Multi-currency portfolio with Futures markets



  • My portfolio (a single strategy with multiple data series) contains global markets with multiple different quote currencies (JPY, EUR, USD, CAD, etc). Is hacking/extending Broker's _execute(...) and _get_value(...) methods the proper way to apply FX conversions?

    If you have a plan to implement this or a working example, could you share with us? Thanks!


  • administrators

    The broker is, so to say, a single currency broker. A possible approach:

    • Subclass a CommissionInfo. Each instance which operates in a different currency gets assigned a different instance via:

      def addcommissioninfo(self, comminfo, name=None):
      

      which is in the broker

    When the CommissionInfo gets a request like getvalue(position, price), you may want to return a value in the main currency after adjusting internally for the foreign exchange rate of the currency the asset operates in.

    You probably need to override all methods (i.e.: go directly to the source and look at each method)

    The entry point in the documentation: Docs - Commissions: Stocks vs Futures (there are some other chapters following this one)


Log in to reply
 

Looks like your connection to Backtrader Community was lost, please wait while we try to reconnect.