I just downloaded StrategyQuant and am giving it a trial run. It seems like a very useful software, but the biggest problem I am running into is to synergize all the different software and data sets that I am using.
Here are the services that I am using –
Broker – Interactive Brokers (US), and I am based on the East Coast, near NYC.
Charting Software – Ninjatrader
Backtesting data for StrategyQuant – Dukascopy via its TickDataDownloader.
I am going to worry about Ninja synergies later, but need to make absolutely sure that all my inputs are consistent with IB. I think I may have some of the answers from below, but I need to be absolutely 100% sure.
All my initial testing is going to be only on the EUR.USD pair.
For IB, the pip size insofar as I understand is .00005 or is it $2.50 (or some other number?) per this example mentioned in the IB background section? – https://ibkb.interactivebrokers.com/node/231
IB has minimum order sizes of $25,000 for USD and $20,000 EUR. https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2FforexOrderSize.php
I will be using IB’â„¢s minimum order sizes for the EUR.USD pair. This may affect the inputs into StrategyQuant.
So, in the symbol inputs for downloaded Dukascopy data in SQuant for backtesting;
What should my point value in dollars be? – 20,000, $25,000 or $100,000
What should my pip/Tick step be – 0.00005 ? ( or some other number based upon the example given by IB from the link above?)
What should my pip/Tick size be – 0.00005 ?
What should my default spread be ‘â€œ 2.5 or lower ( IB’â„¢s spreads can be extremely low at times)
Are the cost/round turn numbers , included in the net profit and annual percentage return calculations that SQuant gives out?
I have quite a few more questions on other sections of the program, but that will come later.
I think it would be the easiest to copy these values from NinjaTrader settings. Since you’ll be trading forex through NinjaTrader/IB then the settings from NinjaTrader can be used in SQ too.
There is a description of how to recognize tick size,step and point value in Users Guide in section Importing data from NinjaTrader.
Thanks for the reply Mark. The problem is, Ninja has settings of $100,000 for point value and 0.0001 for tick size. These are the default settings. I had used the same numbers when I started using StrategyQuant like the help guide says. But, when I investigated further, I found this from the Interactive Brokers website form the link above –
‘For example, if a trader were to open a position with the following trade: buy 50,000 EUR.USD @ 1.36300, the value of this transaction is 50,000 * 1.36300 = 68,150.00 USD. EUR.USD trades in .00005 increments (this can be seen in the TWS by clicking and holding on the price field in an order line). Given that one pip or tick is .00005, we can assume that the position is closed one pip higher and compute the value of the trade as follows: sell 50,000 EUR.USD @ 1.36305 (trade one pip higher), the value of this transaction is 50,000 * 1.36305 = 68,152.50 USD. The difference between the value of the first and second trade is the value of one pip. Purchase value = 68,150.00 USD; sale value = 68,152.50 USD. The difference (or pip value) = 2.50 USD. To determine the pip value in terms of the trading currency (EUR in this example), use the inverse of the trade price when computing the value (example: 1/1.36305 instead of 1.36305).
So, IB says the tick size is 0.00005 which is different than Ninjatrader. This is where I get confused. If I use Ninja settings there will be two different pip values for me, one for Ninja and one for IB. The strategies may still work since the ‘pip’ here is simply a mathematical variable for SQuant and Ninja, but it just seems so much more logical to make everything consistent with my broker.
So here is what I am trying to achieve – StrategyQuant as my primary strategy builder, Ninjatrader to give me trade alerts using those strategies, and then trade manually on IB. For that I think the best way for me is to use IB settings on StrategyQuant, make sure that these two are consistent and then move on to Ninja and change their settings.
Hopefully you won’t find this confusing.
ok, so this means IB allows you to trade with half-pip precision, but this shouldn’t affect pip size and point value, these are the same.
Only Pip/Tick step will be 0.000005 instead of 0.00001.
But this is not important, your strategy results in backtest should be the same regardless of pip/tick step,maybe with possible difference of half a pip in every trade.