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Trade Performance - MFE calculation

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    Trade Performance - MFE calculation

    Please see attached screenshots.
    An ATM Entry with 3 Contracts at same price.
    Price moves in my favour - Target1 hit
    1st Contract off
    Price moves further in my favour - Target 2 hit
    2nd Contract off
    Price moves further in my favour (to MFE)
    Price reverses
    Stop hit -
    3rd Contract off

    MFE
    Contracts 1 and 2 - $426.71 each
    Contract 3 - $170.60

    The MFE for each contract was Entry 11411.0 to MFE 11396.0 = 30 ticks
    I do not understand why the MFE for the third contract is different to that of the first 2 Contracts?

    I would be grateful for an explanation of the different calculation.
    (I posted a similar experience recently - the final contract showing a different (lower) MFE. In that case I was advised I needed to reset my Database, which I did. However there is no way of knowing if that was the cause and if doing so fixed it. It does not seem likely that this apparent repetition is again a database 'corruption')
    Kind regards
    Bruce

    #2
    Bruce, I suspect this is a known limitation with performance statistics and scaling in, but I'd want to look at your database to be sure. Please send me your database, log, and trace files so that I may look into what occurred.
    • You can do this by going to the Control Center-> Help-> Email Support
    • Expand 'Other files' and enable 'Database file'.
    • Please reference the following ticket number in the body of the email: 2008622 ATTN PatrickG
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Patrick I am noticing errors in MFE with just two contracts When the first Profit target is hit at for example 14 Ticks the MFE is 25 Ticks, clearly not correct

      James 108

      Comment


        #4
        James108, please follow my instructions in post #2
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          sent

          James 108

          Comment


            #6
            Hello Patrick and thanks.
            L&T & DB sent.
            Same comment as James 108.

            Re: yours - performance limitations, scaling in etc. The example I've given you, like James', is as simple as they come - 3 contracts at same entry time and price. Final contract has a different MFE to the others.

            I'm familiar with the difficulties associated with producing outputs when scaling in and out of an ATM trade, averaging the 'in price', FIFO etc etc (I did once see a tool someone had built for this for NT7 that did precisely that so you knew what you're average breakeven for the trade was as you added and exited contracts 'on the hoof', pretty slick for daytraders and/or scalpers, but was never for sale).

            But this isn't that. And neither was the other one I reported. It was the same simple situation (I'm a simpleton), 3 contract ATM, all entries same price. No add-in scaling in/out, just target hit, target hit, 3rd stopped out. Different MFE reported on the third. Price made the same maximum excursion for all 3 contracts. It is pretty clear from the Markers and text on the chart provided, and the TP window screenshot. So what are the calcls behind the MFEs reported for each please?

            Kind regards

            Bruce
            Last edited by brucerobinson; 11-19-2018, 12:23 AM.

            Comment


              #7
              Bruce, We've finished the analysis of what you reported.

              You got 3 partial fills on your entry order with the same timestamp, This means there is going to be 3 different entry executions (not 1) tracking the min/max price seen (used for MAE/MFE calculations).

              The problem arises when you try to pull the trade(s) up in the Trade Performance window. NinjaTrader does not keep track of trades but rather builds them from executions. In your case, there are now 6 different executions needing to be paired. the 3 entries all have the same time, and 2 of the exits have the same time. How does NinjaTrader know what execution belongs to what trade pair when they have the same timestamp? Currently, NinjaTrader cannot handle this scenario and it is a technical limitation that they might get paired wrongly.

              In your particular case as a result of this: you see the MFE which belongs to the stop exit on your target exit trades and the MFE which belong to your target exit trades on your stop exit.
              Patrick G.NinjaTrader Customer Service

              Comment


                #8
                Hello Patrick and thanks for investigating.
                I'm not sure but think I get the gist - in layman's terms for the two target stop exits it can fathom the actual MFE correctly, but for the final stop exit it can't (in some way connected to them being partial fills but with the same timestamp, which is enough understanding for me) and reports this one's MFE as being the MFE reached at the stop exit (i.e. the MFE is reported as the same as the Profit realised), whereas it actually went the same MFE as the others and came back.
                If so, helps with the brain-itch, I can ignore in future & sleep more soundly.
                Many thanks.
                Kind regards,
                Bruce

                Comment

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