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cross-checking broker / FCM statement with the transactions logged
I count myself among those who would like to fully understand the broker's statement and check whether the broker really accounts everything correctly or does not trick in his favor. The reason for this is that I have experienced various reports from hearing/saying but also partly from my own circle of acquaintances, which showed exactly these conflicts.
So during a few weeks I have created an Excel list for myself in which I record all account balances and transactions in my broker account. My introducing broker is Ninjatrader Brokerage and the FCM I use is Phillip Capital. I am german citizen and live in Germany. My account is maintained in EUR and converted to US dollar. To fund my account I need to make deposits through bank wire via SEPA to the bank "Citibank N.A. in London using the BIC code CITIGB2LXXX".
I am using Ninjatrader8 as trading software and so in NT8 I have setup my account to use US dollar as currency. I receive a password-protected daily statement through email directly from Phillip Capital (sender email address support(at)phillipusa.com) when activity occured on the account. Those statements arrive at my inbox at 04:00am german time, that means the statements seem to be generated at 09:00pm Central Time, five hours later after CME close.
The goal was to cross-check the account balance of FCM statement and Ninjatrader8 platform with my own Excel list and make sure there were no discrepancies between them.
In the Excel list, I map each trade exactly with the valid commission tables and thereby also calculate the actual P/L and also the sum of the traded contracts. Subsequently, I check after each transaction whether Ninjatrader8 under Control Center --> Accounts really shows me exactly the same data as the Excel document has calculated. If there are deviations, this is immediately noticeable.
To make it easier to understand, here is an example:
Here you see, at Monday, 2020/12/28 the calculated account balance have been $1.221,98 in real after my last trade when I was flat. But Ninjatrader8 showed a lower value ($1.183,72). When I received the daily statement from Phillip Capital a few hours later, it shows "Ending Balance = $1.211,16" which again differs from the other mentioned values. In the daily statement, all other information is completely correct and equal to the Excel sheet calculated values. Traded number of contracts, total commission&fee and the achieved P/L for this day are absolutely correct.
It is absolutely incomprehensible to me how this discrepancy comes about. I have considered all possibilities. At first, I thought that this difference to my disadvantage was due to the fluctuation in the exchange rate. However, this is not the case. The exchange rate is included in every daily statement. I converted it, because my account is in EUR but it has nothing in common. The exchange rate change only accounts for a maximum of $0.15 in total as the difference between these two days. This does not explain where the remaining several dollars disappeared. In the daily account statements, there are memos with "debit interest" at the beginning, but these are penny amounts and in total, this also only amounts to a few cents. Even if I add all this up, I never come up with the total missing amounts.
Most hilarious, however, is the following fact, example:
Daily statement from 12/27/2020 shows:
Beginning Balance: $ 1,117.39
So even without a complicated calculation and reference of the individual costs, this can't be right at all. The two daily statements contradict themselves. There are missing $ 5.61. I would like to add that this is not an isolated case but occurs almost every day. I have been checking this for several weeks now and can see these discrepancies.
I do not want to imply that there is any trickery on the part of introducing broker or FCM. I rather think that I am missing something. Hence this post and my question to the world out there:
Is there anyone among you daytraders who also log every transaction and cross-check it with the settlements? At best even someone who also uses Ninjatrader Brokerage as Introducing Broker and Phillip Capital as FCM ?
I would be very happy to receive constructive feedback or your own experiences with regard to this topic. Thanks a bunch in advance and best wishes to you and yours. Happy new year!
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
I commend you on your analysis. I am a strong believer that understanding the nuisances like this makes your understanding of the subject much stronger. I reconcile my statements diligently and find reconciling statements where the base and local currency are different to be the most difficult due to the the lack of transparency around the currency conversions. Can you expand upon the following statement?
The 26th and 27th Decembre was only an fictitous example picked out by me, I wanted to show that on two consecutive days the account balance looks different in the statement.
No matter how you turn it, a statement MUST be transparent for the customer, that is ultimately the goal and purpose of this application. As I wrote before, I had also suspected and accepted currency differences. But I have investigated this more closely, it does not work from front to back, it can not be due to the currency fluctuations. I will collect some more information and try to find out this grievance and to be able to justify the matter. In all other cases I will contact the broker or FCM and hope that this time I will get more information. Previous contact attempts have failed in vain, either no info came or only one-liners with clumsy answers that were not helpful. Even after repeated requests and questions no factual answer came.
If anyone knows more or has had similar experiences with Ninjatrader Brokerage as introducing broker and Phillip Capital, please report here. Thank you very much for listening.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
The problem you have is that you are probably talking to somebody (at Ninja) who knows even less about what is happening than you do. When I had issues reconciling foreign currency balances I was also surprised at how little the broker was able to help/show understanding of the situation. (For me it was the other way around. USD local currency, USD deposits, but trading EUR denominated contracts obviously with EUR margin requirements and PnL).
I'm sure the 12/26 ending $1123, 12/27 starting $1117.39 issue is currency related but I agree with you that a $6 currency change on $1123 seems extremely high. It amazes me that the statement does not state what currency rate was used day to day. Unfortunately nearly all the brokers use the same system (Sungards GMI) so nearly all of them have the same issue!
Do you keep any overnight positions? For example if you had an ES contract open overnight that would require $11,000 in margin, so your USD account balance would actually be negative $9000 and then a $6 currency change wouldn't look so crazy?
I have a similar spreadsheet structure that calculates transactions same as you. I too get statements in USD although the initial balance is in currencies other than USD, so I am somewhat familiar with this.
My experience of your case is currency related, i.e. the ending balance of one day and the starting balance of the next day not matching is (or should be) because of exchange rate fluctuations.
Saying that, I'm not with NinjaTrader Brokerage and my FCM is Dorman. Dorman does provide the exchange rate with each daily report so doing those calculations is possible. I am surprised that others don't do the same.
Just to clarify, PhillipCapital also shows an exchange rate at the end of the daily statement. However, as I already wrote, this can never be based on a price fluctuation. Another current example: on 01.January 2021 I have logged into Ninjatrader and the account balance $ 1,234.56 $ displayed and after 5min logged out again. Three hours later I logged in again and the account balance was $1,237.82. That day the trade was closed. Currency fluctuation is impossible, these are just way too high amounts and do not reflect the fluctuations from the real EURUSD rate.
If the broker or FCM can't tell you, who can? Ultimately, it should be the person who creates the statement who knows. Hopefully, the statement is created based on some logic and not arbitrarily filled with numbers. Hopefully you agree with me? The FCM refers to the introducing broker and this again cannot or does not want to help. The answers are clumsy "All info is on the statement".
Sorry, I had missed the part where you say that your FCM does provide the exchange rate.
Well, I agree with you: a combination of Broker/FCM should absolutely be responsible for explaining the discrepancies. Whenever I had any questions such as these I always reverted back to my broker, which has always been helpful in promptly addressing them.
Regarding currency sweeps, my experience is that you can instruct them to leave the currency unswept. Usually the FX desk nets it around NY 5 AM. You can ask. Yes I've seen erroneous prices there before, What I've seen here usually is that it's just because the spread was momentarily dislocated at the time they sampled it, and they'll adjust it for you if it's a typical sweep amount (usually below 100k USD) rather than fight over the precise amount.
Definitely reconcile if you can. If you find this getting repetitive, get your broker to send the raw position, cash and trade files. The ones I've worked with from FCMs are usually CSVs in Socgen/Sungard format, which are kind of hard to parse unfortunately. If you don't hold overnight you really only need to parse the trade file. I don't recommend doing it by hand or with the PDFs unless you had to. I had one OTC strategy that had 80-160 page statements daily and we kept trying to push them to send us CSVs through SFTP but that never worked, so we used a Python PDF table parser which worked surprisingly well out of the box and caught many errors along the way; we had a much harder time extracting the file attachments through SMTP from the email inbox it was sent to honestly.
End of session you can reconcile exchange against own, if you have something like drop copy - I've never actually encountered an error with this step in all my years of trading with plenty of volume across multiple venues, so I would prioritize it less if you had less time or don't have access to exchange state. Then beginning of day you can do broker against own.
Over the years I've encountered several errors but usually my admin staff or the FCM/PB themselves spot the error by the end of the month. The most common that I've seen is just a stray trade/position that didn't belong to you. This is usually very obvious if you don't hold positions overnight, but less obvious if you're trading like FX swaps or rates that have residual portion, roll and then get swept. The second most common that I've seen is just a fill price that didn't match what we saw. I've always seen exchange correct and the broker/clearing firm wrong, don't think I've ever encountered the opposite situation.
