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FOREX

Posted By DrKoch 10 Years Ago
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Posted Monday December 17 2007
I have some trouble using Forex:

With Symbol "EUR/GBP" I get:

Could not convert from GBP to USD for date ...

--

With symbols
AUD/JPY, EUR/JPY, ... (any pair with Currency JPY)
I get grossly wrong P/L for each trade. I guess the internal JPY -> USD calcs are wrong.

--
Any ideas?




www.finantic.de

Our Trading System at C2: Topaz
Posted Monday December 17 2007
Also for backtesting on Forex data I'd like to take the spread for each symbol into account.

(There is no Bid/Ask available in my historical forex data)

Any ideas how to incorporate symbol specific spread?


www.finantic.de

Our Trading System at C2: Topaz
Posted Monday December 17 2007
DrKoch (12/17/2007)
Also for backtesting on Forex data I'd like to take the spread for each symbol into account.

(There is no Bid/Ask available in my historical forex data)

Any ideas how to incorporate symbol specific spread?

Add a bid/ask value to the data source. If you want a 2pip spread just use the close to caculate the correct bid/ask and run a SQL query to update the whole data source.


Posted Tuesday December 18 2007
DrKoch (12/17/2007)
I have some trouble using Forex:

With Symbol "EUR/GBP" I get:

Could not convert from GBP to USD for date ...

--

With symbols
AUD/JPY, EUR/JPY, ... (any pair with Currency JPY)
I get grossly wrong P/L for each trade. I guess the internal JPY -> USD calcs are wrong.

--
Any ideas?

Are you still having problems with this?  There is no "internal" JPY -> USD exchange rate.  RightEdge will look for forex data that you have for USD/JPY to provide the exchange rate.  So if you have bad USD/JPY data you could have this problem.  Also, if your account currency is USD, then you would need GBP/USD data to supply the exchange rate if you want to trade EUR/GBP.

Thanks,
Daniel

Posted Thursday January 17 2008
Today I found the time to look into this problem again.

Everything seems to work as long as the currency pair contains the account currency. My account currency is EUR and I can trade EUR/GBP and EUR/USD with this - fine.

Problems start, if I want to trade GBP/USD.
In life mode RE hangs after "Synchronizing bar data".

If I run the same data in backtest mode I get an error message:

Could not convert from USD to EUR for date 1/16/2008 12:00:00 AM. Sad

The strange thing is, bar data editor shows data for EUR/USD 1/16/2008 12:00 AM
This data is tagged with Exchange = IDEALPRO.

If I change Exchange for this realtime data to (and download the data again) it works w00t
in backtest mode but still hangs in live mode

(I see this sensitivity for "Exchange" being more and more of a problem...)

Any thoughts?


www.finantic.de

Our Trading System at C2: Topaz

Edited: Thursday January 17 2008 by DrKoch
Posted Thursday January 17 2008
Update: Every symbol hangs if the symbol's currency is USD and my account's currency is EUR Sad


www.finantic.de

Our Trading System at C2: Topaz
Posted Thursday January 17 2008
Do you have more than one symbol in the watchlist for EUR/USD? It searches for these symbols when you start the system to use for currency conversion, but if you have more than one it might be choosing the wrong one. I'm not sure why it hangs in love mode though.

Thanks,
Daniel
Posted Thursday January 17 2008
> I'm not sure why it hangs in love mode though

I'd prefer to hang out in LOVE mode all day... Wink


www.finantic.de

Our Trading System at C2: Topaz
Posted Thursday January 17 2008
DrKoch (1/17/2008)
> I'm not sure why it hangs in love mode though

I'd prefer to hang out in LOVE mode all day... Wink

Doh! You caught my error before I could correct it!
Posted Thursday January 17 2008
> Do you have more than one symbol in the watchlist for EUR/USD?

Well, yes and no.

My setup is as follows:

I have one WatchList folder with 5-Min FOREX historical, some years, used for backtesting.

I have another folder (1-Min) used for live trading. Same symbols, much shorter histories.

I have a similar collection for stock data: One folder 60-Min, long history, one folder 5-Min long history, another folder 1-Min for live trading, short history.

Of course there are the same symbol names, currencies and so forth.

I used to make them different in the Data Store by assigning a different "Exchange".

Guess this screws up everything...

What is your suggestion for an arrangement with long histories for backtest and short histories for live trading?


www.finantic.de

Our Trading System at C2: Topaz


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