instrument.unitRollSlippage
instrument.unitRollCommission
instrument.unitRollProfit
instrument.unitRollPrice

'  Futures Contract Unit Roll Calculations
'  Start with the accrued profit.

  '  -------------------------------------------------
'  The accrued closed profit of all the Futures
'  rolls in the trade is returned in the
'  simulation's base currency
  computedProfit = instrument.unitRollProfit
  '  -------------------------------------------------
  If instrument.position = LONG THEN
    computedProfit = computedProfit _
                      + ( instrument.close _
                      - instrument.unitRollPrice ) _
                      * instrument.conversionRate _
                      * instrument.unitQuantity _
                      * instrument.nativeBPV
  ENDIF
  '  -------------------------------------------------
  If instrument.position = SHORT THEN
    computedProfit = computedProfit _
                      + ( instrument.unitRollPrice _
                      - instrument.close ) _
                      * instrument.conversionRate _
                      * instrument.unitQuantity _
                      * instrument.nativeBPV

  ENDIF '  i.position = SHORT
  '  -------------------------------------------------

An example Blox is available here:

Example Roll Profit.tbx

See Also:

Edit Time: 10/28/2020 4:52:45 PM

Topic ID#: 717