In algo trading, giving cBots and indicators the ability to autonomously convert currencies using current market rates is essential. In this API guide, we cover how this feature is implemented in cTrader.
Currency Conversion in One Minute!
Convert (double value, Asset from, Asset toand
Convert(double value, string from, string to))methods return the exact conversion rate between the specified assets or the assets with the specified names. Access them via the new
AssetConverterproperty of the
Assetclass includes its own
Convert(Asset to, double value)and
Convert(string to, double value)methods that can be easily invoked from any
- When backtesting, cTrader will automatically use historical conversion rates! This means that you can always expect historically accurate results and fully evaluate the performance of your cBots.
How Currency Conversion Works¶
IAssetConverter interface in the
cAlgo.API.Internals namespace contains the
Convert() method that has the following overloads.
double Convert(double value, Asset from, Asset to). Converts the specified value from the
fromasset to the
double Convert(double value, string from, string to). Converts the specified value from the asset the name of which matches the
fromstring to the asset the name of which matches the
Algo class now includes the
AssetConverter property of the
IAssetConverter type. As a result, you can access the two methods above simply by typing the following.
Asset class also has its own
Convert() methods with the following overloads.
double Convert(Asset to, double value). Converts the specified value from the asset from which this method is called to the
double Convert(string to, double value). Converts the specified value from the asset from which this method is called to the asset the name of which matches the
Consider the below example in which our cBot converts GBP into JPY and then executes a new market order using the calculated value as the order volume.
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If we take a look at the log, we can see that our cBot behaves as expected. At the time when the instance was started, the bid price for GBPJPY equaled 159.619.
Currency Conversion in Backtesting¶
cTrader fully supports historical conversion rates in backtesting.
This means that, when you backtest a cBot that uses any of the methods described above, conversion calculations will be performed using historically accurate data rather than the current exchange rates between the specified assets. This feature ensures that the results of backtesting and optimisation are as precise as possible given past market conditions.
Note that cTrader can build accurate conversion chains involving a possibly infinite number of trading instruments. As a result, even if your account deposit currency differs from the base and/or quote assets of the symbol on which you would like to perform a backtest, cTrader will handle all the necessary calculations to provide you with precise backtesting results.
In summary, conversion rates constitute another valuable tool for making sure that your cBots/indicators perform exactly as expected. As cTrader supports the use of historical data when converting assets in backtesting, you can be sure that all backtesting/optimisation results are historically accurate.