Oanda Roll (swap) Actually Available?

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Oanda Roll (swap) Actually Available? #483202 05/10/21 16:26 05/10/21 16:26
Joined: Jun 2013 Posts: 1,609 D DdlV OP Serious User
DdlV OP Serious User D Joined: Jun 2013 Posts: 1,609	The Manual states that swap is not available via the Oanda V20 API. However, the Python script which has been posted in the Forum and uses the V20 API returns RollLong and RollShort values, and these values change when the script is run at different times. Is the Manual incorrect?

Re: Oanda Roll (swap) Actually Available? [Re: DdlV] #483262 05/13/21 11:18 05/13/21 11:18
Joined: Jun 2013 Posts: 1,609 D DdlV OP Serious User
DdlV OP Serious User D Joined: Jun 2013 Posts: 1,609	@jcl, would appreciate your thoughts. There seem to be 3 possibilities: - The manual is incorrect and the API V20 does have swap values. - The manual is correct and the Python script is incorrect - what it's returning for swap is invalid. - The Python script is correct and the manual is sort of correct - something like swap is in the API V20 but the plugin isn't coded to capture it? Thanks.

Re: Oanda Roll (swap) Actually Available? [Re: DdlV] #483267 05/13/21 16:09 05/13/21 16:09
Joined: Sep 2019 Posts: 63 Naperville K kzhao Junior Member
kzhao Junior Member K Joined: Sep 2019 Posts: 63 Naperville	Which Python script are you referring to? It would be great to the swap values.

Re: Oanda Roll (swap) Actually Available? [Re: DdlV] #483268 05/13/21 17:56 05/13/21 17:56
Joined: Jun 2013 Posts: 1,609 D DdlV OP Serious User
DdlV OP Serious User D Joined: Jun 2013 Posts: 1,609	@kzhao: https://opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=480394

Re: Oanda Roll (swap) Actually Available? [Re: DdlV] #483270 05/13/21 23:19 05/13/21 23:19
Joined: Sep 2019 Posts: 63 Naperville K kzhao Junior Member
kzhao Junior Member K Joined: Sep 2019 Posts: 63 Naperville	@DdIV Thanks.

Re: Oanda Roll (swap) Actually Available? [Re: DdlV] #483273 05/14/21 15:16 05/14/21 15:16
Joined: Feb 2017 Posts: 1,725 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,725 Chicago	If the API provides it, the documentation does not say how. If I had to guess, it's probably secretly output via the /v3/accounts/{accountID}/instruments endpoint, probably supplying the InstrumentFianancing primitive for each instrument. www.vitaltrades.com - andrew@vitaltrades.com

Re: Oanda Roll (swap) Actually Available? [Re: DdlV] #483300
05/17/21 12:13 05/17/21 12:13

Joined: Jun 2013
Posts: 1,609

DdlV

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Serious User

DdlV

OP
Serious User

Joined: Jun 2013
Posts: 1,609

Thanks @AndrewAMD. This bit of the Python code would seem to support your guess:

Code

# Calculate RollLong and RollShort in account currency, for the quantities used by Zorro
financing_pos_size = defaultdict(lambda: 1, {'CURRENCY': 10000})    # Everything but CURRENCY defaults to 1
data['RollLong'] = data['financing.longRate']/365 * \
                   data['Price'] * \
                   data['type'].map(financing_pos_size) * \
                  (data['currency']+'/'+ACCOUNT_CURRENCY).map(conversion_rate)
data['RollShort'] = data['financing.shortRate']/365 * \
                    data['Price'] * \
                    data['type'].map(financing_pos_size) * \
                   (data['currency']+'/'+ACCOUNT_CURRENCY).map(conversion_rate)

Would still appreciate @jcl's thoughts. Of course "we don't code to undocumented things" is an appropriate response, but perhaps the plug-in could handle these via a "use at your own risk" option?

Thanks.

Re: Oanda Roll (swap) Actually Available? [Re: DdlV] #483313 05/18/21 14:45 05/18/21 14:45
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	I would like to answer "we don't code undocumented things", but in fact we do that. We'll check if we can implement the rollover on the next Oanda plugin revision.

Re: Oanda Roll (swap) Actually Available? [Re: DdlV] #483317 05/19/21 00:20 05/19/21 00:20
Joined: Jun 2013 Posts: 1,609 D DdlV OP Serious User
DdlV OP Serious User D Joined: Jun 2013 Posts: 1,609	Thanks @jcl!

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