Trade Performance LIFO for trades calculation

[claxxical]

Is it possible to change the calculation method for trades in the Trade Performance window? I scaled into a position over a few days and my scaled out exits are showing losses because it's calculating them on a FIFO basis. For example, in chronological order, each line represents a new day:

Day 1: Buy 1 ES @ 3010
Day 2: Buy 1 ES @ 3005
Day 3: Buy 1 ES @ 3000
Day 4: Sell 1 ES @ 3005
Day 5: Sell 1 ES @ 3010
Day 6: Sell 1 ES @ 3015

In my mind, when I sold at 3005 on day 4, I was selling the contract I bought at 3000 the day prior for a profit of 5 points but NT is calculating it as selling the contract I first bought on day 1 at 3010, which reflects a 5 point loss in the analysis. Is there a way to change this behavior?

[NinjaTrader_EricB]

Hello,

Thank you for your post.

Glad to assist. Who are you connected to? This is displayed in green on lower left corner of the Control Center window.



What instrument (and expiry if applicable) have you selected? For example, ES 06-19, AAPL, EURUSD, etc.

We look forward to assisting further.

[claxxical]

I'm connected to AMP futures and it's the MES 06-19 contract.

[NinjaTrader_PatrickG]

The PnL calculation method is controlled by your broker/underlying connection technology and cannot be adjusted within the platform.

[claxxical]

The pnl calculation logic in the Trade Performance window is controlled by the broker and underlying connection? I would expect PnL info for all the other tabs like "Orders", "Executions", "Positions", and "Accounts" to come directly from the broker, but for Trade Performance, I thought it would be done locally. I'm just trying to understand this....so every time I generate my Trade Performance report in NT, NT then sends all my orders and executions to the broker, they calculate PnL at the individual trade level with all the drawdown, entry/exit efficiency, sharpe/sortino ratio, etc etc, return that info to NT which is then displayed for me to see?

How does the Trade Performance report handle manually entered trades? I've input hundreds of these in the past and they all calculate the same. This made me think that all calculations were done locally. Additionally, I have old trade data from years ago from a previous broker that still calculates and displays exactly the same, and it calculates whether I'm connected or not.

[NinjaTrader_PatrickG]

Sorry - let me clarify. NinjaTrader's reporting is time-based execution pairing. In other words, the Trade Performance window has no concept of FIFO or LIFO. It simply pairs executions together based on your filters and dates.

[claxxical]

Understood...but within the selected time frame it is calculating trades based on FIFO as I described in my first post?

[NinjaTrader_PatrickG]

That's correct. You can observe this by looking at both the Executions and Trades display. Here is an example:

https://www.screencast.com/t/IaNOXsdazsHX

[claxxical]

Cool so back to my first question....is there a way to change this behavior?

[NinjaTrader_PatrickG]

No. The Trade Performance window has no concept of FIFO or LIFO. It simply pairs executions together based on your filters and dates.

I have submitted this as a feature request to the Development Team. The internal tracking number for your feature request is SFT-4137. Please reference this internal tracking number if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find it in the release notes:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?release_notes.htm

[claxxical]

Not trying to be difficult but I'm confused by you saying that it does calculate trades based on FIFO on post #8 and then in post #10 you say it has no concept of FIFO or LIFO. How else does it pair executions together? When scaling out of a position that had multiple entries, it takes the first entry in when exiting to produce a "Trade".

[NinjaTrader_PatrickG]

That's correct, it's behaving as if it is using FIFO, but the point I am trying to drive home is that the Trade Performance report doesn't truly have a concept of trades. It's pairing entry and exit executions.

[claxxical]

Again, not trying to be difficult but for me, pairing entry and exit executions means "trades" especially when it's a first-class object in the Trade Performance window and documentation:

------------------------------------------------------------------------------------------------

Trades Display


The Trades display shows all historical executions in a data grid. A Trade defined is a completed buy/sell or sell/buy transaction sorted by time and matched by the market position and quantity of the execution. Positions which have been scaled in or scaled out will be considered as separate trades.


------------------------------------------------------------------------------------------------

https://ninjatrader.com/support/help...e_displays.htm



According to this information, it basically confirms that trades are calculated FIFO. Thank you for submitting the proposal to use LIFO, it would be nice to see in the future.