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Oct
17
awarded  Scholar
Oct
17
accepted What is meant by “position at a given time” in the context of a series of forex trades?
Oct
17
comment What is meant by “position at a given time” in the context of a series of forex trades?
The amount describes "amount of the pair", so it is denominated in euros, not USD. But, your description is a good one and this is ultimately the way I represented it within the task I was working on.
Oct
10
comment What is meant by “position at a given time” in the context of a series of forex trades?
The inventory approach is clearly a much easier and less confusing way to calculate it, which is what was confusing me about the "process each trade in sequence and compare that trade's original rate to the current rate" method. You do that in an impounded way by keeping track of each currency separately.
Oct
10
comment What is meant by “position at a given time” in the context of a series of forex trades?
I think the phrase "It doesn't matter where your inventory came from, or how much it cost" is misleading and that's what confused me before. If you keep an inventory expressed as two numbers (say EUR and USD), then each time you update the USD part, you are exactly encoding "how much it cost" (the rate of that trade) and "where it came from" (the corresponding amount of Euros). So it is encoding this as you go. If instead you only keep track of EUR, then for each EUR amount, you also need the rate at that trade, to get over to USD for any given trade and compare with the current rate for PnL.
Oct
9
suggested suggested edit on What is meant by “position at a given time” in the context of a series of forex trades?
Oct
9
comment What is meant by “position at a given time” in the context of a series of forex trades?
Yes, I see now that this must have been what you meant. I added a bit to elaborate.
Oct
9
comment What is meant by “position at a given time” in the context of a series of forex trades?
Maybe what you are saying is that if you keep track separately of the long position and short position, then you can do long - rate*short to get your profit at any point in time. This means you would use a tuple (X, Y) to represent your position over time. Is this what is commonly called "your position" during a sequence of trades, a 2-tuple? Is it common to plot two overlapping curves, one for the long position amount and one for the short, if you wanted to look at "the position" during the day?
Oct
9
comment What is meant by “position at a given time” in the context of a series of forex trades?
I'm not sure I understand. Suppose you start out with a zero position. If we think of the position as only existing for the currency pair (so a choice of owning Y EUR is equivalently a choice to sell rate*Y USD, as we can always write everything in USD, using negative number to indicate when we sold the pair and positive when we bought the pair). What am I missing there?
Oct
9
comment Particular kind of market game
I'm not sure if this is correct, but this seems remarkably similar to the Lucas Tree Model to me, which has many extensions and renditions in game theoretic terms. You may have some success looking for game-theoretic problems derived from that model.
Oct
9
awarded  Editor
Oct
9
revised What is meant by “position at a given time” in the context of a series of forex trades?
added 226 characters in body
Oct
9
asked What is meant by “position at a given time” in the context of a series of forex trades?
Sep
24
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