setting point value for EURUSD and performance report proble

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brucev
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setting point value for EURUSD and performance report proble

Postby brucev » 07 Sep 2010

Hi,

I have downloaded data from IB for EUR.USD via idealpro.

When I run a strategy performance report for my strategy, every pip is priced as $1. I was expecting them to be $10.

Have I misunderstood, or do I need to set this somewhere. I used IB and am using Exchange & ECN settings for idealpro when I defined it in multicharts.

Further, no values are filled in (usefully) on the Strategy Performance Report.

For example, here is the information for 1 trade (from the list of trades in Strategy Performance Report):
15 EntryLong Buy 3/09/2010 12:00:00 AM 1.2875 1 0.0036 0.27961165 0.005 0.000005 0.0036 0.27961165 -0.0008 -0.062135922
16 ExitLong Profit Target 6/09/2010 12:00:00 AM 1.2911 1
The backtesting simulation is run with $100,000 capital and buys 1 contract.. shouldn't the profit be 36 pips at $10 each = $360?

Thanks,
Bruce

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Re: setting point value for EURUSD and performance report pr

Postby tcat » 07 Sep 2010

Hi,

In strategy properties, did you define the trade size to 1 lot?
I put 100000 in the fixed shares/contracts as it represents the number of units in a lot.

Thierry

brucev
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Re: setting point value for EURUSD and performance report pr

Postby brucev » 07 Sep 2010

Hi,
that certainly works, but it means the strategy is buying 100000 contracts... I assume this is a workaround for a bug in multicharts?
Assuming so, it seems like a pretty major thing to have wrong
Cheers,
Bruce

smashthepound
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Re: setting point value for EURUSD and performance report pr

Postby smashthepound » 10 Sep 2010

When 1 pip is 1 USD then your settings in QM are probably as follows:

Price Scale: 1/10,000
Daily limit: 10,000
Min Movement: 1
Big Point Value: 10,000

Your position size equals at a rate of 1.2500 EURUSD the following:
10,000 EUR ag. 12,500 USD. If you want 1 pip being 10 USD then you either have to trade 10 "lots" (10 * 10,000 * 0.0001 = 10) or you have to amend settings in QM.

I personally like above settings best in strategy development.

brucev
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Re: setting point value for EURUSD and performance report pr

Postby brucev » 10 Sep 2010

Hi smashthepound,,

you missed my point here. The value of a 1 pip movement in 1 EURUSD is $10USD according to the forex contract.

That is, if I trade 1 contract of EURUSD and the price changes by 1 pip, that is a $10USD profit (ignoring transaction costs etc). It is not $1USD per pip. I am talking about the actual contract specification for EURUSD in the forex market.

My point is that Multicharts does not seem to recognize this fact, despite the fact that I got the contract specifications automatically set by multicharts from IB (as I queried in the symbol via MC from my IB account).

The situation is actually even sillier. For example, in this trade:
15 EntryLong Buy 3/09/2010 12:00:00 AM 1.2875 1 0.0036 0.27961165 0.005 0.000005 0.0036 0.27961165 -0.0008 -0.062135922

which actually trades 1 contract and closed out with a 36 pip profit, Multicharts actually reports the profit as $0.0036USD (36 x 1/10,000ths of a dollar). The actual profit for the trade in the real world is 36 pips x $10USD per pip = $360USD

The solution of "pretending" you are trading 100,000 contracts which was suggested basically means the $0.0036 was multipled by 100,000 = $360 which is the right dollar value - but it is the right dollar value if you are trading 1 contract, not 100,000!

Cheers,
Bruce

smashthepound
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Re: setting point value for EURUSD and performance report pr

Postby smashthepound » 10 Sep 2010

What is your Big Point Value in QM?

What is the contract specifiaction in EUR.USD @ IB? Please note that there is no general contract specification in FOREX because it is OTC. So every broker can handle this as he wants.

I assume your Big Point Value is set @ 1. Therefore amend it to 100,000 if 1 pip is 10 USD @ IB.

regards

brucev
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Re: setting point value for EURUSD and performance report pr

Postby brucev » 10 Sep 2010

Hi smashthepound,

I am not sure how to get this information out of IB TWS??? This page http://www.interactivebrokers.co.uk/con ... d=12087792 shows some contract details, but is actually quite confusing...

....is there anyone who actually trades EUR.USD who could share their contract settings here?

I queried in the IB EUR.USD symbol, and set the instrument to use the exchange and ECNs settings for idealpro, which it has set to:

price scale = 1/10000
daily limit = 1
min movement = 1
big point value = 1

Cheers, and thanks for your help,
Bruce

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Dave Masalov
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Re: setting point value for EURUSD and performance report pr

Postby Dave Masalov » 10 Sep 2010

Dear Bruce,

You should change big point value to 10. Thus, every pip will be 10 times bigger - 10USD.

brucev
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Re: setting point value for EURUSD and performance report pr

Postby brucev » 10 Sep 2010

Hi Dave,

this doesn't help either.

Using the settings that multicharts gets from IB results in every 1 pip being worth 1/10000th of a dollar.

Changing it to big point of 10 makes each one worth 1/1000th of a dollar.

So far I have had quite a few different suggestions from a number of helpful people, but aren't there any real traders out there - this isn't any unusual thing to want to do!

I am using the basic approach of hooking up MC to IB to trade the most commonly traded forex symbol on the planet. This should be absolutely basic.

MC says it gets the contract details from IB but it obviously doesn't.

Can anyone make it simple and list out what the values should be for price scale , daily limit, min movement and big point value?

MC defaults to:
price scale = 1/10000
daily limit = 1
min movement = 1
big point value = 1

but these are obviously wrong.

Thanks,
Bruce

smashthepound
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Re: setting point value for EURUSD and performance report pr

Postby smashthepound » 10 Sep 2010

Try this:

Price Scale: 1/10,000
Daily limit: 100,000
Min Movement: 1
Big Point Value: 100,000

brucev
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Re: setting point value for EURUSD and performance report pr

Postby brucev » 11 Sep 2010

Hi smashthepound,

ridiculous as it sounds, with those settings, trading 1 contract, MC now reports the profit at $100USD per pip!

Here is a sample trade:

Trade # Order # Type Signal Date Time Price Contracts Profit ($) Profit (%) Cum. Profit ($)

19 37 EntryLong LONG Only 3/09/2010 12:00:00 AM 1.2875 1 100 0.00776699 1000 1 100 0.00776699 0 0
38 ExitLong Profit Target 3/09/2010 12:00:00 AM 1.2876 1
Clearly 1 contract, 1 pip move, $100 profit.

Does anybody actually use this software to trade?

Bruce

smashthepound
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Re: setting point value for EURUSD and performance report pr

Postby smashthepound » 11 Sep 2010

And what does it report if you use my settings?

Price Scale: 1/10,000
Daily limit: 10,000
Min Movement: 1
Big Point Value: 10,000

By the way I found the following on the IB web site: "IB Forex should be utilized to convert funds, not to trade currencies. While our quoted rates are vastly superior to rates available at a bank, retail IDEAL rates are slightly higher than institutional Interbank rates. For the trading of currencies, IDEALPRO should be utilized."

Therefore have a look at: http://www.interactivebrokers.com/en/tr ... ch=ibfxpro

And you fill find the min. size for EUR: 20,000

Finally - Where do you take this from?

Trade # Order # Type Signal Date Time Price Contracts Profit ($) Profit (%) Cum. Profit ($)

19 37 EntryLong LONG Only 3/09/2010 12:00:00 AM 1.2875 1 100 0.00776699 1000 1 100 0.00776699 0 0
38 ExitLong Profit Target 3/09/2010 12:00:00 AM 1.2876 1

regards

imoneyfish
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Re: setting point value for EURUSD and performance report pr

Postby imoneyfish » 28 Oct 2011

Hi Brucev,

I got the some problem here as I trade with IB. I think because IB min size for EUR is 20,000 rather than normally as 1. Therefore cause some problems with performance report. See my post here, http://www.multicharts.com/discussion/viewtopic.php?f=1&t=9368. Hope someone test it and help us. Thanks.

gpw797
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Re: setting point value for EURUSD and performance report pr

Postby gpw797 » 14 Jan 2014

This information is always imports incorrectly from IB into the quote manager, been like this for years.

I just had to revisit this to fix a few symbols and here is how it works:

for symbols with 3 digits of precision like GBP.JPY with prices like 172.320 171.325 172.330
price scale: 1/1000
min movement: 5
big point value: 0.1

for symbols with 5 digits of precision like EUR.USD with prices like 1.36750 1.36755 1.36760
price scale: 1/100000
min movement: 5
big point value: 1

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Henry MultiСharts
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Re: setting point value for EURUSD and performance report pr

Postby Henry MultiСharts » 15 Jan 2014

gpw797 wrote:This information is always imports incorrectly from IB into the quote manager, been like this for years.

I just had to revisit this to fix a few symbols and here is how it works:

for symbols with 3 digits of precision like GBP.JPY with prices like 172.320 171.325 172.330
price scale: 1/1000
min movement: 5
big point value: 0.1

for symbols with 5 digits of precision like EUR.USD with prices like 1.36750 1.36755 1.36760
price scale: 1/100000
min movement: 5
big point value: 1

Hello gpw797,

When you trade Forex from MultiCharts with IB 1 contract in MC = 1 @ IB. You need to specify your lot size as the amount of contracts to be purchased in MultiCharts. That means big point value for all Forex pairs from IB = 1.

At the moment all currency pairs from IB are added with the correct instrument settings. Please add the symbols from the data source.
In QuoteManager please go to Instrument tab->Add symbol->From data source-> IB.

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Re: setting point value for EURUSD and performance report pr

Postby gpw797 » 15 Jan 2014

Please explain EXACTLY how to set up, if I import directly from IB my backtest reports are wrong and trading rules quantities are wrong. There are others here who obviously have having trouble with this as well.

What I described in my "fix" to make things work uses $ entered in a trade to make it work (i.e. $17,000/trade, $100,000/trade) which is what IB TWS wants. IB TWS operates in dollars per trade not lots. It wants a currency quantity not a lot quantity. Please excplain, thanks

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Henry MultiСharts
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Re: setting point value for EURUSD and performance report pr

Postby Henry MultiСharts » 16 Jan 2014

gpw797 wrote:Please explain EXACTLY how to set up, if I import directly from IB my backtest reports are wrong and trading rules quantities are wrong. There are others here who obviously have having trouble with this as well.

What I described in my "fix" to make things work uses $ entered in a trade to make it work (i.e. $17,000/trade, $100,000/trade) which is what IB TWS wants. IB TWS operates in dollars per trade not lots. It wants a currency quantity not a lot quantity. Please excplain, thanks

gpw797, by "$" do you mean USD or the secondary currency of the pair? Please explain what is "wrong" exactly with the settings from the data provider (QuoteManager->Instrument tab->Add symbol->From data source-> IB->Cash->Type in the main currency of the pair->Lookup). Provide screenshots demonstrating this behavior.

In MultiCharts for Forex pairs the price on the chart, in the report and in the strategy properties is shown/specified in the secondary currency. For GBP.JPY the price is in Japanese Yen.
If you specify the trade size in "Dollars per trade" in MultiCharts - this will be the value in the secondary currency (Yen for GBP.JPY).

You can set the conversion rate into the currency you need in Report->Settings->Display->Regional currency.

gpw797
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Re: setting point value for EURUSD and performance report pr

Postby gpw797 » 16 Jan 2014

Here is one example of the data coming in incorrectly. I will post more examples if needed. This is on a fresh install of MC this morning, instruments imported via IB into quotemanager per you instructions

look at the screenshot. Bracket orders are set to be 10 pips both directions but the orders are placed incorrectly at 5 pips
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Henry MultiСharts
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Re: setting point value for EURUSD and performance report pr

Postby Henry MultiСharts » 17 Jan 2014

gpw797 wrote:Here is one example of the data coming in incorrectly. I will post more examples if needed. This is on a fresh install of MC this morning, instruments imported via IB into quotemanager per you instructions

What do you mean by "the data coming in incorrectly"? Please be more specific.

gpw797 wrote:look at the screenshot. Bracket orders are set to be 10 pips both directions but the orders are placed incorrectly at 5 pips

In MultiCharts currently 1 pip = 1 tick = 1 minimum price increment, so for instance on EUR/USD "classical" pip = X.XXXX, where in MultiCharts it is X.XXXXX.
1 tick = minimum price increment, for EUR.USD it is 0.00005 (Min.Movement / Price Scale=0.00001*5).
So in your case 10 ticks = 0.0005. The information on your screenshot is the correct, expected behavior: 10 ticks bracket orders are placed at 1.36200 and 1.36155 respectively for the entry at 1.36100
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gpw797
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Re: setting point value for EURUSD and performance report pr

Postby gpw797 » 17 Jan 2014

I wasn't aware you guys redefined what a pip was! A pip in the EUR.USD is .xxxx everywhere else in the world, why make things difficult? Working with forex symbols in MC is far from perfect when backtesting a strategy results are always in the secondary corrency not the users base currency. So when I want to backtest a GBP.JPY for example. I need to:

1) set up a special commission rate that is represented in yen (instead of multicharts converting my base currency)
2) set up a special slippage value or two. Slippage should be specified in pips/ticks NOT $. So again when backtesting GBP.JPY I need to take my desired slippage in pips and convert that into the secondary currency (yen in this case)
3) Convert my backtest results to back to my base currency.

This is very cumbersome to say the least. When you dialog boxes say $ but they are really something else that further adds to the confusion.

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Andrew MultiCharts
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Re: setting point value for EURUSD and performance report pr

Postby Andrew MultiCharts » 22 Jan 2014

MultiCharts is not optimized for forex trading, though you can reach your goal with correctly configured software.

We will work on forex in MultiCharts in one of future versions and such things as pip definition will be improved. No ETA at the moment.
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