Multiple contract trades are split up into multiple trades on Trade Performance?

[Johnny]

Hi everyone,

I made 9 trades yesterday, but according to Ninja - I made 11. I never scale in and trade all-in/all-out. Yesterday, I was trading 3 contracts per trade.

In the trade performance window - it looks like this:



Trade 2 and 3 is really the same trade (Trade # 2). The same with Trade 4 and 5 (which should be Trade # 3).

As can be seen - the trades were also filled at the exact same price/time. So there's really no reason they should be split up, although I suppose they may have been crossed with different orders.

This is a frustration for me, to be honest. Any way to work around this?

If not in Ninja - is there some other software one can use to keep track of stuff like this?

I also think this makes the % profitable incorrect as well.

NT calculates a win % of 54,55 %. This is true for the data above: 6/11 = 54,55 %.

However, in actuality, I have 9 trades and 5 winners: 5/9 = 55,55 %.

Thanks in advance.

Johnny

[Johnny]

A solution can be to manually log/aggregate trades in Excel. But I'd rather not...

[NinjaTrader_Marco]

Hello Johnny,

Thanks for posting to the forums.

These would be statistics that are sent from your brokerage account directly, and is a result of your orders being paired with other available orders for the best possible fills- You can see one person was willing to buy only one contract and another was wanting to buy 2 contracts, and your order of 3 contracts was filled by two different parties, instead of one buyer. You may find using the "Orders" display instead of the "Trades" display shows the information as you desire.

Please let me know if I may be of further assistance.

[Johnny]

Thanks, Marco. As suspected.

It's probably just how it is. Guess I'll have to be able to live with this one.

[sledge]

It throws the stats all off and makes them rather worthless.

[Johnny]

It throws the stats all off and makes them rather worthless.

It certainly does.

Question is - is this a 'problem' with other platforms/software as well?

What I currently do is that I aggregate the trades manually in Excel. But that's a time consuming process and also prone to error.

I wish Ninja could add a feature where it does this. Or at least adds the option "Aggregate equal/similar trades".

What do you say, Ninja?

[NinjaTrader_Marco]

Hello Johnny,


Thank you for the suggestion.

I have submitted this as a feature request to the Development Team. I will follow up with an internal tracking number for your reference as soon as it is created.

Thanks in advance for your patience.

[brucerobinson]

haven't exercised the grey matter too hard on this one but isn't this just the 'Group by ATM Strategy' functionality that used to be available in NT7 that you are after?

[Johnny]

Hello Johnny,


Thank you for the suggestion.

I have submitted this as a feature request to the Development Team. I will follow up with an internal tracking number for your reference as soon as it is created.

Thanks in advance for your patience.

Thanks! Appreciate that! I hope I don't need to be very patient though.

[Johnny]

haven't exercised the grey matter too hard on this one but isn't this just the 'Group by ATM Strategy' functionality that used to be available in NT7 that you are after?

Hi,

Good suggestion. Is this one not available in NT8? Currently not at my computer.

By what you're saying - it sounds like something that could work?

It does however require an ATM strategy being used though. Usually, that's the case with me.

[Johnny]

While at it - I also think that MAE/MFE values should be calculated on a per contract basis. Or at least offer that option.

As a day trader, I'm interested in tracking points against me. When trading multiple contracts, this value is not meaningful to me and it varies according to trade size. I'm currently dealing with this in Excel by transforming the data (MFE/# contracts).

[NinjaTrader_Marco]

Hello,

Thanks for your replies.

You may be referring to the filtering by ATM Strategy Template which is a feature ion NinjaTrader 8 as well- by clicking on the funnel icon near the Display dropdown and selecting the ATM Strategies you want to filter for, though I think this will provide you with the same results as the orders will still be shown as they were sent by your broker, being as they were filled instead of as a whole.

I have submitted your MAE MFE suggestion as a feature request to the Development Team as well. I will follow up with an internal tracking number for your reference as soon as it is created.

[Johnny]

It did not seem to work, no.

It's come to my awareness that for example Jigsaw journaling software actually groups equal trades and that this issue have been asked about all the way back in 2017 on these forums.

Really wish NT would be a bit faster to implement stuff like this which obviously is a flaw and makes the trade performance report imprecise for those of us trading more than 1 contract.

Thanks in advance.

[NinjaTrader_PatrickG]

Thanks for your patience.

The internal tracking number for your feature request is SFT-4168. 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

[brucerobinson]

"Good suggestion. Is this one not available in NT8? Currently not at my computer."
No, it isn't available in NT8 - iirc according to Ninja, Users didn't want it in 8 (this one did and has asked for its re-instatement)....

"

You may be referring to the filtering by ATM Strategy Template which is a feature in NinjaTrader 8 as well-" not what I am referring to, nor the OP if I understand correctly (by all means OP correct me if I have misunderstood and ignore).

The feature in NT7 is a 'Group trades by ATM Strategy' which is a check-box option.
The difference between the two is that the Filter by ATM Strategy Template Option in NT8 allows to filter only the contracts executed using particular ATM Strategy template(s) but does not Group the contracts by ATM Strategy trade executed. "though I think this will provide you with the same results as the orders will still be shown as they were sent by your broker, being as they were filled instead of as a whole".- indeed, .this is what 'Group by..' check box option addresses in NT7, So in NT8 you can choose to display only Contracts executed using a particular ATM Strategy template(s) but you still see each individual contract execution as per post #1 - not whether each trade executed using the ATM Strategy was profitable as a whole, which one might consider would/should the definition of Trade Performance as opposed to Contract Execution Performance.

So as the OP points out, if you are trading more than one contract, NT8 Trade Performance cannot tell you your trade performance, only your trading performance in total, and your performance by individual contract execution, which you can filter to know your total performance using any and multiple ATM Strategies, and the individual contract executions undertaken.

But not the performance of your trades, Grouped by Trade placed and/or filtered by ATM Strategy used:-{

I'd like to think SFT-4168 is for this functionality to be re-instated, but aren't sure.
MAE/MFE had problems in the NT7 Group by, and has problems in NT8 without Group by
I have some understanding of the difficulties in implementing re: MAE/MFE due to the sequence of and 'matching each side of executions. Having said that, it seems others are able to manage those issues.

OP- User pjsmith has a tool that does something along these lines iirc - you might want to search his blog for or send PM. And I recall a vendor had something for NT7 that calculated average breakeven on the fly accounting for scaling in and out Grouped by ATM Strategy so it seems not beyond the wit of man.

Kind regards,