Obtaining Exchange Rate for Strategy PnL

[geofftambler]

I'm having difficulty keeping my strategy PnL in sync with my account PnL when the base currency is anything other than USD. In order to keep my strategy PnL consistent with my account PnL, I have been using this formula (let's assume we're just entering long positions):

((Sell Price*100000)-(Buy Price*100000))*Exchange Rate

So for example, if I'm exchanging EURGBP and I buy at 0.85427 and sell at 0.85481 with an exchange rate of 1.24785 USD per GBP, my profit should be roughly $67.38. To use the formula:

((0.85481*100000)-(0.85427*100000))*1.24785 = 67.3839

This is consistent with the account PnL shown in the Accounts tab.

But my problem is how do I get the exchange rate? I have been searching and haven't been able to find any methods that I can call to obtain the exchange rate for use in that formula. How can I obtain the exchange rate so my strategy can correctly track PnL? If there is no method for obtaining the exchange rate, how are people accurately tracking PnL in their strategies?

[NinjaTrader_ChrisL]

Hello,

Thank you for your post.

A NinjaScript representative will let you know of their findings.

We look forward to assisting further.

[NinjaTrader_ChrisL]

Hello,

Thank you for your patience.

I have found this formula for calculating cross currency profit loss from this publicly available website:

https://www.oanda.com/forex-trading/analysis/profit-calculator/

(Closing Rate - Opening Rate) * (Closing {quote}/{home currency}) * Units

You will need to add the GBPUSD instrument to your script to calculate its exchange rate.

Use

AddDataSeries(...);

More on AddDataSeries here:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?adddataseries.htm

In your OnBarUpdate method, you will use the BarsInProgress property.

More on BarsInProgress here:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?barsinprogress.htm

The BarsInProgress variable will tell you which data series is being worked on in the OnBarUpdate method. Your primary data series will be BarsInProgress == 0, secondary will be BarsInProgress == 1, and so on.

Here is a short example:

...

else if (State == State.Configure)
   {
    AddDataSeries("GBPUSD",BarsPeriodType.Minute, 5); //Tailor time series to your specific needs. 
   }
  }

  protected override void OnBarUpdate()
  {
     
   // Check which Bars object is calling the OnBarUpdate() method 
      if (BarsInProgress == 0) 
      { 
          //Calculate EURGBP data here
      } 
      else if (BarsInProgress == 1) 
      { 
           //Calculate GBPUSD data here
      }
   
  }

Your formula would be something like this in:

protected double storage;

protected double entryPrice; //assumed to have already been instantiated 
protected double exitPrice; //assumed to have already been instantiated 
...

else if (State == State.Configure)
   {
    AddDataSeries("GBPUSD",BarsPeriodType.Minute, 1); //Tailor time series to your specific needs. 
   }
  }

  protected override void OnBarUpdate()
  {
     
      // Check which Bars object is calling the OnBarUpdate() method 
      if (BarsInProgress == 0 && storage != null) 
      { 
          (exitPrice - entryPrice)*(storage)*(100000);  
      } 
      else if (BarsInProgress == 1) 
      { 
         storage = GetCurrentAsk();
      } 
   
  }

Please let me know if I may be of any further assistance.

[mase2005]

I am also trying to fetch current exchange rate into a strategy to determine position size. Is there a "best approach" to this?

[NinjaTrader_ChrisL]

Hi mase2005, thanks for your post.

The exchange rate of a forex instrument would just be the price itself. You can access price data in a strategy or indicator with any of the price series arrays:

https://ninjatrader.com/support/helpGuides/nt8/?priceseries.htm

For a guide on multi time frame scripts please see this page:

https://ninjatrader.com/support/helpGuides/nt8/?multi-time_frame__instruments.htm

Please let me know if you have any further questions.