Yen PIP Values Inconsistent

[jvracing]

When I run a strategy on currency pairs with the Yen in them, different sections of NinjaTrader show me different values for a PIP.

If I run a backtest using Strategy Analyzer, the PIP values are accurate.

If I generate a performance report of the real-time results of strategies I have been running, the PIP values seem to be accurate.

However, if I look at a historical report from a strategy applied to a trading chart, it seems that the Yen PIP values are multiplied by 100, as if NinjaTrader is expecting them to have two extra decimal places like all the other currencies.

I have attached a portion of a screenshot to illustrate.

Since the values appear correct in other places in the program, I don't see any way I can change the settings to fix this problem. It seems to be a bug. I would be happy to be told I am wrong though, and given instructions to fix it.

Thanks.

Josh

[NinjaTrader_ChristopherJ]

Hello jvracing,

Thank you for your post.

Can you please inform me of what data provider you are connecting to within NinjaTrader.

I look forward to assisting you further.

[jvracing]

I'm using eSignal.

[NinjaTrader_Ben]

Hello,

As you probably know currencies have different number of decimals depending on the pair you are trading. JPY pairs generally have less decimals.

NT converts these pips in the performance reporting so they are comparable and the math works properly.

[jvracing]

Hello,

As you probably know currencies have different number of decimals depending on the pair you are trading. JPY pairs generally have less decimals.

NT converts these pips in the performance reporting so they are comparable and the math works properly.

Ben,

Did you look at the screenshot I attached? You can see that NinjaTrader is not converting the PIPs properly in the performance reports. That's my point. The dollar figures it is assigning to various PIP movements are of by a factor of 100. Instead of a $1 profit or loss, it shows as a $100 profit or loss.

[NinjaTrader_Bertrand]

jvracing, do you see the same incorrect values when you trade a normal regular sized 100K lot?

[jvracing]

Yes, it's the same. Sorry that my original screenshot had an abnormal trade size. Here is a screenshot showing one standard lot with PIP values off by 100 to 1.

[NinjaTrader_Bertrand]

Please enter 1 for a regular 100K Forex spot lot and see if the results are what you expect then, I get 10$ per Pip then on my end here.

[jvracing]

I do not get $10 per PIP when I enter 1 as the quantity.

My understanding of the NinjaTrader manual is that the only time 1 would equal a standard lot of 100,000 is when you are connected to a live brokerage account and placing a live trade. I am not doing that. I am using SIM101.

See attached screenshot.

[NinjaTrader_Bertrand]

jvracing, you're correct I was using Gain / Forex.com - as your on eSignal 0.1M for regular lot is correct. With this and a getting out on limit for 1 PIP gain I get ~ 10$ profit which is expected.

Perhaps it would be good if you reset your Sim101 account under Tools > Options > Simulator and retest.

[crumpsnr]

Hi,
I've had the same problem as jvracing. The suggested fix didn't work for me. I have a Windows laptop on N7 V7 on GAIN on 1/10th pip account that gives the 100 x result. I have a virtual N7 V4 setup via VMWare Fusion on a Mac that tests correctly. I can't see any difference between the 2 in any settings.

[NinjaTrader_Bertrand]

crumpsnr, welcome to our forums - can you please add all the needed FX crossrate to an MarketAnalyzer window and then recheck your executions / Pnl seen? This step would be needed to stream in the data used for conversion in NT7.

Thanks,

[crumpsnr]

Hi Bertrand,

Hi Bertrand,
Thanks for your reply. Many apologies, can open the Market Analyzer window and add columns but unsure how to use it to achieve what you suggest. I'm backtesting only at this stage, not running JPY in sim or live.
After adding USDJPY for example both machines show Ask in the format 76.86'3

Regards,

Martyn

[NinjaTrader_Bertrand]

Martyn, my suggestion was applicable to realtime executions only as here the conversion would be done, for backtesting you would not see this - the Rate listed in the execution should be 1 then, correct?

[crumpsnr]

Hi Bertrand,

I'm sorry but I'm unsure what you mean. Where should I be looking for the rate of 1?

Regards and apologies for not getting it straight away!

Martyn