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Any trading platforms that support LIFO?


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Any trading platforms that support LIFO?

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  #1 (permalink)
austinHodge
Houston TX
 
 
Posts: 1 since Jan 2015
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Are there any trading platforms that support a Last in First Out (LIFO) tax basis? So far, I've tried IB TWS and TradeStation. TWS supports LIFO for stocks but not for futures. Other posts indicate that NinjaTrader also does not support LIFO. Any help is appreciated.

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  #3 (permalink)
 Jolew 
San Jose, CA
 
Experience: Intermediate
Platform: Sierra Chart
Broker: IB
Trading: Futures
 
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Sierra has an option for LIFO trade matching.

It shouldn't really matter for futures tax purposes since futures are marked to market anyway.

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  #4 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
 
Posts: 300 since Apr 2020
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I realize this is an old thread; but, for me, the
topic is very important.

I use a trading style I call "micro incremental
multi-position scalping with intermediate
partial profit-taking" which is a LIFO style.

I don't call it that since it's too difficult to
remember; but there are not likely to be
platforms supporting that style, so I always
have to write my own.

I use NinjaTrader, so wrote an Order Entry
LIFO platform in C# within their Strategy
framework, with an "old fashioned" Winforms
interface instead of clunky WPF of course.

The Trader wants to know his price break-even
at all times, based upon a LIFO (Last In, first
Out, with a partial profit, hopefully).

He also wants to know when there is a
candidate for Partial Profit taking, in case
of prolonged congestion or "chop" in the
market, while underwater.

The mindset here is to add positions when
the price is moving against you; thus improving
your Cost Basis, and resilience in handling
Price Adversity.

[edit] She must not be "guessing" about the
market direction; so needs heavy support
of realtime indicators to show the market
direction; otherwise it's not possible to
confidently add to an incremental position
when price is moving against her (or him).

One downside to my style of trading is, of
course, that when partial profits are taken,
which offset the remaining open position
in a "trading frame" (the aggregate trade
which may consist of dozens or even hundreds
of individual trades) those Profit-takes do
reduce the overall position size.

When enough Profit has been taken to offset
the Open losses, then we are "break even".

It's a great approach, because it emphasizes
multiple small entries which, taken together,
result in the overall result; and primarily
allow the Trader to take Price Adversity much
more gracefully, and to give herself a
"pat on the back" every time a Partial Profit
is taken to offset an underwater position.

The downside is that when Partial Profits are
taken, of course, the overall Position Size is
reduced; and the Cost Basis shifts.

There are times when we want to defer Partial
Profit taking (which reduces our position size)
and wait until we profit against the aggregate
Volume Weighted Average Price Cost Basis
instead.

If underwater, and there is significant "chop" then
there is opportunity to take Partial Profits,
but she must remember that if "chop" appears
to be ending, and the aggregate position begins
to run in her favor, that the Trader is better off
by holding more size; so that the final Push
she has worked so hard to wait for; yields the
greatest profits.

In doing this, the LIFO method gives what I think
is a very clear way of thinking about multi-position
aggregate positions; and of course FIFO calculations
along the way (which brokerages use as standard),
will be wildly misleading as to the profit or loss gained
so far, the cost break even price; and so the LIFO
trader must ignore that method of accounting for
the entire position ("the trading frame") until
flat.

When FLAT, then the LIFO and FIFO methods will
completely agree, of course.

hyperscalper

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  #5 (permalink)
 SBtrader82 
Rovigo (ITALY)
 
Experience: Intermediate
Platform: SierraChart, MotiveWave
Broker: Rithmic, Dorman, Interactive Brokers
Trading: Emini, Nasdaq, DAX, Bund, IBEX
 
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Posts: 526 since Feb 2018
Thanks: 206 given, 1,207 received

You can do it very easily in SierraChart. You can decide which matching style you would like to use. At the end of the day this makes no difference in terms of P&L, so it will be just for your visualization.

If you don't know how to do this in Sierra let me know and I will check.


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  #6 (permalink)
 tr8er 
Market Wizard
Europe
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
 
Posts: 599 since Jan 2017
Thanks: 150 given, 599 received

I use TradeNavigator and there I can also set it that way (if it makes sense or not )

https://www.screencast.com/t/0JdSEyDeoq

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  #7 (permalink)
 trendisyourfriend 
Market Wizard
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
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You can set what you want in NT8 Options > Trading...


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  #8 (permalink)
 VWAP 
Toronto, ON
 
Experience: None
 
Posts: 13 since Feb 2019
Thanks: 0 given, 5 received


hyperscalper View Post
I realize this is an old thread; but, for me, the
topic is very important.

I use a trading style I call "micro incremental
multi-position scalping with intermediate
partial profit-taking" which is a LIFO style.

I don't call it that since it's too difficult to
remember; but there are not likely to be
platforms supporting that style, so I always
have to write my own.

I use NinjaTrader, so wrote an Order Entry
LIFO platform in C# within their Strategy
framework, with an "old fashioned" Winforms
interface instead of clunky WPF of course.

The Trader wants to know his price break-even
at all times, based upon a LIFO (Last In, first
Out, with a partial profit, hopefully).

He also wants to know when there is a
candidate for Partial Profit taking, in case
of prolonged congestion or "chop" in the
market, while underwater.

The mindset here is to add positions when
the price is moving against you; thus improving
your Cost Basis, and resilience in handling
Price Adversity.

[edit] She must not be "guessing" about the
market direction; so needs heavy support
of realtime indicators to show the market
direction; otherwise it's not possible to
confidently add to an incremental position
when price is moving against her (or him).

One downside to my style of trading is, of
course, that when partial profits are taken,
which offset the remaining open position
in a "trading frame" (the aggregate trade
which may consist of dozens or even hundreds
of individual trades) those Profit-takes do
reduce the overall position size.

When enough Profit has been taken to offset
the Open losses, then we are "break even".

It's a great approach, because it emphasizes
multiple small entries which, taken together,
result in the overall result; and primarily
allow the Trader to take Price Adversity much
more gracefully, and to give herself a
"pat on the back" every time a Partial Profit
is taken to offset an underwater position.

The downside is that when Partial Profits are
taken, of course, the overall Position Size is
reduced; and the Cost Basis shifts.

There are times when we want to defer Partial
Profit taking (which reduces our position size)
and wait until we profit against the aggregate
Volume Weighted Average Price Cost Basis
instead.

If underwater, and there is significant "chop" then
there is opportunity to take Partial Profits,
but she must remember that if "chop" appears
to be ending, and the aggregate position begins
to run in her favor, that the Trader is better off
by holding more size; so that the final Push
she has worked so hard to wait for; yields the
greatest profits.

In doing this, the LIFO method gives what I think
is a very clear way of thinking about multi-position
aggregate positions; and of course FIFO calculations
along the way (which brokerages use as standard),
will be wildly misleading as to the profit or loss gained
so far, the cost break even price; and so the LIFO
trader must ignore that method of accounting for
the entire position ("the trading frame") until
flat.

When FLAT, then the LIFO and FIFO methods will
completely agree, of course.

hyperscalper

@hyperscalper that is exactly what I'm looking for, could you let me know more info about what you coded regarding getting LIFO ?

I tend to scale into my positions and if I could get LIFO it would dramatically improve my PnL I think.

Example: If I scale down from 3300 to 3290, and my average cost is say 3295 (with my first contract entered long at 3300).

If I sell at 2 ticks profit (@ 3295.50), it will result in a LOSS as my first contracts were in at 3300.

I use Ninjatrader 8 and it took me a while to figure out why my first few limit sell orders resulted in LOSSES !!

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  #9 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
 
Posts: 300 since Apr 2020
Thanks: 15 given, 399 received


VWAP View Post
@hyperscalper that is exactly what I'm looking for, could you let me know more info about what you coded regarding getting LIFO ?

I tend to scale into my positions and if I could get LIFO it would dramatically improve my PnL I think.

Example: If I scale down from 3300 to 3290, and my average cost is say 3295 (with my first contract entered long at 3300).

If I sell at 2 ticks profit (@ 3295.50), it will result in a LOSS as my first contracts were in at 3300.

I use Ninjatrader 8 and it took me a while to figure out why my first few limit sell orders resulted in LOSSES !!

Hi. Unfortunately my code is far too complex and embedded in what NinjaTrader 8 calls an "unmanaged Strategy". My own code creates the concept of a "position", which has an Entry order, and an Exit order; which means that I know everything required to do Last In, First Out (LIFO) accounting.

It's so very nice to see what your Partial Profit taking is doing to offset your overall "aggregate" position; and it also gives "encouragement" that you are at least working toward Break Even, if not into profits.

Ninjatrader draws lines matching the "entry" and "exit" positions, which they say come from the broker so, in my case, they are FIFO, and do not give the right visual representation. I just ignore them.

I am sorry, but I don't know of a LIFO accounting Strategy or Indicator that might help you; but I'd guess it's out there somewhere, if you just scour the commercially available packages in the Ninjatrader "ecosystem".

[EDIT] usual disclaimers I am simply posting this as something which could be helpful to you; and have no experience with it; just to show that there is a "need" out there which commercial vendors are trying to meet: https://www.volaty.com/products/indicators/breakeven-price/ In some cases, it might calculate from the VWAP price; but I recognize you'll want to know each individual "position" PnL which is what I've done, but that's not for sale.

Just for fun, here a series of 3 MNQ positions, with 9 tick targets taken on each one,
and of course the Ninja Chart shows a misleading FIFO representation; but the preferred
representation would be different... The result of this "aggregate scalp" is a NET profit
of $10.44 (with a $0.51 cost per side).


hyperscalper

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



hyperscalper View Post
I realize this is an old thread; but, for me, the
topic is very important.

I use a trading style I call "micro incremental
multi-position scalping with intermediate
partial profit-taking" which is a LIFO style.

The mindset here is to add positions when
the price is moving against you; thus improving
your Cost Basis, and resilience in handling
Price Adversity.

<edit deleted>
There are times when we want to defer Partial
Profit taking (which reduces our position size)
and wait until we profit against the aggregate
Volume Weighted Average Price Cost Basis
instead.

<edit deleted>

If underwater, and there is significant "chop" then
there is opportunity to take Partial Profits,
but she must remember that if "chop" appears
to be ending, and the aggregate position begins
to run in her favor, that the Trader is better off
by holding more size; so that the final Push
she has worked so hard to wait for; yields the
greatest profits.

<edit deleted>

When FLAT, then the LIFO and FIFO methods will
completely agree, of course.

hyperscalper

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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