Hi all,
I’m a little bit confused about setting transaction costs in FX for backtesting purposes.
I’m using TS historical data with “100.000” lot size.
As in MC there is only the $ - Symbol as Currency-Unit, can one assume that the $ is just a general sysmbol for the base currency (first ccy in quote, e.g. in GBP/USD , GBP is base ccy) ?
For example:
in GBP/USD (100.000/160.000) we assume a 2 Pips spread ( 1.6001/1.6003 )
= 160.030 USD – 160.010USD = 20 USD as spread costs
Under “Costs” in “Strategy Properties” do I use 20USD or do I have to convert the 20USD in GBP (20/1.600= 12.5GBP) as GBP is the base ccy ?
Thank you very much for your help.
Setting transaction costs in FX
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Re: Setting transaction costs in FX
Hello Fibbonacci
Here is what i did
Don't know it it will resolve your interogation
My broker is IB. The cost per transaction is 2.5$ per 100 k units
In the property for the transaction cost, i use the value .0000025$ and select per share.
This is not translated in my base value ( Canadian), but at least it is closer representation of my cost since my number of unit that i deal modulate for each transactions
Now, if you want to convert it in your base currency, just put your cost per units in the box
Happy trading
Martin
Here is what i did
Don't know it it will resolve your interogation
My broker is IB. The cost per transaction is 2.5$ per 100 k units
In the property for the transaction cost, i use the value .0000025$ and select per share.
This is not translated in my base value ( Canadian), but at least it is closer representation of my cost since my number of unit that i deal modulate for each transactions
Now, if you want to convert it in your base currency, just put your cost per units in the box
Happy trading
Martin
-
- Posts: 49
- Joined: 26 Dec 2009
- Has thanked: 34 times
- Been thanked: 1 time
Re: Setting transaction costs in FX
Hello arjfca,
thank you for your reply.
As far as I understand IB's commissions the cost per transaction is not 2.5$ per 100 k units,
but 2.5$ per 100 k $ units. Otherwise you would pay e.g. just 2.5$ per 100k GBP which would be about 1.6 time lower as price for GBP/USD is about 1.6.
Concerning my problem - the per share calculation will not solve the problem
as it is just a per share calculation and not a lot size calculation. In case your base ccy is CAD you are right there is not much difference when trading USD/CAD because there is not a huge price diference.
Probably there is an official explanation by MultiCharts as in MC there is only the $ - Symbol as Currency-Unit.
Thank you very much
thank you for your reply.
As far as I understand IB's commissions the cost per transaction is not 2.5$ per 100 k units,
but 2.5$ per 100 k $ units. Otherwise you would pay e.g. just 2.5$ per 100k GBP which would be about 1.6 time lower as price for GBP/USD is about 1.6.
Concerning my problem - the per share calculation will not solve the problem
as it is just a per share calculation and not a lot size calculation. In case your base ccy is CAD you are right there is not much difference when trading USD/CAD because there is not a huge price diference.
Probably there is an official explanation by MultiCharts as in MC there is only the $ - Symbol as Currency-Unit.
Thank you very much
Re: Setting transaction costs in FX
Thank you also Fibbonaci to have clarified my erroneous affirmation about the cost.
I understand your point. I did tried few months ago to resolve it, but i found and realised that my biggest problems was not at all relevant to the cost of transaction, interest charged or any other fees.
I need to be at least profitable on paper using my entrys, exit, trade and money management etc. Once that resolve and only then, I will refine to look at these (will be) minor points.
Yes, I still have a lot of crust to eat ( French Canadian expression)
Martin
I understand your point. I did tried few months ago to resolve it, but i found and realised that my biggest problems was not at all relevant to the cost of transaction, interest charged or any other fees.
I need to be at least profitable on paper using my entrys, exit, trade and money management etc. Once that resolve and only then, I will refine to look at these (will be) minor points.
Yes, I still have a lot of crust to eat ( French Canadian expression)
Martin