Lot Sizing

George Johnson
63

Hi 


I would like to create a function that computes the correct lot size for all forex pairs and commodities. is this possible ? 


where should I start ?

I have a fixed stop loss and risk percentage


Thanks 

William Roeder
26403
William Roeder  

Risk depends on your initial stop loss, lot size, and the value of the symbol. It does not depend on margin and leverage. No SL means you have infinite risk. Never risk more than a small percentage of your trading funds, certainly less than 2% per trade, 6% total.

  1. You place the stop where it needs to be — where the reason for the trade is no longer valid. E.g. trading a support bounce the stop goes below the support.

  2. AccountBalance * percent/100 = RISK = OrderLots * (|OrderOpenPrice - OrderStopLoss| * DeltaPerLot + CommissionPerLot) (Note OOP-OSL includes the spread, and DeltaPerLot is usually around $10/PIP but it takes account of the exchange rates of the pair vs. your account currency.)

  3. Do NOT use TickValue by itself - DeltaPerLot and verify that MODE_TICKVALUE is returning a value in your deposit currency, as promised by the documentation, or whether it is returning a value in the instrument's base currency.
              MODE_TICKVALUE is not reliable on non-fx instruments with many brokers - MQL4 programming forum (2017)
              Is there an universal solution for Tick value? - Currency Pairs - General - MQL5 programming forum (2018)
              Lot value calculation off by a factor of 100 - MQL5 programming forum (2019)

  4. You must normalize lots properly and check against min and max.

  5. You must also check FreeMargin to avoid stop out

  6. For MT5, see 'Money Fixed Risk' - MQL5 Code Base (2017)

Most pairs are worth about $10 per PIP. A $5 risk with a (very small) 5 PIP SL is $5/$10/5 or 0.1 Lots maximum.

George Johnson
63
George Johnson  
William Roeder #:

Risk depends on your initial stop loss, lot size, and the value of the symbol. It does not depend on margin and leverage. No SL means you have infinite risk. Never risk more than a small percentage of your trading funds, certainly less than 2% per trade, 6% total.

  1. You place the stop where it needs to be — where the reason for the trade is no longer valid. E.g. trading a support bounce the stop goes below the support.

  2. AccountBalance * percent/100 = RISK = OrderLots * (|OrderOpenPrice - OrderStopLoss| * DeltaPerLot + CommissionPerLot) (Note OOP-OSL includes the spread, and DeltaPerLot is usually around $10/PIP but it takes account of the exchange rates of the pair vs. your account currency.)

  3. Do NOT use TickValue by itself - DeltaPerLot and verify that MODE_TICKVALUE is returning a value in your deposit currency, as promised by the documentation, or whether it is returning a value in the instrument's base currency.
              MODE_TICKVALUE is not reliable on non-fx instruments with many brokers - MQL4 programming forum (2017)
              Is there an universal solution for Tick value? - Currency Pairs - General - MQL5 programming forum (2018)
              Lot value calculation off by a factor of 100 - MQL5 programming forum (2019)

  4. You must normalize lots properly and check against min and max.

  5. You must also check FreeMargin to avoid stop out

  6. For MT5, see 'Money Fixed Risk' - MQL5 Code Base (2017)

Most pairs are worth about $10 per PIP. A $5 risk with a (very small) 5 PIP SL is $5/$10/5 or 0.1 Lots maximum.

input int               InpATRperiod=14;         // ATR Periods
input float             InpRisk=1;               // Risk Size %
input float             InpSLfactor=1.5;         // Stop Loss as a factor of ATR
input float             InpTPfactor=1.0;         // Take Profit as a factor of ATR
input float             InpFixedATR=0;           // Fixed ATR points

string AccntC=AccountCurrency();                   //Currency of Acount eg USD,GBP,EUR
string CounterC=StringSubstr(Symbol(),3,3);        //The Count Currency eg GBPUSD is USD
string ExC=AccntC+CounterC;      

double PositionSize()
  {
//---
   double ExCRate=1;                                              //Assume Account is same as counter so ExCRate=1
   AccntC=AccountCurrency();                                      //Currency of Acount eg USD,GBP,EUR
   CounterC=StringSubstr(Symbol(),3,3);                           //The Count Currency eg GBPUSD is USD
   ExC=AccntC+CounterC;                                           //Create the Pair for account eg USDGBP
   if(AccntC!=CounterC)
      ExCRate= MarketInfo(ExC,MODE_ASK);                          //Get the correct FX rate for the Account to Counter conversion
   if(ExCRate ==0) ExCRate=1.0;
   double ATRPoints=iATR(NULL,0,InpATRperiod,0);                  //Get the ATR in points to calc SL and TP
   if(InpFixedATR!=0)
      ATRPoints=InpFixedATR;                                      
   double riskVAccntC=AccountEquity()*(InpRisk/100);
   double riskvalue=(ExCRate/1)*riskVAccntC;                     //Risk in Account Currency
   double slpoints=(ATRPoints*InpSLfactor);                      //Risk in Counter Currency
   double riskperpoint=(riskvalue/slpoints)*Point;
   double lotSize=riskperpoint;                                  //Risk in currency per point
   int pipMult=10000;
   if(CounterC=="JPY") {
      lotSize=riskperpoint/100;
      pipMult=100;
    }
    
   return lotSize ;}

this is the current code I'm using but the contracts come out too small