Cautions

–       Need to be careful when trading near market open and close (mon/fri) because there is usually less liquidity and such the spreads can be much wider

–       Need to be careful when trading near significant news events as the market is volatile and spreads can be much wider.

–       Need to be careful of holding positions over the weekend as there could be a huge gap in price which will cause a significant loss on open.

–       Rollover charges: Need to be mindful of this. Rollover is interested paid or owed on a position at the end of the trading day.

  • If the IR on the CCY bought is > IR on the CC sold, you earn a Rollover Benefit (positive roll)
  • If the IR on the CCY bought is < IR on the CC sold, you will pay a Rollover Charge (negative roll)
  • Weekend rollovers are charged on Wednesday. Holidays are charged 2 days before the holiday.

–       Margin: Usd Mr (Used Margin) and Usbl Mr (Usable Margin) are displayed on TradingStation. If Usbl Mr reaches zero, Margin Call!!!!

Rollover Testing

  • sold 10,000 AUD @ 100.306. RollS is -3.92 and RollB is 1.84.
  • bought 10,000 NZD @ 0.81348. RollS is -3.16 and RollB is 1.44

Results

  • The rollover is captured in the difference between Gross P/L and Net P/L
  • Rollover for the AUD position is -3.92, and 1.44 for the NZD position.
  • It can also be seen on the Html Report accessible via the Report button.
  • P/L and Rollover are both expressed in Pips.
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