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I haven't doodled with commodities, so I am speaking somewhat from a position of ignorance--especially compared to the others who already posted. Regardless, don't you use margins in futures? If so, wouldn't you need some kind of stop-loss to prevent a margin call? I would suppose if you are...

This is an old thread, but it was mine, so I figured I should post what I did. Since I'm looking into using Oanda, I was able to access their REST API and slurp down some data as needed for analysis. It has their spread built in, but that's fine with me for verifying against their own platform.

I've asked about data providers before, but I have specific needs this time. For the EURUSD, I'm looking for 24-hour data at the resolution of 1 minute and less. I'm trying to get some data for the past few years to see how my current prototype crumbles. I am debating going from every minute...

Yeah I saw some old threads about creep brokerages. Something came up about one that allowed 1:500 leverage that was in Mauritius. Somebody brought up they work by slipping so badly handling your orders that you get royally screwed. I think I may take this discussion to the brokerage...

I guess I shouldn't be surprised people don't want to jump into the math. :p I was thinking I was probably correct, and that I should look into a brokerage charging on a spread. I see Oanda has an average spread of 1.2 pips. I figured out how to force Amibroker to add that as a premium to my...

I'm trying to figure out if my strategy is actually viable or if it gets cut to ribbons on commissions. I haven't actually traded forex yet, and I get caught up on the math. It's not so much the math itself but the terms that mix me up. I was trying to interpret Dukascopy's rates and came up...

I'm trying to understand how some of the math with margins goes when doing cross currency trades. I haven't found anything that goes into it, so I'm kind of at a loss. Assuming I start in USD, and I want to trade some X:Y pair, how are the lot sizes and margin rules handled? How should I...

I swear you guys deliberately try to take me out of context here: I did not write "strategy." I have been backtesting a strategy fine and plenty. I want to start executing mock orders and checking that I have the full flow working. It's integration testing. As much as possible I'd like to...

I don't think I wrote "strategy" there, just "something." I have given that plenty of testing, but I'd like to practice execution with it. At the least I don't have the order execution logic in place at all so I need something to try that. I also don't have a brokerage account yet since I'm...

I'm developing something I'd like to eventually try live, although I haven't even settled on a Broker yet. So in the meanwhile I thought I'd start focusing on trying to do execution using the FIX protocol, or at least have 1:1 mappings of the functions in that to what I'm trying to accomplish...

I'm a little more sane today, but it wasn't like I could smash through the scripts in Amibroker yet. What I was wondering though from inspection is if there's a way to get the bid/ask spread represented in Amibroker's backtester. I figured I'd look this up, but this thread itself, of all...

I'll have to take some time to do this. I'm still recovering from this cold. I found I do the most horrible math after taking Mucinex so I might step back for a day or two. I did check the pastes and will run them through Amibroker when I have the concentration back to soak it in.

I didn't have the settings right in AmiBroker: Symbol EURUSD Trade Short Date 7/2/2012 12:13:59 AM Price 1.2637 Ex. date 7/2/2012 12:23:59 AM Ex. Price 1.26318 % chg -0.04% Profit 5143 % Profit 5.19% Contracts 99 Position value 99000...

I suppose the underlying reason I have been trying to use the formulas with pip values and the different lot factors is that they seem redundant in some way. Since I'm writing code here I don't want to make too much related stuff a parameter, because I'll really cause trouble if I mix them up...

Hmm okay I see it in my own formula above for unleveraged contracts. I had created a formula for the price per lot that looked like this: price per lot = unit size / (conversion * margin deposit) when I guess it's price per lot = unit size / (conversion * leverage ratio) Then taking...

So I think I see how this sets my other math of fire now. So with 100:1 margin, if I had $10,000 to blow on some xxxUSD that's 1.01, I could get 9899.99 micro lots. I think. If it went up to 1.02, the profit would be: 9899.99 * (1.02 - 1.01) * 1000 units in micro = $98999.90. Does that sound...

I had started to doodle all over my last post to add in a concrete example, and it went past 30 minutes. Edit: I'll pencil some more stuff in here based on some more reading and make it a little more concrete. So I'll just post again! Let's use micro contracts, and 100:1 leverage...

It's true the numbers were a little bit different and I wondered about that, but I was dismissing it as floating point errors and things like that. In my coding it's a lot more obvious with currencies since the numbers tend to go to larger extremes more quickly. I had to use a big decimal type...

so if I understand that right if my base currency is in USD, the conversion factor in effect nullifies the entry price, and it becomes risk / absolute stop. I at least can reproduce your numbers now. Something I'm trying to wrestle with is why another formula I found didn't appear to work...

Throwing in the risk-adjusted position size added some numbers to the whole thing that messed me up. I was following most of it from the position size, but that number was smashing into the room like Kool-Aid Man until I figured out that was related to your stop loss and portfolio risk...