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Forex_Margin_Calculator.py
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Forex_Margin_Calculator.py
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import re
from collections import OrderedDict
class Margin_Calculator(object):
# EX: 1.15000 sell eurusd 25.00 50:1 194,779
def calculate(self, **kwargs):
# Organize Key word arguments
kwargs = OrderedDict(kwargs)
entry, direction, pair, lot_size, capital, risk_of_trade, margin, stop_loss = 0,0,0,0,0,0,0,0
for key, value in kwargs.items():
if key == 'entry':
entry = value
continue
elif entry == 0 and list(kwargs.keys())[-1]:
raise ValueError('Entry Position is required: e.g. 1.15000')
if key == 'direction':
direction = value
continue
elif direction == 0 and list(kwargs.keys())[-1]:
raise ValueError('Direction is required: e.g. "buy","Sell","Long","short"')
if key == 'pair':
if 'USD' in value:
pair = value
continue
else:
raise ValueError('USD only pairs at this time')
elif pair == 0 and list(kwargs.keys())[-1]:
raise ValueError('pair is required: e.g. "EUR/USD" "USD/JPY"')
if key == 'lot_size':
lot_size = value
continue
elif lot_size == 0 and list(kwargs.keys())[-1]:
raise ValueError("lot_size is required: e.g. 1.0 or 0.05")
if key == 'capital':
capital = value
continue
elif capital == 0 and list(kwargs.keys())[-1]:
raise ValueError("capital is required: e.g 5000")
if key == 'risk':
risk_of_trade = value
continue
elif risk_of_trade == 0 and kwargs.keys()[-1]:
raise ValueError("Risk is required (percent in decimal form) e.g. 0.02")
if key == 'margin':
margin = value
continue
# Static Margin Requirements from OANDA AUG 2018
# need to look at the pair that is being traded if the USD is not in the second place then the counter currency will be the measure of the pip
margin_of_pairs = {'AUD/CAD':3.0,'AUD/CHF':3.0,'AUD/HKD':5.0,'AUD/JPY':4.0,'AUD/NZD':3.0,'AUD/SGD':5.0,'AUD/USD':3.0,'CAD/CHF':3.0,'CAD/HKD':5.0,'CAD/JPY':4.0,
'CAD/SGD':5.0,'CHF/HKD':5.0,'CHF/JPY':4.0,'CHF/ZAR':5.0,'EUR/AUD':3.0,'EUR/CAD':2.0,'EUR/CHF':3.0,'EUR/CZK':5.0,'EUR/DKK':2.0,'EUR/GBP':5.0,'EUR/HKD':5.0,
'EUR/HUF':5.0,'EUR/JPY':4.0,'EUR/NOK':3.0,'EUR/NZD':3.0,'EUR/PLN':5.0,'EUR/SEK':3.0,'EUR/SGD':5.0,'EUR/TRY':5.0,'EUR/USD':2.0,'EUR/ZAR':5.0,'GBP/AUD':5.0,
'GBP/CAD':5.0,'GBP/CHF':5.0,'GBP/HKD':5.0,'GBP/JPY':5.0,'GBP/NZD':5.0,'GBP/PLN':5.0,'GBP/SGD':5.0,'GBP/USD':5.0,'GBP/ZAR':5.0,'HKD/JPY':5.0,'NZD/CAD':3.0,
'NZD/CHF':3.0,'NZD/HKD':5.0,'NZD/JPY':4.0,'NZD/SGD':5.0,'NZD/USD':3.0,'SGD/CHF':5.0,'SGD/HKD':5.0,'SGD/JPY':5.0,'TRY/JPY':5.0,'USD/CAD':2.0,'USD/CHF':3.0,
'USD/CNH':5.0,'USD/CZK':5.0,'USD/DKK':2.0,'USD/HKD':5.0,'USD/HUF':5.0,'USD/JPY':4.0,'USD/MXN':8.0,'USD/NOK':3.0,'USD/PLN':5.0,'USD/SAR':5.0,'USD/SEK':3.0,
'USD/SGD':5.0,'USD/THB':5.0,'USD/TRY':5.0,'USD/ZAR':5.0,'ZAR/JPY':5.0}
# List of Pairs that are not to the 5th decimal place (extremely weak)
different_decimal_pairs = ['JPY','ZAR','SEK','HUF']
decimal_change = False
for i in different_decimal_pairs:
if i in pair:
decimal_change = True
break
# 100,000*0.01 (the 2nd decimal) /99.735≈$10.03 how to determine the pip price
# if the margin is in another currency then you have to convert back to that currency
# Determine the Counter Currency
for name, percent in margin_of_pairs.items():
decimal_check = re.compile('^\d+\.\d{0,2}$')
# Make sure that the pair exists
if str(name) == str(pair):
# Determine Margin
if margin == 0:
# use margin dict
margin = (percent/100)
break
# convert margin
elif decimal_check.match(margin):
margin = (margin/100)
break
else:
raise ValueError('Margin in wrong format e.g. 10% = 10.0')
# Remove the pair does not exist and no margin is given
if name != pair and name == 'ZAR/JPY':
raise ValueError("Pair does not match. e.g. EUR/USD")
# Determine the total amount willing to risk
cost_of_margin = margin * (lot_size*100000)
remaining_capital = capital - cost_of_margin
loss_risk = remaining_capital * risk_of_trade
# Dollar is base currency
if '/USD' in pair:
number_of_pips = loss_risk/ lot_size
# Counter Currency where the dollar is not the base currency
if 'USD/' in pair:
# find the location of the decimal
decimal = str(entry).find('.')
# get the number of decimals
number_of_decimals = len(str(entry)[decimal+1:])
# only two cases I know currently
if number_of_decimals == 5:
multipler = 0.0001
if number_of_decimals == 3:
multipler = 0.01
# add the number of 0's before the one
movement_per_pip = (10000*multipler)/entry
number_of_pips = int(loss_risk/movement_per_pip)
# Determine the movement up or down
if direction == 'sell' or direction == 'Sell' or direction == 'short' or direction == 'Short':
if decimal_change:
stop_loss = (number_of_pips/1000) + entry
else:
stop_loss = (number_of_pips/100000) + entry
if direction == 'Buy' or direction == 'buy' or direction =='long' or direction =='Long':
if decimal_change:
stop_loss = entry - (number_of_pips/1000)
else:
stop_loss = entry - (number_of_pips/100000)
close_out_capital = capital - loss_risk
return {'stop_loss': stop_loss,
'potential_loss': loss_risk,
'close_out_capital': close_out_capital}
# Works in current configuration
print(Margin_Calculator().calculate(entry=111.067, direction='Sell',pair='USD/JPY',lot_size=1.00, capital=5000, risk=0.02))
print(Margin_Calculator().calculate(entry=1.15000, direction='Sell',pair='EUR/USD',lot_size=0.05, capital=5000, risk=0.02))