SWAP calculation during Backtest

lukas.ourada
19 Jan 2021, 12:25

Hi, I needed something similar. I don't know why it can't be automated in the cTrader API, but I think the broker probably changes these rates and they are not in the historical data between Ticks. I solved temporarily by creating my own configurable parameter swapLong , swapShort and to OnTimer () write this code:

if (Time.Hour == 23 && Time.Minute == 0 && Time.Second == 0)
 {
   if (Time.DayOfWeek == DayOfWeek.Wednesday)
   {
    ZjistiObjemObchodu();

    double a = selllots / 100000 * SwapShort * PipValue* 3;
    double b = buylots / 100000 * SwapLong * PipValue* 3;
    double ab = a + b;

    SwapCelkem += ab;

    Print("Today was a three-day swap, the total is now paid " + Math.Round((SwapCelkem), 2) + Account.Currency);
                       

    }
    else if (Time.DayOfWeek == DayOfWeek.Saturday)
    {
        Print("--------------- Today is Saturday ---------------");

    }
    else if (Time.DayOfWeek == DayOfWeek.Sunday)
    {
         Print("--------------- Today is Sunday ---------------");
    }
    else
    {

    ZjistiObjemObchodu();

    double a = selllots / 100000 * SwapShort * HodnotaPipu;
    double b = buylots / 100000 * SwapLong * HodnotaPipu;
    double ab = a + b;

    SwapCelkem += ab;

    Print("Swap total is: " + Math.Round((SwapCelkem), 2) + Account.Currency);

   
    }



}


void ZjistiObjemObchodu()
        {
            buylots = 0;
            selllots = 0;

            foreach (var position in Positions)
            {
                if (position.SymbolCode == Symbol.Code)
                {
                    double lot = position.VolumeInUnits;

                    if (position.TradeType == TradeType.Buy)
                    {
                        buylots += lot;
                    }

                    if (position.TradeType == TradeType.Sell)
                    {
                        selllots += lot;
                    }
                }
            }


        }

it calculates the total swap which you set in the parameters according to your broker (its in cTrader/trade/ panel symbol details) and writes it to the console. At the same time, it is also in the SwapTotal variable, so you can use it to get the actual real account equity and balance by subtraction it.

maybe it will help

Sorry for my bad english :-)

Lukas