Setting transaction costs in FX

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fibonaccci
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Setting transaction costs in FX

Postby fibonaccci » 30 Mar 2011

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.

arjfca
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Re: Setting transaction costs in FX

Postby arjfca » 31 Mar 2011

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

fibonaccci
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Re: Setting transaction costs in FX

Postby fibonaccci » 07 Apr 2011

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

arjfca
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Re: Setting transaction costs in FX

Postby arjfca » 07 Apr 2011

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


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