Calculating profit/loss on FX trades for AUD accounts (IB & Stator)

[online.Bobby]

Seeking help on how to calculate P/L and entry of FX trades into my portfolio management sofware.

Summary:
I have an account with IB in AUD base currency which is used for my FX trading.
Stator is a portfolio management application I use to enter trades for P/L calculations. The account profile in Stator is in AUD.

Trades executed:
(entry) 09-Sept. BUY 19,598 (qty) AUD/USD @ $1.05280
Commission $1.84
In my IB statement it states the 'Base Currency Exchange Rate' for USD as $0.9564 for the 09-Sept.

(exit) 26-Sept. BUY 19,598 AUD/USD @ $0.9687
Commission $2.56
In my IB statement it states the 'Base Currency Exchange Rate' for USD as $1.0193 for the 26-Sept.

Stator Entry:
When I enter the FX trades above into Stator, I enter the 'Entry Exchange Rate as the value from IB's 'Base Currency Exchange Rate' $0.9687 and the Exit Exchange Rate as $1.0193. My question is: should I be using these exchange rates or simply use 1USD = 1AUD as my accounts are in the base currency of AUD. See Stator calculations below, normally I would record the trade as a loss of $1684.48. However, Stator adds exchange rates and records a total loss of just $386.57. What should I be reporting as my real P/L on the trade above?

Stator calculates the following:
AUD$ P/L (Trade) -$1684.48
+ AUD$ P/L (Exchange Rate) $1297.97
= AUD$ P/L (Final) -$386.57

 

[tayser]

disclaimer: I really dont know how IB works (and they're a half-arsed broker compared to the many others in the market... nevertheless)...

a question - in your post you said you opened and closed a trade with two buy orders? that's impossible.

(entry) 09-Sept. BUY 19,598 (qty) AUD/USD @ $1.05280
(exit) 26-Sept. BUY 19,598 AUD/USD @ $0.9687

Which pair did you trade? AUD/USD? how can you enter and exit a trade with two buy orders? Was the Sept 9 trade a sell (did you go short)?

If you have an AUD account, and you shorted AUD/USD @ 1.0528 then bought back @ 0.9687 on the 26th then you profited 841 pips... or roughly $868AUD (1/0.9687 * 841USD = $868AUD) - assuming a mini-lot (10,000) was used. If your post it looks like you used 2 mini-lots (20,000).... need you to clarify.

If your IB account is AUD base currency, you simply use the balance you opened the trade at, and then the balance when you closed the trade at - that's your gross P/L and then you just minus the commission paid.

Your P/L in the broker account is going to (ultimately) be recorded in AUD if the account denomination is AUD.

unless IB do something completely stupid... which wouldn't surprise me.

 

[online.Bobby]

a question - in your post you said you opened and closed a trade with two buy orders? that's impossible.

Which pair did you trade? AUD/USD?

If you have an AUD account, and you shorted AUD/USD @ 1.0528 then bought back @ 0.9687 on the 26th then you profited 841 pips... or roughly $868AUD (1/0.9687 * 841USD = $868AUD) - assuming a mini-lot (10,000) was used. If your post it looks like you used 2 mini-lots (20,000).... need you to clarify.

If your IB account is AUD base currency, you simply use the balance you opened the trade at, and then the balance when you closed the trade at - that's your gross P/L and then you just minus the commission paid.

Your P/L in the broker account is going to (ultimately) be recorded in AUD if the account denomination is AUD.

Sorry for the confusion, it was a typo:
(entry) 09-Sept. BUY 19,598 (qty) AUD/USD @ $1.05280
(exit) 26-Sept. SELL 19,598 AUD/USD @ $0.9687

Trading the AUD/USD pair. Your help is appreciated.

 

[tayser]

Sorry for the confusion, it was a typo:
(entry) 09-Sept. BUY 19,598 (qty) AUD/USD @ $1.05280
(exit) 26-Sept. SELL 19,598 AUD/USD @ $0.9687

Trading the AUD/USD pair. Your help is appreciated.

ok you took a loss of 841 pips with a lot size of 19,598 - if you say your IB account is AUD denominated, then you then just use the values it has on the statement cos it will be mark-to-market (P/L minus commission). If it states the commission separately on the statement (any broker account journaling system should!) just use those values.

Currenex platforms have an Account Journal Report which shows you all the transactions which hit the account, as well as showing a running total (i.e you'll see the balance when the BUY trade was executed on the 9th, the commission charged for that trade, the balance when the SELL trade was executed on the 29th with the commission charged for that trade) of the account balance which you can use for your purposes - if IB dont have this functionality - consider a different broker.

 

[online.Bobby]

ok you took a loss of 841 pips with a lot size of 19,598 - if you say your IB account is AUD denominated, then you then just use the values it has on the statement cos it will be mark-to-market (P/L minus commission). If it states the commission separately on the statement (any broker account journaling system should!) just use those values.

Thanks Tayser. So to clarify my entry of trades into my portfolio management application (Stator):
I should be entering my trades with the Entry and Exit Exchange rates set as 1USD=1AUD. And so, Stator calculates the following P/L for the trade referenced:
AUD$ P/L (Trade) -$1684.48

Correct?

 

[tayser]

Thanks Tayser. So to clarify my entry of trades into my portfolio management application (Stator):
I should be entering my trades with the Entry and Exit Exchange rates set as 1USD=1AUD. And so, Stator calculates the following P/L for the trade referenced:
AUD$ P/L (Trade) -$1684.48

Correct?

sounds about right

 

[online.Bobby]

A further query on the calculation method referenced below...
OANDA statements calculate P/L using the following formula (matching your example):
(Closing Rate - Opening Rate) * (Closing {quote}/{home currency}) * Units

On FX trades where the open and close of the trade is over multiple days - Why is only the closing quote used in the currency conversion in determining P/L? (sorry if this is a naive question) why isn't the open quote used to calculate final P/L as per the following formula (used in my Stator portfolio management software):

FPL = (ExitEXP x SellP x ExitER) –
((EntryEXP x EntryP x EntryER) +
(EntryC x EntryER) +
(ExitC x ExitER))

Where

FPL = The final profit or loss for the trade in the default currency.
ExitEXP = The market exposure of the trade at exit
SellP = The disposal price for the trade
ExitER = The exchange rate between the trade currency and the default currency.
EntryEXP = The market exposure of the trade at entry
EntryP = The entry price into the trade
EntryER = The exchange rate between the trade currency and the default currency when the trade was entered
ExitC = The costs associated with exiting the trade
EntryC = The costs associated with entering the trade

For example, suppose a Short trade (using the referenced formula):
July 25 Sell Market Filled AUD/USD $1.09051 50000
August 2 Trailing Stop AUD/USD $1.08822 50000

Then:

Profit = (1.09051 - 1.08822) * (1/1.08822) * 50000
P/L = $105.22