Getting Asset Parameters, when API doesn't provide

Posted By: DdlV

Getting Asset Parameters, when API doesn't provide - 08/31/21 12:41

Some Brokers do not provide all Asset Parameters via API, such as Oanda & swap (Rolls). The manual says to find these figures on the website, but that's not always easy/possible, and websites have this annoying habit of getting out of date.

Another approach could be to sample the Assets (e.g. for Oanda via script in another thread) and see what values result, possibly doing this a number of times and averaging?

If this latter approach is used, what would be a good sampling frequency over what time period? Hourly for a week? A month?

And how often should it be redone to reverify the averages are still good?

Thanks.
Posted By: AndrewAMD

Re: Getting Asset Parameters, when API doesn't provide - 08/31/21 13:12

Depends on the asset and your account currency. And not all broker plugins will output a correct set of default parameters.

For example, if you have a USD account that only trades USD stocks, you'll never need to update anything.

Other than that, I would never adjust asset parameters more than once per year for futures/CFDs/forex/crypto.
Posted By: DdlV

Re: Getting Asset Parameters, when API doesn't provide - 09/01/21 18:11

Thanks AndrewAMD. Don't follow all your reasoning, though. The context is exactly broker plugin/API problems. If I have to set some parameters manually, wouldn't I want to be as accurate as possible? And therefore update whenever more accurate values are available?

To be sure we're on the same page, this is asset parameters such as Rolls, not strategy optimization, etc. values.

Thanks.
Posted By: AndrewAMD

Re: Getting Asset Parameters, when API doesn't provide - 09/01/21 18:23

No, you want to set conservative values so that you are not over-confident while engineering your strategies.

And more importantly, APIs usually have access to less information than you'd expect. Rollover info is fairly uncommon. Read this:
https://financial-hacker.com/dear-brokers/
Posted By: DdlV

Re: Getting Asset Parameters, when API doesn't provide - 09/03/21 12:16

No worries there - I'm severely under-confident... laugh

Yes, I read that years ago... But one can always hope...

But is "confident" really what's happening here (as in confidence interval around result)? It seems to me conservative values don't necessarily change "confident" so much as "bias"ing the results negative so live trading has a better chance of not losing $$$...

Thanks.
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