Help With Daily Profit/Loss Value
Help With Daily Profit/Loss Value
This help topic explains how the Daily Profit/Loss value you see on the Trade Window and other areas within the chart that show this value, is determined and how to ensure an accurate calculation of the Daily Profit/Loss. The information on this page applies to version 1815 and higher.
The Daily Profit/Loss can be optionally be displayed at the top left of a chart or Trade DOM. The Daily Profit/Loss is prefixed with DPL:. Refer to the image below.
This documentation also applies to the Net Profit/Loss (NPL:/N:) when Global Settings >> Chart Trade Settings >> Include Open P/L in Chart/Trade DOM P/L Display is enabled. The Net Profit/Loss is Daily Profit/Loss plus Open Position Profit/Loss.
The Daily Profit/Loss is client-side calculated from order fills. There are things that can and do go wrong which can affect the calculation which Sierra Chart does not have control over. The main item that can go wrong is missing order fill records during the trading day.
The documentation on this page primarily applies to non-simulated trading but also applies to simulated trading. Since simulated trading functions in a very well controlled environment within Sierra Chart, generally there should not be inaccuracies with the Daily Profit/Loss, but there can be circumstances where there could be. This page goes into detail explaining how the Daily Profit/Loss is determined.
There can also be incorrect Symbol related settings which can affect the displayed Daily Profit/Loss value and can cause inconsistencies. For more information about these settings, refer to Profit/Loss Calculations and Symbol Settings.
It needs to be understood that Sierra Chart is an independent Trading and Charting program which is integrated with various Trading services. Sierra Chart also has its own Trade Simulation Mode.
You cannot compare the Daily Profit/Loss value that you see within Sierra Chart to a brokerage account statement. Or other trading programs connected to your trading account. Inevitably there are going to be calculation differences for various reasons which can result in a different value. This particular help topic guides you through how the calculations are arrived at within Sierra Chart and how to determine if there is an incorrect setting or a problem with the order fill data.
Additionally there can also be missing order fills which is a typical problem due to the limited order fill data on trading servers, which leads to an incorrect Daily Profit/Loss value. Some services like BitMex and Sierra Chart LMAX connection, maintain long-term order fill history and missing order fills will not be a problem with these services.
- It is important to understand exactly what the Daily Profit/Loss is and how it is calculated within Sierra Chart. The Daily Profit/Loss value includes the total Profit/Loss for Trades (consisting of an opening order fill and a closing order fill) that were opened either in the current or a prior day, and closed within the current trading day. So even if a position from a prior day is closed and the current day it will be added to the Daily Profit/Loss. This is the case effective with version 1815 and higher.
- The Daily Profit/Loss may not display in a Historical Daily or longer timeframe chart if the Date-Time of the last bar in the chart is a day ahead of the Date-Time of the Trades in the current trading day. Therefore, only use Intraday charts when relying on Daily Profit/Loss values within a chart.
- Select Global Settings >> Chart Trade Settings. Uncheck the Include Open P/L in Chart/Trade DOM P/L Display (NPL) option if it is already enabled. Press OK. This will remove the Open Profit/Loss from being added to the Daily Profit/Loss, which will give you the Net Profit/Loss. This avoids confusion.
- The Start of the trading day for the Daily Profit/loss is according to the Chart >> Chart Settings >> Session Times >> Start Time or Evening Start Time when using the Evening Session Times. For further details, refer to Session Times. At this time, the Daily Profit/Loss resets back to 0.
In the case where the Start Time has a later time than the End Time, then this time starts in the prior trading day. For example, if the date is 2014-01-02 and the Evening Start Time is set to 18:00:00, then the trading day begins at 2014-01-01 18:00:00 and continues until 2014-01-02 17:59:59. The Session times are relative to the global Time Zone setting in Sierra Chart or the chart specific Time Zone setting.
- To control what order fills are used in the Daily Profit/Loss calculation it is important to accurately control what is the first order fill loaded into the chart. By default the first fill is going to the available order fills at or after the Date-Time of the first bar in the chart.
It is essential that the very first order fill that is loaded into the chart is the start of a new Trade Position. If it is not, this will throw the Daily Profit/Loss calculation off.
- To load order fills for the current day only, enable Chart >> Chart Settings >> Advanced Settings >> Load Order Fills for Current Day Only. But you need to be conscientious of what is considered the start of the day and that is according to the Session Times for the chart as explained above. This option is only useful if there was no prior Trade Position in the prior day which is carried forward into the current trading day. Otherwise, do not enable it. Using the Load Order Fills for Current Day Only option will affect the Position Quantity for simulated trading.
- Alternatively you can set the Chart >> Chart Settings >> Advanced Settings >> Order Fills Start Date-Time. Set this to the starting Date-Time when your Trade Position was flat for the Symbol and Trade Account of the chart or Trade DOM, just before you began trading for the current day. It may be better to use this particular setting and periodically update it.
It does not need to be updated every day. If it goes back several days that is fine. But it just needs to be set to a point in time where the Trade Position was flat and there must not be any missing order fills since that time. If there is even a single missing fill this will very likely lead to a problem with the Daily Profit/Loss calculation.
- You can see the Date-Time of the first order fill loaded in the chart through the Trade >> Trade Activity Log >> Trade Stats for Charts tab. Look at the Order Fills Start Date-Time field for the chart.
- It is essential that there are no missing order fills since that Date-Time. To see that you have the order fills, look for them in the Trade Activity Log. Refer to Viewing Historical Trade Activity.
- To see that there are no missing order fills and you have the correct starting Date-Time preloading the order fills, go to the Trade >> Trade Activity Log >> Trade Stats for Charts tab. Locate the chart in the list of charts. Not every chart will be listed but if it is not listed, an equivalent chart will be listed. Look at the Open Quantity field. If that is indeed your current Position Quantity for the Symbol and Trade Account of the chart, then you are good. For an explanation of how the Open Quantity field is calculated, refer to Chart Trade Stats Open Quantity Field Calculation
- If the Open Quantity field is not correct on the Trade Stats for Charts tab, you need to make sure there are no missing order fills for the Symbol and Trade account of the chart and adjust the Order Fills Start Date-Time for the chart.
- Verify you have the correct Profit/Loss Format set in Chart >> Chart Settings >> Advanced Settings. Refer to Profit/Loss Format. For example, if you want to see a Currency Value and you see the letter P suffix after the Profit/Loss value, then you are looking at Points and not a Currency Value.
- There are 2 different order fill matching methods which will affect the Daily Profit/Loss calculation displayed within the chart and Trade Window. There is Last in First Out (LIFO) and First in First Out (FIFO). These are controlled with the Chart >> Chart Settings >> Advanced Settings 3 >> Open Position Average Price setting. There are four choices including two choices which support LIFO and FIFO.
- Select Chart >> Chart Settings >> Advanced Settings 3. Uncheck Use Symbol Commission Setting in Trade List and Statistics Calculations to remove the commission calculation from the Daily Profit/Loss value.
- To view what the Daily Profit/Loss was for a prior date, select Chart >> Chart Settings. Enable the Use Date Range option and then enter a From date which is at least one day prior to that date and enter a To date which is the date you want to look at the Daily Profit/Loss for.
- The Daily Profit/Loss value is calculated from the order fills available for the Symbol and Trade Account of the chart. Select Trade >> Trade Activity Log.
- Select the Trade Activity tab.
- On the Trade Activity Log, at the top left select Fills.
- Select the Symbol from the list of symbols. In the case of when you are using Sierra Chart Trade Simulation Mode, the symbol will be prefixed with [Sim].
- Select the Trade Account you want to see order fills for from the list of trade accounts. This needs to be the same Trade Account that the Trade Window for the chart is set to.
- In the Date Range to Display frame, set the starting From >> Date-Time to the same Order Fills Start Date-Time you see for the chart listed in Trade >> Trade Activity Log >> Trade Stats for Charts tab. Press the Apply button.
- Make sure To >> Today is checked.
- Uncheck the Use Commission setting to remove the commission calculation from the Daily Profit/Loss value.
- Press Apply after making any changes to the Date-time range or the commission setting.
- For further details, refer to Viewing Historical Trade Activity.
- Look at the fills in the Trade Activity tab and make sure they are all there for the current trading day.
- Make sure the Fill Price is correct for each fill.
- Make sure the Date-Time of the order fill is correct. If the Date-Time of the order fill is incorrect, then make sure your computer's clock is set accurately. For further details, refer to Incorrect Date and/or Time Display.
- If there are any missing or inaccurate fills, they can be inserted or edited using the Edit menu of the Trade Activity Log. Refer to the Menu Commands documentation.
- Select the Trades tab on the Trade Activity Log.
- On the Trades tab, you can see how all of the order fills are grouped into individual Trades. One thing to be aware of is that it is possible that a closing fill within the current trading day, could have been matched up to an order fill in a prior trading day.
- For various technical reasons there is no guarantee as to the accuracy or completeness of the order fill data. Sierra Chart is not the provider of the backend trading system you are connected to and usually the backend trading system only maintains and historical order fill data for 1 day. Therefore, there is always a possibility order fills can be missed in the case of non-simulated trading.
- Finally, if support has referred you to this page, then as a matter of policy we do not provide any help beyond referring to this documentation with Daily Profit/Loss calculations. If you have a question about it and it does not look right, there is no further help we will provide.
*Last modified Monday, 15th October, 2018.