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Using currency in code

SIMONIS · 2019-04-19T13:29:41+00:00

is it possible to use the currency of the trade in the code ? To be able to include currency in the calculations. thanks

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ProOrder: Automated Strategies & Backtesting
Using currency in code

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04/19/2019 at 2:29 PM #96822 quote

SIMONIS
Participant

Junior

is it possible to use the currency of the trade in the code ? To be able to include currency in the calculations.

thanks

04/19/2019 at 2:57 PM #96823 quote

Nicolas
Keymaster

Legend

Hmm, i’m not sure to understand, what calculation would you like to be done? The currency used by code is the one of the instrument.

04/19/2019 at 5:48 PM #96825 quote

SIMONIS
Participant

Junior

I want have fixed exposure independent of the instrument i apply my automatic trading script to.

I current use this;

Exposure = 15000

NUMBEROFCONTRACTS = (Exposure / MedianPrice) * ( 1 / pointvalue )

i made different scripts for dollars, SK and euro’s.

but if i would apply this script to Yen i would get a different exposure.

so i am searching for code that my exposure is always 15000 euro per instrument independent of the applied instrument (only indexes).

i hope this helps in defining an answer.
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Using currency in code

ProOrder: Automated Strategies & Backtesting

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SIMONIS @simonis Participant

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This topic contains 2 replies,
has 2 voices, and was last updated by SIMONIS
7 years, 6 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	04/19/2019
Status:	Active
Attachments:	No files

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Using currency in code

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Using currency in code ProOrder: Automated Strategies & Backtesting

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Using currency in code

ProOrder: Automated Strategies & Backtesting