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What is the best methodology for modelling with several currencies in the account and securities with different currency denominations in a portfolio?

  1. Is it best to keep portfolios and accounts single currency? Will blotter then handle fx when needed and how do you load fx rates to .blotter?
  2. Alternatively can accounts be multi-currency with multi-currency equity amounts?

I'm happy to play around with the details but could really do with advice on the general approach from a blotter expert.

Apologies if this has been covered elsewhere. I searched and couldn't find it.

Example: A universe of 5 stocks in USD and 5 stocks in EUR. Create a strategy that trades the 5 highest % EUR returns in last 3 months (i.e. USD stock return is both stock and fx return).

KDJ
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1 Answers1

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An account in blotter has only one currency.

A portfolio also has only one summary currency.

instruments each have a currency.

A portfolio may hold instruments in any currency, but the portfolio summary will only be marked in the summary currency.

An account may hold many portfolios.

Given your example, it is likely that you would want separate portfolios for your EUR and USD instruments, and mark the account in whatever currency is convenient for the account.

Brian G. Peterson
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  • Thank you that is clear and helpful. When I use getFX it appears to get the exchange rate straight in the environment so conversions happen automatically into the account currency. – KDJ Nov 12 '14 at 19:27