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Open Bug report MC-2499

PT: wrong trade size with Cash Per Trade setting

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Description

See Reproduction steps below.

There might be an explanation (exchange rate at trade exit is applied for conversion?), but it is practically wrong and does not serve the purpose of accurate backtesting...

Steps to reproduce this issue

1) Load any USD-quoted currency pair, e.g. USD.JPY, USD.CAD
2) apply any signal
3) set strategy currency to USD
4) set "Cash Per Trade" = $10000

5) run the signal and see in the trade list that trade sizes are not equal to 10 000 usd.

Comments (4)
#1
user-offline.png  Zheka (Zheka)
Aug 27, 2018 - 05:34
A file was uploaded. PT_CashPerTrade_wrong.JPGicon_open_new.png
#2
user-offline.png  MultiCharts Support (MultiCharts)
Sep 19, 2018 - 07:01
Zheka,

What is the Big Point Value for the instrument in question?
Changes:
  •   icon_status.pngStatus changed: Under Review => Need Details
#3
user-offline.png  Zheka (Zheka)
icon_reply.pngSep 19, 07:17, in reply to comment #2
It is 1. What else can it be? And why would it matter in this case?

#4
user-offline.png  MultiCharts Support (MultiCharts)
Sep 27, 2018 - 06:43
Zheka, There is no issue here. Your assumption regarding the exchange rate applied for conversion is correct. The reason you are not seeing the exact 10000 contracts amount is due to the fact that previous daily bar close is used for the currency conversion, which is most often different from the current trade price. Here is the formula that is used for the calculation: Number of Contracts = Cash per trade / ( Big Point Value for the symbol * currency conversion exchange rate * order execution price) You can check the exchange rate using the convert_currency command.
Changes:
  •   icon_status.pngStatus changed: Need Details => Not a bug
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    user-offline.png  Zheka (Zheka)
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    PT_CashPerTrade_wrong.JPG uploaded Aug 27, 2018 by Zheka (Zheka)
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