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calculating rate of return
 Post subject: calculating take profit Post rating: 0   New post Posted: Wed 21 Nov, 2012, 08:16 

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please advice how to:

given an amount and a target profit (USD) : open an order with a dynamic take profit level so that if the take profit is reached it will cover the losses of all currently opened (filled) orders.


 
 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Wed 21 Nov, 2012, 08:34 
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cb888trader wrote:
dynamic take profit level
https://www.dukascopy.com/wiki/#Set_Stop_Loss_price/Keep_track_on_Stop_Loss_changes
cb888trader wrote:
losses of all currently opened (filled) orders
https://www.dukascopy.com/wiki/#Order_Management/Position_aggregated_profit/loss


 
 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Wed 21 Nov, 2012, 08:57 

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I'm sorry - I reviewed the links and it does not help.

please advice a code example of:

how to calculate a take profit level of a new order such that if price hits the take profit level - the profit will overcome all loosing open orders.


 
 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Wed 21 Nov, 2012, 12:36 

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support - please help me with this. I cannot proceed without a code example.


 
 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Wed 21 Nov, 2012, 13:43 
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Please specify which part of the algorithm you can't figure out how to implement.


 
 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Wed 21 Nov, 2012, 15:38 

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Iterate over open orders and calculate:
TotalGrossProfit
TotalCommissions

TotalNet = TotalGrossProfit - TotalCommissions

Up to now I'm OK.

FutureCommission = Calculate the expected commission for the new order - How to Calculate??

FutureProfit = TotalNet + FutureCommission

TargetPrice = calculate based on the required FutureProfit How to Calculate??

For example: Total Net Profit of open orders is -$20

Lot Size = 0.1

FutureCommision = ??
TargetPrice = ??

Open new order with take profit set to TargetPrice

If Take Profit is reached - Total Profit = 0 (break even)

Please Help.


 
 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Thu 22 Nov, 2012, 11:29 

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support - please respond.


 
 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Thu 22 Nov, 2012, 16:39 
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cb888trader wrote:
FutureCommission = Calculate the expected commission for the new order - How to Calculate??
Commisions get applied to positions both on fill and close and can be retrieved by IOrder.getCommission, see:
https://www.dukascopy.com/swiss/english/about/fee-schedule/#tradingCommissions
Hence, in that regard there is no "future commission". However, all open positions are subject to overnight swaps, rates of which can be found here:
https://www.dukascopy.com/swiss/english/forex/forex_trading_accounts/overnight/#
Overnights don't count towards the commission, rather the overnight swap amount gets distracted from/added to the position by adjusting its open price.
cb888trader wrote:
Lot Size = 0.1

FutureCommision = ??
TargetPrice = ??

Open new order with take profit set to TargetPrice
As mentioned above, there is no "future commission", then consider an approach similar to this:
package jforex.orders;

import java.math.BigDecimal;
import com.dukascopy.api.*;
import static com.dukascopy.api.Instrument.*;

public class OrderCommissionsCompensate implements IStrategy {
   
    @Configurable("Order amount")
    public double amount = 0.1;
   
    private static final int MILLION = 1000000;
   
    private IEngine engine;
    private IConsole console;
    private IHistory history;
   
    @Override
    public void onStart(IContext context) throws JFException {
        engine = context.getEngine();
        console = context.getConsole();
        history = context.getHistory();
       
        double totalCommission = 0;
        for(IOrder order : engine.getOrders()){
            totalCommission += order.getCommissionInUSD();
        }       
        double openPrice = history.getLastTick(EURUSD).getBid();
        double tpPrice = openPrice + totalCommission /(amount * MILLION);
        print("Total commission = %.2fUSD,  tpPrice=%.5f, tp in pips=%.1f",
                totalCommission, tpPrice, ( tpPrice - openPrice) / EURUSD.getPipValue());
        engine.submitOrder("compensateOrder", EURUSD, IEngine.OrderCommand.BUY, amount, openPrice, 10, 0, roundToPippette(tpPrice, EURUSD));
    }
   
    private void print(Object o){
        console.getOut().println(o);
    }
   
    private void print(String message, Object... args){
        print(String.format(message,args));
    }
   
    private static double roundToPippette(double amount, Instrument instrument) {
        return round(amount, instrument.getPipScale() + 1);
    }
   
    private static double round(double amount, int decimalPlaces) {
        return (new BigDecimal(amount)).setScale(decimalPlaces, BigDecimal.ROUND_HALF_UP).doubleValue();
    }

    @Override
    public void onTick(Instrument instrument, ITick tick) throws JFException {}

    @Override
    public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException {}

    @Override
    public void onMessage(IMessage message) throws JFException {}

    @Override
    public void onAccount(IAccount account) throws JFException {}

    @Override
    public void onStop() throws JFException {}

}
Note that if the position will not get closed by merge then you need to double its amount i.e.:
            totalCommission += order.getCommissionInUSD();


Attachments:
OrderCommissionsCompensate.java [2.15 KiB]
Downloaded 451 times
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 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Thu 22 Nov, 2012, 17:43 

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can you please explain the following calculation:

totalCommission /(amount * MILLION)


MILLION = 1000000 is true if working in other currencies as well??


 
 Post subject: Re: calculating take profit Post rating: 0   New post Posted: Thu 22 Nov, 2012, 17:56 
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cb888trader wrote:
can you please explain the following calculation:

totalCommission /(amount * MILLION)


MILLION = 1000000 is true if working in other currencies as well??
See:
https://www.dukascopy.com/wiki/#Order_Amounts


 
 Post subject: calculating rate of return Post rating: 0   New post Posted: Wed 05 Dec, 2012, 06:36 

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I need help on how to calculate the rate of return per order -

Net Profit / Initial Investment

So -

Net Profit = getProfitLossInUSD - getCommissionInUSD (right?)

But how do I calculate Initial Investment (how much money did I payed in order to buy / sell ) ?

Please advice.


 
 Post subject: Re: calculating rate of return Post rating: 0   New post Posted: Wed 05 Dec, 2012, 08:21 
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See the second to last post in the following topic:
viewtopic.php?f=65&t=48455


 
 Post subject: Re: calculating rate of return Post rating: 0   New post Posted: Wed 05 Dec, 2012, 09:12 

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I don't understand -

Are you saying that:

Initial Investment = amount * MILLION ?

But what about the price at which the order was filled - how is that taken into the equation?

Can you please provide the formula for Initial Investment and not ask me to guess?


 
 Post subject: Re: calculating rate of return Post rating: 0   New post Posted: Wed 05 Dec, 2012, 09:39 
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cb888trader wrote:
I don't understand -

Are you saying that:

Initial Investment = amount * MILLION ?
Which place in our example made you infer that?
cb888trader wrote:
But what about the price at which the order was filled - how is that taken into the equation?

Can you please provide the formula for Initial Investment and not ask me to guess?
You don't need to guess, it is rather straightforward:
IOrder.getOpenPrice * IOrder.getAmount


 
 Post subject: Re: calculating rate of return Post rating: 0   New post Posted: Wed 05 Dec, 2012, 10:57 

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API Support wrote:


Can you please provide a more complete calculation? I don't see the MILLION param. Also - please add support for multiple currencies.


 

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