Friday 24 May 2024

Using Oanda's API to Place Entry Orders

Since my last post about end of initial testing I have been working on Oanda API functions in Octave to programmatically place entry orders and associated take profit and stop orders for a future possible forex news trading system. The reason for this is simple - it would be next to impossible to manually place a series of entry orders in the last few moments before a news release, so this would have to be done automatically. To this end, I have spent the last few weeks writing a few simple entry functions and testing them in my live trading account with the minimum trading size, i.e. buying and selling 1 Euro in the EURUSD forex pair and observing the subsequent lines at the entry/stop/take profit levels that appear on the live web platform.

The basic schema for this is shown in the following code box, where it can be seen that

body = jsonencode( struct( 'order' , struct( 'units' , num2str( 1 ) , ...
                                              'instrument' , 'EUR_USD' , ...
                                              'timeInForce' , 'FOK' , ...
                                              'type' , 'MARKET' , ...
                                              'trailingStopLossOnFill' , struct( 'distance' , num2str( trail_distance ) , ...
                                                                                  'timeInForce' , 'GTC' , ...
                                                                                  'triggerCondition' , 'MID' ) , ...
                                              'positionFill' , 'DEFAULT' ) ) )

account_header = ['curl -X POST -H "Content-Type: application/json" -H "Authorization: Bearer TOKEN"'] ;

submit_order = [ account_header , ' ""' , ' -d ' , "'" , body , "'" ] ;

[ ~ , ret_JSON ] = system( submit_order , RETURN_OUTPUT = 'TRUE' ) ;

a JSON object containing the order details is created, HTML headers with account information are added, and then the order is dispatched via a system call to the cURL library.

A more complete Octave function example is shown next. This is a buy on a stop entry function which also sets a stop loss and take profit target level on being filled, and there is also some basic input checking.

function [ ret_JSON ] = buy_stop_entry_with_stoploss_and_takeprofit( cross , no_of_units , entry_price_level , stop_level , take_profit_level )

## some basic checks
if ( entry_price_level <= stop_level )
   error( 'Stop Level is not below Entry Level.' ) ;

if ( entry_price_level >= take_profit_level )
   error( 'Take Profit Level is not above Entry Level.' ) ;

account_header = ['curl -X POST -H "Content-Type: application/json" -H "Authorization: Bearer TOKEN"'] ;

body = jsonencode( struct( 'order' , struct( 'type' , 'STOP' , ...
                                              'instrument' , toupper( cross ) , ...
                                              'units' , num2str( abs( no_of_units ) ) , ...
                                              'price' , num2str( entry_price_level ) , ...
                                              'stopLossOnFill' , struct( 'price' , num2str( stop_level ) , ...
                                                                         'timeInForce' , 'GTC' ) , ...
                                              'takeProfitOnFill' , struct( 'price' , num2str( take_profit_level ) ) , ...
                                              'timeInForce' , 'GTC' , ...
                                              'triggerCondition' , 'MID' , ...
                                              'positionFill' , 'DEFAULT' ) ) ) ;

submit_order = [ account_header , ' -d ' , "'" , body , "'" , ' ""' ] ;

[ ~ , ret_JSON ] = system( submit_order , RETURN_OUTPUT = 'TRUE' ) ;

ret_JSON = jsondecode( ret_JSON ) ;


I won't spend much time explaining the contents of the JSON body as readers can find more information about this in Oanda's online documentation, however, there is one important thing I would note here and that is the key/value pair

 'triggerCondition' , 'MID'

The 'default' value for this is the bid/ask price for sells/buys which, in the case of a news trading system, could be problematic because the spread may very well be widened prior to a news release and trigger an entry without the underlying price actually having moved to the entry level, or even before the news is released. By setting the trigger condition to 'MID' a trade will be entered when the mid-price hits the entry level. The trade-off in this choice is summarised thus:

  • if the 'default' value is used, entries on "good" trades will be much closer to the entry level, on average, but at the possible expense of far more false entries and therefore losing trades, versus:
  • if the 'MID' value is used, there will possibly be fewer false entries, but at the expense of a worse entry price for "good" trades.
 This is a trade-off that will have to be investigated/tested in due course.

Saturday 11 May 2024

End of Initial Tests of Trading Forex News Announcements

Following on from my previous post I have completed the same tests as outlined in that post on other currencies and the summary results are:

  • USD - an average of 0.38% return per trade
  • EUR - an average of 0.22% return per trade
  • GBP - an average of 0.77% return per trade
  • CHF - an average of 2.05% return per trade
  • JPY - an average of 0.18% return per trade
  • AUD - an average of 1.01% return per trade

Since these seem to be profitable across the board I deem it is worthwhile to continue investigating some sort of news trading system. However, that said, there is a huge caveat regarding fills which has recently been pointed out by Terberh Strategy in a comment to the previous post, namely the withdrawal of liquidity immediately prior to these news releases. I am not yet sure how I can account for this in future testing, and it may be that this lack of liquidity could in fact make it almost impossible to accurately test any such system without making some consequential assumptions.