forex-scalping.com

Code: Select all

//@version=5
indicator("True Execution Cost & Session Analyzer", overlay=false, precision=2)

// =========================================================================
// INPUTS
// =========================================================================
grp_costs = "Execution Cost Settings"
comm_rt_usd = input.float(6.0, title="Round Trip Commission per Lot ($)", group=grp_costs, step=0.5)
pip_value = input.float(10.0, title="Pip Value per Lot ($)", group=grp_costs, tooltip="Leave at $10 for USD quote pairs (AUDUSD, EURUSD, etc.)")

grp_sessions = "Session Highlights (London Time)"
session_asia = input.session("0030-0300", title="Asian Session", group=grp_sessions)
session_london = input.session("0700-1000", title="London Session", group=grp_sessions)
tz = input.string("Europe/London", title="Timezone", group=grp_sessions)

// =========================================================================
// CALCULATIONS
// =========================================================================
// 1. Convert Commission to Pips
// Example: $6.00 commission / $10.00 pip value = 0.6 pips cost round trip
comm_pips = comm_rt_usd / pip_value

// 2. Calculate Real-Time Spread in Pips
// syminfo.mintick is typically 0.00001 on AUDUSD. Multiplying by 10 gives standard pips.
pip_multiplier = syminfo.mintick * 10
current_spread = (ask - bid) / pip_multiplier

// 3. Calculate All-In Cost
all_in_cost = current_spread + comm_pips

// =========================================================================
// SESSION HIGHLIGHTING
// =========================================================================
in_asia = time(timeframe.period, session_asia, tz)
in_london = time(timeframe.period, session_london, tz)

bgcolor(in_asia ? color.new(color.blue, 90) : na, title="Asian Session Background")
bgcolor(in_london ? color.new(color.red, 90) : na, title="London Session Background")

// =========================================================================
// PLOTTING
// =========================================================================
// Using historical close differences as a fallback visualization for historical bars, 
// but emphasizing that true spread only populates on live data feeds.
plot(current_spread, title="Raw Spread (Pips)", color=color.gray, linewidth=1, style=plot.style_line)
plot(all_in_cost, title="All-In Cost (Pips)", color=color.orange, linewidth=2, style=plot.style_line)

// =========================================================================
// DASHBOARD TABLE
// =========================================================================
var table dashboard = table.new(position.top_right, 2, 4, border_width=1, border_color=color.gray)

if barstate.islast
    // Headers
    table.cell(dashboard, 0, 0, "Metric", text_color=color.white, bgcolor=color.rgb(40, 40, 40))
    table.cell(dashboard, 1, 0, "Cost (Pips)", text_color=color.white, bgcolor=color.rgb(40, 40, 40))
    
    // Spread
    table.cell(dashboard, 0, 1, "Real-Time Spread", text_color=color.white, bgcolor=color.rgb(60, 60, 60))
    table.cell(dashboard, 1, 1, str.tostring(current_spread, "#.##"), text_color=color.white, bgcolor=color.rgb(60, 60, 60))
    
    // Commission Equivalent
    table.cell(dashboard, 0, 2, "Commission (RT)", text_color=color.white, bgcolor=color.rgb(60, 60, 60))
    table.cell(dashboard, 1, 2, str.tostring(comm_pips, "#.##"), text_color=color.white, bgcolor=color.rgb(60, 60, 60))
    
    // Total Cost
    table.cell(dashboard, 0, 3, "Total All-In Cost", text_color=color.white, bgcolor=color.new(color.orange, 30))
    table.cell(dashboard, 1, 3, str.tostring(all_in_cost, "#.##"), text_color=color.white, bgcolor=color.new(color.orange, 30))

Code: Select all

using System;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class TrueExecutionCost : Indicator
    {
        [Parameter("RT Commission per Lot ($)", DefaultValue = 6.0, Group = "Costs")]
        public double Commission { get; set; }

        [Parameter("Pip Value per Lot ($)", DefaultValue = 10.0, Group = "Costs")]
        public double PipValue { get; set; }

        [Output("Raw Spread", LineColor = "Gray", PlotType = PlotType.Line, Thickness = 1)]
        public IndicatorDataSeries RawSpread { get; set; }

        [Output("All-In Cost", LineColor = "Orange", PlotType = PlotType.Line, Thickness = 2)]
        public IndicatorDataSeries AllInCost { get; set; }

        protected override void Initialize()
        {
            // Initializes cleanly; all heavy lifting is done on incoming ticks
        }

        public override void Calculate(int index)
        {
            // Real-time spread is only available for the live market.
            // Returning early on historical bars prevents drawing a false, flat historical line.
            if (!IsLastBar) return;

            // 1. Convert Commission to Pips
            double commPips = Commission / PipValue;

            // 2. Calculate Real-Time Spread in Pips
            double currentSpread = (Symbol.Ask - Symbol.Bid) / Symbol.PipSize;

            // 3. Calculate All-In Cost
            double allInCost = currentSpread + commPips;

            // Plot values for the current bar
            RawSpread[index] = currentSpread;
            AllInCost[index] = allInCost;

            // 4. Update HUD Dashboard
            UpdateDashboard(currentSpread, commPips, allInCost);
        }

        private void UpdateDashboard(double spread, double comm, double totalCost)
        {
            // Uses the Chart's local time setting so the session logic aligns with your visual chart time
            DateTime chartTime = Bars.LastBar.OpenTime;
            string activeSession = GetActiveSession(chartTime);

            string dashboardText = "TRUE EXECUTION COST\n" +
                                   "---------------------------------\n" +
                                   $"Session Window   : {activeSession}\n" +
                                   $"Real-Time Spread : {Math.Round(spread, 2):F2} pips\n" +
                                   $"Commission (RT)  : {Math.Round(comm, 2):F2} pips\n" +
                                   $"Total All-In Cost: {Math.Round(totalCost, 2):F2} pips";

            Chart.DrawStaticText("CostDashboard", dashboardText, VerticalAlignment.Top, HorizontalAlignment.Right, Color.Orange);
        }

        private string GetActiveSession(DateTime chartTime)
        {
            TimeSpan timeOfDay = chartTime.TimeOfDay;

            // Your specific test windows (Assumes your cTrader chart is set to London/UK Time)
            TimeSpan asiaStart = new TimeSpan(0, 30, 0);
            TimeSpan asiaEnd = new TimeSpan(3, 0, 0);

            TimeSpan londonStart = new TimeSpan(7, 0, 0);
            TimeSpan londonEnd = new TimeSpan(10, 0, 0);

            if (timeOfDay >= asiaStart && timeOfDay <= asiaEnd)
                return "Asian (00:30 - 03:00)";
            
            if (timeOfDay >= londonStart && timeOfDay <= londonEnd)
                return "London (07:00 - 10:00)";

            return "Off-Peak / Outside Window";
        }
    }
}