Calculating Volume

Created at 03 Mar 2013, 13:42

Joined 30.12.2012

Calculating Volume
03 Mar 2013, 13:42

Hi,

I am having difficulty calculating Volume. I have programmed a solution for AUDUSD (x.xyzxz) (and this works for other currencies where there are 5 values after the decimal place) but this solution does not work for example with the EURJP (xzx.xyz) and USDJPY (xy.xyz).

I think I have to somehow factor in the Ask price to make the calculation valid for all currencies but I don't not know how to do this.

This is my solution (simplified) for AUDUSD, first some explanations:

- Risk is in EUR (but should also be possible for GBP, USD or whatever currency the trading account is in)

- riskInPips is calculated elsewhere, could be the size of a candle

- we have to convert from double to int

- we have to round off the lots/Volume somehow

A hardcoded version looks like this. Results are shown behind //:

riskInPips = 0.00123;

                Risk = 500;

                int lots = (int)(Risk/riskInPips); //406504

                lots = lots/10000; lots = lots*10000; // 400000

                Volume = lots;

                Trade.CreateBuyLimitOrder(Symbol,Volume,entry,SL,TP,null);

Does anyone know how to do this better. If possible so that it works for all currency pairs and if possible for accounts in different currencies?

I would really appreciate your advice,

Thanks,

TraderM

@TraderM

Replies

TraderM
10 Mar 2013, 15:35

RE:

TraderM said:

Hi,

I am having difficulty calculating Volume. I have programmed a solution for AUDUSD (x.xyzxz) (and this works for other currencies where there are 5 values after the decimal place) but this solution does not work for example with the EURJP (xzx.xyz) and USDJPY (xy.xyz).

I think I have to somehow factor in the Ask price to make the calculation valid for all currencies but I don't not know how to do this.

This is my solution (simplified) for AUDUSD, first some explanations:

- Risk is in EUR (but should also be possible for GBP, USD or whatever currency the trading account is in)

- riskInPips is calculated elsewhere, could be the size of a candle

- we have to convert from double to int

- we have to round off the lots/Volume somehow

A hardcoded version looks like this. Results are shown behind //:

                riskInPips = 0.00123;

                Risk = 500;

                int lots = (int)(Risk/riskInPips); //406504

                lots = lots/10000; lots = lots*10000; // 400000

                Volume = lots;

                Trade.CreateBuyLimitOrder(Symbol,Volume,entry,SL,TP,null);

Does anyone know how to do this better. If possible so that it works for all currency pairs and if possible for accounts in different currencies?

I would really appreciate your advice,

Thanks,

TraderM

Hi,

I have solved this as following:

// For xxx.yyy and x.yyyyy currencies listed in setVolumeConverter()
                int lots = (int)(Risk/(riskInPips/volumeConverter));

                lots = lots/10000; lots = lots*10000; // Round off using integer truncation

                Volume = lots;

The volumeConverter is set when the robot starts using this: setVolumeConverter();

The setVolumeConverter() method looks like this:

private void setVolumeConverter()
            {

            switch (Symbol.Code)
            {
             // x.yyyyy currencies
                case "EURUSD":volumeConverter = 1;
                break;
                case "USDCAD":volumeConverter = 1;
                break;
                case "EURCAD":volumeConverter = 1;
                break;
                case "GBPCHF":volumeConverter = 1;
                break;
                case "GBPUSD":volumeConverter = 1;
                break;
                case "EURAUD":volumeConverter = 1;
                break;
                case "AUDCAD":volumeConverter = 1;
                break;
                case "EURTRY":volumeConverter = 1;
                break;
                case "AUDUSD":volumeConverter = 1;
                break;
                case "GBPAUD":volumeConverter = 1;
                break;
                case "USDSGD":volumeConverter = 1;
                break;
                case "GBPCAD":volumeConverter = 1;
                break;
                case "USDCHF":volumeConverter = 1;
                break;
                case "EURGBP":volumeConverter = 1;
                break;
                case "NZDUSD":volumeConverter = 1;
                break;
                // xxx.yyy currencies
                case "EURJPY":volumeConverter = 100;
                break;
                case "GBPJPY":volumeConverter = 100;
                break;
                case "USDJPY":volumeConverter = 100;
                break;
                case "CADJPY":volumeConverter = 100;
                break;
                case "AUDJPY":volumeConverter = 100;
                break;
                }
            Print("volumeConverter: {0}", volumeConverter);
           }

This solution is not particularly elegant. Maybe someone has a better solution?

TraderM

@TraderM

Kate
10 Mar 2013, 18:01

RE: RE:

I gues you can use Symbol.PipSize for such conversions.

@Kate

TraderM
19 May 2013, 16:36

Hi,

This is the sort of calculation I needed.

   // profit > 0 => Calculate Volume based on Risk and Pip value
  var risk = (int)(RiskPercent * Account.Balance / 100);
  var volumeOnRisk = (int)(risk * Symbol.Ask / (Symbol.PipSize * StopLoss));

I found this in the "Example Based on Martingale Robot".
Thanks for posting this!

TraderM

@TraderM

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