AlgoTraderAlgoTrader Documentation

Chapter 16. Forex Handling

16.1. Currency Handling
16.1.1. Futures
16.1.2. Forex
16.1.3. Currency Attribution
16.2. Forex-Hedging
16.2.1. Virtual FX Positions (IB only)
16.2.2. FX Future

The System provides full Forex and Currency Exchange Management. FX Rates can be retrieved in real-time. All portfolio figures are calculated based on up-to-date FX-Rates.

In most cases securities are attributed in their currency (as defined by SecurityFamily). Their market value is attributed towards Securities (e.g. MarketValue).

There are however the following exceptions.

The system provides automatic Forex-Hedging by the Service ch.algotrader.service.ForexService. This service will maintain multiple virtual FX Positions to hedge all non base currency balances. For actual Forex-Hedging the following two options exist