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Hi,
I have the following problem.
Assume I have an account in USD and I trade two Fx pairs: EURUSD and AUDCHF.
According to my money management I risk n-percent of my account and have a StopLoss.
It is easy to calculate the Quantity of EURUSD for trading;
CashForDeal=Cash* (PercentOfRisk)) / (StopLoss * PairMinVariation)
Quantity=CashForDeal/CurrentPriceOfPair;
But to calculate the Quantity of AUDCHF for trading I have to know price of AUDUSD:
CashForDeal=Cash* (PercentOfRisk)) / (StopLoss * PairMinVariation)
CurrentPriceOfPairInUsd=1/(AUDCHF_price/AUDUSD_price);
Quantity=CashForDeal/CurrentPriceOfPairInUsd;
Is there any possibility to find out the price of AUDUSD, without adding it to the strategy?
Alexandre Catarino
When we subscribe to a pair which the account currency is not a part of, like AUDCHF, the algorithm automatically subscribes to the necessary pair that will provide the conversion rate (AUDUSD and USDCHF).
In the Portfolio, we have the CashBook object that provides a means of keeping track of the different cash holdings of an algorithm.
The CashBook is a dictionary where the key is the currency (e.g.: "CHF", "EUR", "AUD", etc) and the value is a Cash object that represents a holding of a currency in cash.
In order to access the conversion rate, we simply code:
var audusd = Portfolio.CashBook["AUD"].ConversionRate; var chfusd = Portfolio.CashBook["CHF"].ConversionRate;Please note that the rate is expressed in account currency (USD). For instance, if we want to find the USDCHF pair price, we need to calculate the inverse of the value above:
var usdchf = 1m / chfusd;Alexandr Trenkenshu
Thank you very much, Alexandro
Alexandr Trenkenshu
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