Brokers overnight interest rate

• 12/29/2016 at 7:31 PM #19374
  Elsborgtrading

  Hi. Is there anyway to code or take in consideration the Brokers overnight interest rate in ProOrder?

  I can see there is an estimated brokers fee, but that does not add overnight interests, only add a one time fee. Since IG actually charge what more or less would be 0.8 euro a night/position on DAX 1e mini, it kind of adds up. for example if you have 2 position open a week you will be charged around 11 euros of interests+ spread. that’s quite a lot,so it would be nice to have the possibility to code this with your strategy.

  Cheers Kasper

  

  Elsborgtrading

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  12/29/2016 at 8:50 PM #19388
  Eric

  and forex has this rule

  “three day funding is charged on a wednesday”

  

  Eric

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  12/30/2016 at 8:55 AM #19399
  Elsborgtrading

  So if you have overnight forex positions on a wednesday they charge you for 3 days?

  

  Elsborgtrading

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  12/30/2016 at 10:42 AM #19402
  Nicolas

  There is a possibility to compute the interest rate. But you will not be able to have all the benefit of the Probacktest window result. You could make a new variable, graphed on chart with STRATEGYPROFIT minus the interest rate previously calculated. This is the first idea that come to mind 🙂

   

   

  

  Nicolas

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  12/30/2016 at 11:51 AM #19412
  Elsborgtrading

  Hi Nicolas, and thanks for the idea, I will try and come up with something 🙂

  

  Elsborgtrading

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  12/30/2016 at 12:29 PM #19420
  Elsborgtrading

  could this be true?

  on a 4H chart- given is 0.8 euro interest per Position per night on DAX 1euro mini.

  it just took out 21% of pathfinder profit 🙁

  FourHoursChart=5 once countofdays=0 if not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 else countofdays=countofdays endif graph strategyprofit-(countofdays*0.8*countofposition) COLOURED(0,0,255) AS "IGprofit" graph countofdays COLOURED(0,0,0) AS "countofdays"

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  FourHoursChart=5 once countofdays=0 if  not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 else countofdays=countofdays endif   graph strategyprofit-(countofdays*0.8*countofposition) COLOURED(0,0,255) AS "IGprofit" graph countofdays COLOURED(0,0,0) AS "countofdays"

   

  

  Elsborgtrading

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  01/01/2017 at 7:32 PM #19582
  Elsborgtrading

  There is a problem with this code. I will return when I solved the issue

  

  Elsborgtrading

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  01/01/2017 at 7:51 PM #19583
  Elsborgtrading

  I  think this is more correct. also it did not take 21% profit as first assumed. I can see around 6% of Pathfinder V6.0 DAX 4H. I Have added a screendump for verification.

  Please comment on this.

  ONCE BrokerProfit=0 FourHoursChart=5 once countofdays=0 if not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 BrokerProfit=BrokerProfit+countofdays*0.8*countofposition else countofdays=countofdays BrokerProfit=BrokerProfit endif trueEquity=Equity-BrokerProfit graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" graph trueEquity COLOURED(0,0,255) AS "trueEquity" graph countofdays COLOURED(0,0,0) AS "countofdays"

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  ONCE BrokerProfit=0 FourHoursChart=5 once countofdays=0 if  not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 BrokerProfit=BrokerProfit+countofdays*0.8*countofposition else countofdays=countofdays BrokerProfit=BrokerProfit endif trueEquity=Equity-BrokerProfit graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" graph trueEquity COLOURED(0,0,255) AS "trueEquity" graph countofdays COLOURED(0,0,0) AS "countofdays"

   

  

  Elsborgtrading

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  01/01/2017 at 9:29 PM #19594
  Nicolas

  Sorry if I missed something but you never defined what is the ‘Equity’ variable?

  6% fees of +500% of profit  is nothing 🙂

  

  Nicolas

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  01/01/2017 at 10:15 PM #19595
  Elsborgtrading

  Ahh of cause. And yes. 6% is nothing I agree on that:-)

  I forgot the rest of the code. here it is

  Capital = 10000 equity = Capital + StrategyProfit ONCE BrokerProfit=0 FourHoursChart=5 once countofdays=0 if not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 BrokerProfit=BrokerProfit+countofdays*0.8*countofposition else countofdays=countofdays BrokerProfit=BrokerProfit endif trueEquity=Equity-BrokerProfit graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" graph trueEquity COLOURED(0,0,255) AS "trueEquity" graph countofdays COLOURED(0,0,0) AS "countofdays"

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  Capital = 10000 equity = Capital + StrategyProfit ONCE BrokerProfit=0 FourHoursChart=5 once countofdays=0 if  not onmarket then countofdays=0 elsif onmarket and Intradaybarindex =FourHoursChart then countofdays=countofdays+1 BrokerProfit=BrokerProfit+countofdays*0.8*countofposition else countofdays=countofdays BrokerProfit=BrokerProfit endif trueEquity=Equity-BrokerProfit graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" graph trueEquity COLOURED(0,0,255) AS "trueEquity" graph countofdays COLOURED(0,0,0) AS "countofdays"

   

  

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  01/02/2017 at 10:01 AM #19600
  Nicolas

  Thanks Kasper for this code snippet, fees are a major thing we too much often ignore and that can broke up a nice equity curve.

  I’ll put this code into the blog for future references.

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  ALE

  

  Nicolas

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  01/04/2017 at 8:32 AM #19773
  Elsborgtrading

  Hi Nicolas, yes that is a great idea to put it in the Blog section. I would have taken the task off your busy hands but I couldn’t create a blog. Perhaps it meant to be like this?

  Cheers Kasper

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  ALE

  

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  01/04/2017 at 4:09 PM #19833
  Nicolas

  Congratulations about your first blog post: https://www.prorealcode.com/blog/learning/overnight-fees-calculation-proorder-strategies/

  Any other ideas are welcome, everyone can be published in the blog section of the website 🙂

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  Elsborgtrading

  

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  01/19/2017 at 11:31 AM #21665
  Eric

  https://community.ig.com/t5/Suggestions/Getting-stopped-by-the-spread/m-p/11252

  

  Eric

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  06/10/2024 at 1:30 PM #233679
  SweTrade

  I just did a little update to this code to make it work with all timeframes. I also added the 3x overnight fees on the weekend, that the previous code didnt have. Let me know if you see any issues with it, but it seem to work correct for me. I’m a noob at coding so there might be some issues! You need to update the time where overnight fee take action in your timezone. You also need to adjust posSize to your sizing.

  brokers-overnight-interest-rate

  // --- Parameters --- Capital = 10000 // Initial capital of the account overnightfee = 3.5 // Broker overnight fee per conract per day in money. 3.5 EURO 20240610 in Sweden with IG. posSize = 1 OnlyCountWeekends = 0 // 0 = Count all overNightFees, 1 = Only Count Weekend OvernightFees // --- Define Trading Day End --- endOfDayTime = 230000 // --- Equity and Broker Profit Calculation --- equity = Capital + StrategyProfit ONCE BrokerProfit = 0 ONCE totalOvernights = 0 ONCE countOfDays = 0 if not onmarket then countOfDays = 0 elsif onmarket and time >= endOfDayTime then // Increment countOfDays only if this is the first time during the day if OnlyCountWeekends = 0 and time = endOfDayTime and currentDayOfWeek <> 5 then countOfDays = countOfDays + 1 totalOvernights = totalOvernights + 1 elsif time = endOfDayTime and currentDayOfWeek = 5 then countOfDays = countOfDays + 3 totalOvernights = totalOvernights + 3 endif endif BrokerProfit = totalOvernights * overnightfee * posSize trueEquity = Capital + StrategyProfit - BrokerProfit // --- Graph Plotting --- graph BrokerProfit coloured(255,0,0) as "Broker Profit" graph trueEquity coloured(0,0,255) as "True Equity" graph totalOvernights coloured(0,0,0) as "Total Overnights"

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  // --- Parameters --- Capital = 10000 // Initial capital of the account overnightfee = 3.5 // Broker overnight fee per conract per day in money. 3.5 EURO 20240610 in Sweden with IG. posSize = 1 OnlyCountWeekends = 0 // 0 = Count all overNightFees, 1 = Only Count Weekend OvernightFees   // --- Define Trading Day End ---   endOfDayTime = 230000     // --- Equity and Broker Profit Calculation --- equity = Capital + StrategyProfit ONCE BrokerProfit = 0 ONCE totalOvernights = 0 ONCE countOfDays = 0       if not onmarket then countOfDays = 0 elsif onmarket and time >= endOfDayTime then // Increment countOfDays only if this is the first time during the day if OnlyCountWeekends = 0 and time = endOfDayTime and currentDayOfWeek <> 5 then countOfDays = countOfDays + 1 totalOvernights = totalOvernights + 1 elsif time = endOfDayTime and currentDayOfWeek = 5 then countOfDays = countOfDays + 3 totalOvernights = totalOvernights + 3 endif endif   BrokerProfit = totalOvernights * overnightfee * posSize   trueEquity = Capital + StrategyProfit - BrokerProfit   // --- Graph Plotting --- graph BrokerProfit coloured(255,0,0) as "Broker Profit" graph trueEquity coloured(0,0,255) as "True Equity" graph totalOvernights coloured(0,0,0) as "Total Overnights"

  How do I use this code snippet? I compare the trueEquity number, with the strategy profit if I add an exit at 224500, to avoid overnight fees (either all overnight fees or only close positions before the weekend). For example:

  time exit

  //Time Exit //If currentDayOfWeek = 5 and time=224500 then //or use next row If time=224500 then sell at market exitshort at market endif

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  //Time Exit   //If currentDayOfWeek = 5 and time=224500 then //or use next row If time=224500 then sell at market exitshort at market endif

  Maybe this helps someone! Please let me know if you find any issues or have any improvements to the code.

   

  

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