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Any trading platforms that support LIFO?


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Any trading platforms that support LIFO?

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  #11 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
 
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trymph View Post
So with you on the above......I too am using NT8 and Interactive Brokers (IB) with a day trader's scalping style. Admitting there is a fine line between adding to a bad position and cost averaging in, NT's brackets can limit losses while letting profits run. Do you know if any broker can accommodate LIFO to enable me to reduce my position back to original entry size once breakeven on the new average entry price is achieved? I've been setting my break evens on a static # ticks basis while NT keeps saying LIFO vs FIFO is all on the broker side.

I've petitioned NT for average entry price for the total position to be persistent until flat (within the ATM & Stop/Trailing strategies) for years and they finally assigned a developer's mod request# to the suggestion which will help maintain/manage the new average priced scaled in position's entry price.

Regards
Trymph

Hey Trymph,

Well, firstly, most traders do not "cost average", especially when the
market is moving against them. And they do it for a good reason,
since most of them have No Idea whether the market is about to turn
in their favor, and so they see such a move mostly as "throwing good
money after bad".

I say that only because unless you have such Analytics, in which you
can be confident, then you can be accused of "flying blindly" or even
putting blind faith in something akin to a Martingale type strategy, which
we know is unsustainable, in the absence of predictive reversal
indicators...... So there is that issue.

As for "book keeping", on a LIFO basis, to do so comprehensively,
requires more code than most traders can manage. The brokerage
will give you only FIFO accounting, I guess because it's mandated by
regulators perhaps, but more importantly, because it has semantic
implications, in support of a particular style of trading; which most
Traders don't use anyway.....

If you can keep track of your Entry pricings (and sizings), and open
additional size at increments, and close size when profitable, and
record those profits. And then be able to calculate your VWAP on the
remaining inventory (perhaps with some spreadsheet) that may be
the best you can do, unless of course you are a hard core C# coder,
in which case there may be various methods to do LIFO accounting.

For me, the idea of LIFO accounting involves the concept of the
Meta-Trade, which is the Aggregate from Flat to Flat, of dozens of
transactions in a single instrument, with partial profit taking during
this Macro-Trade. But in order to do this, like I said, Analytics required
are far beyond what's available anywhere.

In my software, the concept of a "position", similar to a "deal" in
Forex in the old days, is maintained. Each position has an Entry
price and an Exit Price; so the accounting becomes easy. When
a Position is closed, its Profit or Loss is added to the Partial Profit
Incrementals which are tracked. This way I know, for example, if
I've at least broken even on a bad trade; and can close everything.

Anyway, with NinjaTrader, I work a fully Unmanaged Strategy; and
that is completely outside of their standard ATM type stuff, so it's
like working in a different universe entirely. I wouldn't put much
stake in NT giving you a great solution to LIFO accounting; and
recommend you dive in and look at some coding approaches
yourself !?.....

People hack in "run time" enhancements to the standard ATM
strategies all the time... For me, it's just tweaking little things
like adding extra buttons, etc. Nothing serious could be done,
IMHO, with such an approach; and you'd really have to dive into
something which could do the LIFO accounting for you...

How can I help you? Unfortunately, I'd love to help; but I've had
to do it all myself, within my custom Analytics and Order Entry
client; which is a bridge way too far for most traders... ?

hyperscalper

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  #12 (permalink)
 trymph 
chicago us
 
Experience: Advanced
Platform: NinjaTrader
Trading: Futures
 
Posts: 13 since Mar 2022
Thanks: 6 given, 1 received


hyperscalper View Post
Hey Trymph,

<edit deleted>

Well, firstly, most traders do not "cost average", especially when the
market is moving against them. And they do it for a good reason,
since most of them have No Idea whether the market is about to turn
in their favor, and so they see such a move mostly as "throwing good
money after bad".

For me, the idea of LIFO accounting involves the concept of the
Meta-Trade, which is the Aggregate from Flat to Flat, of dozens of
transactions in a single instrument, with partial profit taking during
this Macro-Trade. But in order to do this, like I said, Analytics required
are far beyond what's available anywhere.
hyperscalper

We've all heard the old adage: "the trend is your friend" ..... LIFO to "Meta-Trade" a scalp inter-day Flat to Flat day trade position like a surfer looking for the right wave until it dies.

I've found that as the inter-day market moves in a trend it is much like a rubber band stretching up/down/retracing along the trend. The cost average for me is a means to accommodate the fact that its virtually impossible to pick the exact price to "fade" an intermediate counter trend price action to jump on the larger longer term inter-day trend; however long it lasts along a exponential moving average (EMA) on a longer term chart; helicopter forest for the trees view. I just want LIFO to close the price improvement trade on an average entry price basis. Then using the NT ATM to manage the "position" as it resumes following the longer term trend (scalper's long term is a 5 minute chart for me). This is one of many day trade scalping positions and LIFO only to maintain the best possible average entry price to ride the trend. Ultimately a trailing reversal from best profit will stop out of the position and flattens. KISS scalping as I keep it simple 1 position 1 product (YM) for however long it lasts before a retracement stop out and scout for another short term counter trend entry opportunity.

NT says that the LIFO is a broker's management of position reduction trade by trade; I've just been unable to get clarity on how that gets implemented broker by broker.

Thanks for your input
Trymph

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  #13 (permalink)
 trendisyourfriend 
Market Wizard
Quebec
 
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Quoting 
As for "book keeping", on a LIFO basis, to do so comprehensively,
requires more code than most traders can manage.

This has been possible in Ninja for many months :

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  #14 (permalink)
 trymph 
chicago us
 
Experience: Advanced
Platform: NinjaTrader
Trading: Futures
 
Posts: 13 since Mar 2022
Thanks: 6 given, 1 received

@trendisyourfriend..........Having just discovered this site I havent ponied up for the Elita membership. But thanks for your input. I'm wondering if this code allows for an average price entry basis throughout the life of any one position until flat. I've petitioned NT for this feature for a very long time but still no joy beyond the Super DOM display which reverts to the latest trade price on a scaled in position. I want LIFO when reverting to my original position size at the latest average scaled in entry price for the life of the position; ATM & Stop Strategies inclusive. Will this code do that on DOM as I dont use charts to execute?

Thanks
Trymph

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  #15 (permalink)
 TP10 
Vancouver, Canada
 
Experience: Master
Platform: NinjaTrader, TradingView,
Trading: Futures, Forex
 
Posts: 3 since Jul 2021
Thanks: 3 given, 0 received

it is a very important topic. I have never found the software to do this well, and defaulted to "accumulate on the way in /all out" method. What makes it even more frustrating is the needless nonsense of the FIFO which is ignored when the position trades are mixed in with day trades in the same account. All that because we are not allowed to hedge or use hedging type software ( like MT4 naively) with USA futures brokers. I know of expensive plug-ins created in NT7 but have not used them myself. I basically ignore the net P&L as seen by the software and keep my own log and ledger. Of course I do not scalp any more. It is still a hassle. Speaking of hassles, the latest version of Multicharts 64 with easy language had been so unstable that I am being forced to look at alternatives like Sierra or NT8.


trymph View Post
So with you on the above......I too am using NT8 and Interactive Brokers (IB) with a day trader's scalping style. Admitting there is a fine line between adding to a bad position and cost averaging in, NT's brackets can limit losses while letting profits run. Do you know if any broker can accommodate LIFO to enable me to reduce my position back to original entry size once breakeven on the new average entry price is achieved? I've been setting my break evens on a static # ticks basis while NT keeps saying LIFO vs FIFO is all on the broker side.

I've petitioned NT for average entry price for the total position to be persistent until flat (within the ATM & Stop/Trailing strategies) for years and they finally assigned a developer's mod request# to the suggestion which will help maintain/manage the new average priced scaled in position's entry price.

Regards
Trymph


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  #16 (permalink)
 trymph 
chicago us
 
Experience: Advanced
Platform: NinjaTrader
Trading: Futures
 
Posts: 13 since Mar 2022
Thanks: 6 given, 1 received

Since that post I've confirmed with IBKR an account CAN be set to LIFO and feed back to NT with last in offsetting trade closing a partial position. All good for me as I'm day trading and dont position trade intraday anyway. As for average entry price basis for the life of the position it seems NT will take awhile to accommodate. However, IBKR brackets peg to the current price (vs entry price) at the time of initiating the trade/position so it looks like my ultimate goal on scale-in positioning may be met. Still NT seems to trail stops more incrementally than apps that I've found so far. Thanks for your reply.

Regards
Trymph

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  #17 (permalink)
 trymph 
chicago us
 
Experience: Advanced
Platform: NinjaTrader
Trading: Futures
 
Posts: 13 since Mar 2022
Thanks: 6 given, 1 received


hyperscalper View Post
Hey Trymph,
<deleted>
As for "book keeping", on a LIFO basis, to do so comprehensively,
requires more code than most traders can manage. The brokerage
will give you only FIFO accounting, I guess because it's mandated by
regulators perhaps, but more importantly, because it has semantic
implications, in support of a particular style of trading; which most
Traders don't use anyway.....
<deleted>
hyperscalper

I wasnt speaking of bookkeeping as much as allowing my trade position to accommodate an average entry price per NT's strategy management logistics. My purpose isn't for performance or tax tracking but just to get an improved average entry price. Now the task is to get NT to use average price throughout the life of a position till flat.


NinjaTrader_BrandonH;n1192447
03-22-2022, 02:45 PM
​​​​​​​Hello trymph,

This is Brandon responding on behalf of Chelsea who is out of the office at this time.

The internal tracking number for your feature request is SFT-5471. Please reference this internal tracking number when contacting Platform Support if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find a description of the new feature in the release notes:Let us know if we may assist further.


Scalpers disease is not terminal
Regards
trymph

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Last Updated on March 30, 2022


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