How to Calculate Swap?

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Dwaine Hinds
280
Dwaine Hinds  

Hi. This post is a continuation, of sorts, to the thread started here: https://www.mql5.com/en/forum/218952 . It was titled "Swap Calculation
issues..." by BoredMember but the thread was hijacked by the "rules", so many of us never got to see a solution. I am approaching the issue in a 
different way, so I have made some alterations to the original code and left the original comments intact. In short, this is my attempt to 
present a solution. I have used some exaggerated values in the example below to illustrate the steps taken to arrive at the result. If I were to 
use actual values then each user will most likely get a different result value.

 For clarity, I think it is best to set this solution in an example which would be similar to the likely usage situation. Now, the general 
 formula to calculate swap is:
 Swap = PipValue * Lots * Swaprate * NumberOfNights.

Example 1 - We have a position open with the following details:  
Lots=1(100000 EUR). 
Quotation= EURUSD 2(Bid)/4(Ask).
Order Type= OP_SELL
Duration= 1 rollover night.

I need to know what is the entire swap at rollover for this position, so I constructed the following tools to assist me:

updated on 4.4.19

//+------------------------------------------------------------------+
//| GetPipValue                                     
//+------------------------------------------------------------------+
/*
 Get a symbol's pip value in terms of Account currency.
*/
double GetPipValue(string SymbolPair, double Position_Lots, double AccountCurrency_Exchange_Rate)
{
 double pvalue = 0;
 double pip = 0.0001;
 double askp = MarketInfo(SymbolPair,MODE_ASK);
 string BaseCurrency = SymbolInfoString(SymbolPair,SYMBOL_CURRENCY_BASE);
 double contractsize = SymbolInfoDouble(SymbolPair,SYMBOL_TRADE_CONTRACT_SIZE);
    if(askp > 0)
    {
     pvalue = (pip/askp) * Position_Lots * contractsize;//this is in Base Currency
     pvalue = pvalue / AccountCurrency_Exchange_Rate;
    }
    else
    {
     Print("Failed to get ASK price for the symbol "+SymbolPair+" for GetPipValue. Please ensure the symbol is listed in MarkeWatch and that you are connected to the trade server.");
    }
 return pvalue;   
}
//+------------------------------------------------------------------+
//| end of GetPipValue                                     
//+------------------------------------------------------------------+



//+------------------------------------------------------------------+
//| GetSwapRateInAccountCurrency                                     
//+------------------------------------------------------------------+
/*
 Get a symbols swap rate in account currency.
*/
double GetSwapRateInAccountCurrency(string aSymbol,int aOrderType, double ExchangeRate)
{
   // now check swap type
   int swapType=MarketInfo(aSymbol, MODE_SWAPTYPE);
   double swapRate=0;

    // get out the tick value to calculate swap points
   double tickValue=MarketInfo (aSymbol, MODE_TICKVALUE);  // tick value in deposit currency (typically USD)
   string accntcurrency_str = AccountInfoString(ACCOUNT_CURRENCY);

   //Swap calculation method. 0 - in points; 1 - in the symbol base currency; 2 - by interest; 3 - in the margin currency
   double AccntCurrency=0;
       if (aOrderType==OP_SELL)  
       {
        swapRate=SymbolInfoDouble(aSymbol,SYMBOL_SWAP_SHORT);
       }   
       else if(aOrderType==OP_BUY)
       {  
        swapRate=SymbolInfoDouble(aSymbol,SYMBOL_SWAP_LONG);  
       }    
       if (swapType==0)  
       {
        AccntCurrency = swapRate/ExchangeRate;    
       }   
       else if (swapType==1)  
       {   
        // need to convert to account currency   
        // get currency of symbol  
        string base_currency_Str=SymbolInfoString(aSymbol,SYMBOL_CURRENCY_BASE);  
        AccntCurrency = swapRate/ExchangeRate;   
       }   
       else if (swapType==2)   
       {  
        // interest rate or percentage version, e.g. bitcoin. Use %tage of price but returned down to a day. Probably wrong...
        AccntCurrency=((swapRate/100)*MarketInfo(aSymbol, MODE_BID))/365;   
       }  
       else if (swapType==3)   
       {
        // this is easiest. Amount is in margin currency which = account currency
        AccntCurrency=swapRate;
       }

 return(AccntCurrency);
}
//+------------------------------------------------------------------+
//| end of GetSwapRateInAccountCurrency                                     
//+------------------------------------------------------------------+

Inorder to calculate swap we need to get the value for the following variables to plug into the formula above:

PipValue = ? 

Lots = ?  

Swaprate = ? 

NumberOfNights = ? 


Let's do this in mql4:

double PipValue = GetPipValue("EURUSD", 1, 1); 
double Lots = 1;
double Swaprate = GetSwapRateInAccountCurrency("EURUSD",OP_SELL,1);
int NumberOfNights = 1;


The above evaluates to(The values below are not real):

PipValue = 3;
Lots = 1;
Swaprate = 8;
NumberOfNights = 1;

Thus, Swap = 3 * 1 * 8 * 1 = 24$USD.

Maybe someone could correct/change/confirm.

Swap Calculation issues
Swap Calculation issues
  • 2017.11.06
  • www.mql5.com
Hi, I know this has come up many times before but I still cannot work out a generic way to calculate the account currency swap (typically USD) for...
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