' would cause the stop loss/profit target to submit at a literal price of 75:

http://screencast.com/t/vg6WE1QEOb9w

You gave an example of 6E and RB. The value per tick of the 6E is $6.25. $75 is 12 ticks for this instrument. The tick value of the RB is $4.20. $75 is about 18 ticks for this instrument.

The recommended parameter type in your case would still be 'ticks'. You would need to configure your strategy in ticks and consider that many instruments have different tick values which would require different settings from one another to reach the same ~$75 value.


If you are saying that you already have created ATM strategy templates which normally place your stop loss a certain distance away from the market on an instrument, but in a certain case did not (on that same instrument), I would need to know more about that specific occurence.

[i2w8am9ii2]

Thanks for the info, Patrick.

I found the problem. I looked through the Instrument Manager and found out that I had old tick values for the 6E and 6J. The RB was not the other one, it was the 6J.

So I updated my tick value for the 6E and 6J to be 12 instead of 6, which will give me a $75 stop-loss.

I didn't think the exchanges change the tick values and point values. I guess it helps add to the confusion to keep the rigged system difficult to deal with.

I just recently read an email from Ninjatrader saying that the TF will have a new point value. Does the new point values (or tick values if they are changed) automatically update in Ninjatrader 7?

If not, is there a website where we can get the updated figures?

[NinjaTrader_PatrickG]

In NinjaTrader 7, you will need to manually change the point value of the TF. In NinjaTrader 8, changes will be rolled out automatically and a restart of the platform will be all that is required.

You should receive more information about these changes soon.

The date these changes take place is December 5th. It would not be recommended to make these changes before the TF changes on the exchange.