MAE, MFE way off for single trades

[RonnyKeller]

Trade Performance window, Display "trades" "(in points)" - listing single trades in a given time-window.
About 20% of the listed trades show either "MAE" and/or "MFE" completely off compared to reality.

Since this list shows single trades, the values should just reflect the reality during the few minutes I was in the given trade.

Example wrong "MAE":
Reality: small winner, MAE during trade was 2 points ( = 8 ticks)
NT8 report: small winner, with MAE of 30.50 points ( = 122 ticks)

Example wrong "MFE":
Reality: small loser, MFE during trade was 1.25 points ( = 5 ticks)
NT8 report: small loser, with MFE of 23.00 points ( = 92 ticks)

- no strategy was involved for those trades, just simple manual discretionary trading
- no other trades were active during those wrongly calculated trades.
- I found trades completely wrong from live-trading as well as from SIM-trading

[NinjaTrader_PatrickG]

I'll need your database file to analyze your reports. I would not recommend sharing that file on the forums as it may contain sensitive information about your connected accounts.

Please send me your database, log, and trace files via the platform 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: 1931076 ATTN Patrick G

[RonnyKeller]

Hi PatrickG

I did not send in my database yet, but I took a closer look to the trades.

I think I discovered some pattern on what kind of trades are totally off concerning MAE / MFE.

I usually enter a trade manually with some simple ATM strategy attached, establishing quick stop and limit target orders as a simple bracket.

- when price hit the limit order (target), all MAE/MFE calculation seem to be right
- when price hit my stop order, MAE/MFE seem at least mostly correct.
- but if I hit the Close-button manually in chart trader (trades labeled as"Close"), many of them (but not all) show MAE and/or MFE totally off, sometimes by almost 100 ticks.

Maybe you have someone check the logic of Closing trades manually, through "Close"-button? I think NT sends a market order with intentionally way off numbers to make sure it gets executed as quick as possible, and somehow this way-off-values screw up the MAE/MFE-calculation at that very moment.

[bltdavid]

I usually enter a trade manually with some simple ATM strategy attached, establishing quick stop and limit target orders as a simple bracket.

- when price hit the limit order (target), all MAE/MFE calculation seem to be right
- when price hit my stop order, MAE/MFE seem at least mostly correct.
- but if I hit the Close-button manually in chart trader (trades labeled as"Close"), many of them (but not all) show MAE and/or MFE totally off, sometimes by almost 100 ticks.

Maybe you have someone check the logic of Closing trades manually, through "Close"-button? I think NT sends a market order with intentionally way off numbers to make sure it gets executed as quick as possible, and somehow this way-off-values screw up the MAE/MFE-calculation at that very moment.

Interesting.

NT7 "optimized" the exiting process via the 'Close' button by using your working sell orders (ie, it would move your targets so they would fill instantly) and submit a market order for the remainder.

See here,

https://ninjatrader.com/support/helpGuides/nt7/?closing_a_position_or_atm_stra.htm

Perhaps the 'way off number' you describe is a bug in the code for when the working sell order is moved vis-a-vis this 'Close' button technique. I mean, perhaps the subsequent MAE/MFE calculations are not adjusted to use the original limit price, but somehow are using that 'moved' limit price instead.

I can't find where this 'Close' technique is documented in NT8.

EDIT:
Ah, I found it.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?closing_a_position_or_atm_stra.htm

[bltdavid]

Hmm, it is not clear that the 'move-the-working-sell-orders' technique is employed in NT8.

The NT8 documentation doesn't seem to serve up those details ...

[NinjaTrader_PatrickG]

Hmm, it is not clear that the 'move-the-working-sell-orders' technique is employed in NT8.

The NT8 documentation doesn't seem to serve up those details ...

The documentation is purposefully and correctly different. The CLOSE button in NinjaTrader 8 now cancels active orders and submits the required market order to flatten your position. NinjaTrader 7 had more complicated logic in place as is noted in the help guide link you found.

Maybe you have someone check the logic of Closing trades manually, through "Close"-button? I think NT sends a market order with intentionally way off numbers to make sure it gets executed as quick as possible, and somehow this way-off-values screw up the MAE/MFE-calculation at that very moment.

I tried reproducing an issue with MAE/MFE by following these steps:

• Submit a buy market order with an attached ATM strategy - 30 ticks for each
• What until at least one tick has occurred in an 'adverse' direction > CLOSE

I could not reproduce an unexpected MAE/MFE. Are you able to reproduce this issue at will? Could you send the log, trace, and database file as requested so I may review your orders?

[bltdavid]

The documentation is purposefully and correctly different. The CLOSE button in NinjaTrader 8 now cancels active orders and submits the required market order to flatten your position. NinjaTrader 7 had more complicated logic in place as is noted in the help guide link you found.

Why the change?
Can you impart the rationale behind the decision for this change?

I mean, is there any new benefit to NT8's new way of doing this?

Despite what you say, the NT8 documentation is unfortunately difficult and elusive to pin down on this matter. Let me explain.

If 'moving-the-working-sell-orders' technique is not used by NT8 (and indeed, as you say, the NT8 documentation declines to discuss this technique in the steps taken to close a position, implying it's no longer used) then why does the NT8 documentation allude to this technique inside the bottom list of bullets?

Here, in all its naked glory, are those bottom bullets from this NT8 help page:

The NinjaTrader approach offers several benefits:

•Modifying existing limit orders avoids the potential problem of breaching your account margin limitations when closing a position
•With some brokers, modifying existing orders is more efficient than submitting new orders by up to 500 milliseconds
•Cancellation of non essential orders unlocks available margin that could potentially get consumed if a market order is required to close out any remaining contracts that are not covered by existing limit orders

So, what 'existing limit orders' are these bullets referring to?
Is this an NT8 documentation bug?

[bltdavid]

In fact, the entire bottom section on that NT8 help page titled "Why not just submit a market order?" seems to be a complete copy and paste from the prior NT7 documentation.

My point is:
Therefore, that entire bottom section on the NT8 page is incorrect, right? I mean, from an NT8 perspective, that bottom section now seems very inconsistent, considering NT8's new way of doing things ... don't you think?

[RonnyKeller]

What the heck is going on in this thread? This thread was meant to point to the fact that NT8 obviously registers completely wrong MAE/MFE values (and I do need a correction, obviously from NT's guys, not from the community) - and all of sudden this has become a discussion about NT8's closing-logic and/or NT's documentation accuracy? Would you please stay close to the subject of this thread ?!?

@bltdavid: If you have a problem with the Closing-logic and/or NT's documentation, feel free to open your OWN track. But please stop discussing off-topic opinions in here!

[NinjaTrader_PatrickG]

Yes, bltdavid, please start a new forum thread if you wish to discuss the CLOSE button logic differences between NinjaTrader 7 and NinjaTrader 8.

RonnyKeller, please see the message from my last reply which is relevant to the MAE/MFE issue:

I tried reproducing an issue with MAE/MFE by following these steps:

• Submit a buy market order with an attached ATM strategy - 30 ticks for each
• What until at least one tick has occurred in an 'adverse' direction > CLOSE

I could not reproduce an unexpected MAE/MFE. Are you able to reproduce this issue at will? Could you send the log, trace, and database file as requested so I may review your orders?

[bltdavid]

My apologies.

I did not mean to hijack this thread.
I thought (at a low enough detail) both issues may have been related.

[NinjaTrader_PatrickG]

I have as-of-yet been unable to replicate the behavior, however, I do see in RonnyKeller's trades that the MAE/MFE value is incorrect when charting the trade. The trade is completed using the CLOSE button.

I have opened an internal tracking ticket for the Development Team to review. The internal tracking number is TS-1781.

At this point, it is critical that we discover steps to reproduce this issue. If any other users are experiencing this symptom, please comment here and contact me via email as I instructed RonnyKeller to do. Make sure to reference 'TS-1781 ATTN Patrick G' when you write in. If anyone discovers steps to reproduce this issue reliably, please include those steps here or in your email.

[PaulRog]

Hi,
I have noticed this exact problem.
If I place the exact same trade in live account and demo account, the demo account will show the correct MAE, but the live account is showing the wrong MAE.
See attached image.
Regards,
Paul