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Hello all, I'm trying to run some backtests on custom data and for that I have defined a custom tick and then a custom instrument, like this
var properties = new SymbolProperties("EUR", "USD", 1, 0.00001m, 1, "EURUSD");
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
this._symbol = this.AddData<MyTick>("EURUSD", properties, exchangeHours, Resolution.Tick).Symbol;The test reads the data correctly and runs the algorithm. The problem is the profit is calculated incorrectly.
For example for the first closed trade, the two orders are:
2020-01-07 09:00:00,EURUSD,Buy,1,1.11955
2020-01-08 08:00:00,EURUSD,Sell,-1,1.115395And if I check the portfolio, the recorder transaction value is: -0.0041550
This looks like the engine doesn't use any multiplier or lot size, and it just computes a subtraction between the two prices. I checked the securities database and for Oanda EURUSD, the lot size is 1, and the contract multiplier is 1, which is why I put the same numbers when creating my custom instrument.
What am I missing?
Nico Xenox
Hey AlexP,
did you use the last trade profit?
Best,
Nico
Alex P
Hi Nico,
if I check the last trade profit, it looks the same, very low.
To clarify here, I don't know how to set it up so that the system knows when I say “buy 1”, then the system knows that means a whole lot. So, basically, how to set up a lot size?
I tried setting lotSize to 100000, but then when I want to create an order for one lot, I get this message:
Alex P
if I set contractMultiplier to 100000, and lotSize to 1, then it seems to work properly, but I'm not sure this is the correct setup because I saw the instruments set for oanda in the database and it's not like that.
Nico Xenox
Hey Alex P,
you can find the lot size for each pair here:
Lot size in this case would be 1 for EURUSD(oanda). You will have to increment your size in these steps. The multiplier is the contract size. You can define it doing a simple calculation with risk and distance(pip) in this case it is (0.00001):
let’s say you had a risk of 20$ and pip movement of 20
Order size = risk / distance = 20$ / 0.00002 = 1000000
this would be your multiplier.
Best,
Nico
Alex P
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