Brokers overnight interest rate

• 12/29/2016 at 7:31 PM #19374
  Elsborgtrading

  Hi. Is there anyway to code or take in consideration the Brokers overnight interest rate in ProOrder?

  I can see there is an estimated brokers fee, but that does not add overnight interests, only add a one time fee. Since IG actually charge what more or less would be 0.8 euro a night/position on DAX 1e mini, it kind of adds up. for example if you have 2 position open a week you will be charged around 11 euros of interests+ spread. that’s quite a lot,so it would be nice to have the possibility to code this with your strategy.

  Cheers Kasper

  

  Elsborgtrading

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  12/29/2016 at 8:50 PM #19388
  Eric

  and forex has this rule

  “three day funding is charged on a wednesday”

  

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  12/30/2016 at 8:55 AM #19399
  Elsborgtrading

  So if you have overnight forex positions on a wednesday they charge you for 3 days?

  

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  12/30/2016 at 10:42 AM #19402
  Nicolas

  There is a possibility to compute the interest rate. But you will not be able to have all the benefit of the Probacktest window result. You could make a new variable, graphed on chart with STRATEGYPROFIT minus the interest rate previously calculated. This is the first idea that come to mind 🙂

   

   

  

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  12/30/2016 at 11:51 AM #19412
  Elsborgtrading

  Hi Nicolas, and thanks for the idea, I will try and come up with something 🙂

  

  Elsborgtrading

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  12/30/2016 at 12:29 PM #19420
  Elsborgtrading

  could this be true?

  on a 4H chart- given is 0.8 euro interest per Position per night on DAX 1euro mini.

  it just took out 21% of pathfinder profit 🙁

  FourHoursChart=5 once countofdays=0 if not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 else countofdays=countofdays endif graph strategyprofit-(countofdays*0.8*countofposition) COLOURED(0,0,255) AS "IGprofit" graph countofdays COLOURED(0,0,0) AS "countofdays"

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  FourHoursChart=5 once countofdays=0 if  not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 else countofdays=countofdays endif   graph strategyprofit-(countofdays*0.8*countofposition) COLOURED(0,0,255) AS "IGprofit" graph countofdays COLOURED(0,0,0) AS "countofdays"

   

  

  Elsborgtrading

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  01/01/2017 at 7:32 PM #19582
  Elsborgtrading

  There is a problem with this code. I will return when I solved the issue

  

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  01/01/2017 at 7:51 PM #19583
  Elsborgtrading

  I  think this is more correct. also it did not take 21% profit as first assumed. I can see around 6% of Pathfinder V6.0 DAX 4H. I Have added a screendump for verification.

  Please comment on this.

  ONCE BrokerProfit=0 FourHoursChart=5 once countofdays=0 if not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 BrokerProfit=BrokerProfit+countofdays*0.8*countofposition else countofdays=countofdays BrokerProfit=BrokerProfit endif trueEquity=Equity-BrokerProfit graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" graph trueEquity COLOURED(0,0,255) AS "trueEquity" graph countofdays COLOURED(0,0,0) AS "countofdays"

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  ONCE BrokerProfit=0 FourHoursChart=5 once countofdays=0 if  not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 BrokerProfit=BrokerProfit+countofdays*0.8*countofposition else countofdays=countofdays BrokerProfit=BrokerProfit endif trueEquity=Equity-BrokerProfit graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" graph trueEquity COLOURED(0,0,255) AS "trueEquity" graph countofdays COLOURED(0,0,0) AS "countofdays"

   

  

  Elsborgtrading

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  01/01/2017 at 9:29 PM #19594
  Nicolas

  Sorry if I missed something but you never defined what is the ‘Equity’ variable?

  6% fees of +500% of profit  is nothing 🙂

  

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  01/01/2017 at 10:15 PM #19595
  Elsborgtrading

  Ahh of cause. And yes. 6% is nothing I agree on that:-)

  I forgot the rest of the code. here it is

  Capital = 10000 equity = Capital + StrategyProfit ONCE BrokerProfit=0 FourHoursChart=5 once countofdays=0 if not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 BrokerProfit=BrokerProfit+countofdays*0.8*countofposition else countofdays=countofdays BrokerProfit=BrokerProfit endif trueEquity=Equity-BrokerProfit graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" graph trueEquity COLOURED(0,0,255) AS "trueEquity" graph countofdays COLOURED(0,0,0) AS "countofdays"

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  Capital = 10000 equity = Capital + StrategyProfit ONCE BrokerProfit=0 FourHoursChart=5 once countofdays=0 if  not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 BrokerProfit=BrokerProfit+countofdays*0.8*countofposition else countofdays=countofdays BrokerProfit=BrokerProfit endif trueEquity=Equity-BrokerProfit graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" graph trueEquity COLOURED(0,0,255) AS "trueEquity" graph countofdays COLOURED(0,0,0) AS "countofdays"

   

  

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  01/02/2017 at 10:01 AM #19600
  Nicolas

  Thanks Kasper for this code snippet, fees are a major thing we too much often ignore and that can broke up a nice equity curve.

  I’ll put this code into the blog for future references.

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  ALE

  

  Nicolas

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  01/04/2017 at 8:32 AM #19773
  Elsborgtrading

  Hi Nicolas, yes that is a great idea to put it in the Blog section. I would have taken the task off your busy hands but I couldn’t create a blog. Perhaps it meant to be like this?

  Cheers Kasper

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  ALE

  

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  01/04/2017 at 4:09 PM #19833
  Nicolas

  Congratulations about your first blog post: https://www.prorealcode.com/blog/learning/overnight-fees-calculation-proorder-strategies/

  Any other ideas are welcome, everyone can be published in the blog section of the website 🙂

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  Elsborgtrading

  

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  01/19/2017 at 11:31 AM #21665
  Eric

  https://community.ig.com/t5/Suggestions/Getting-stopped-by-the-spread/m-p/11252

  

  Eric

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