I'm trying to program a basic forex simulator in order to test strategies. But I don't know how is influenced the market when a position is opened or closed.

For example, if I open a 10 000 000 € BUY order on EURUSD, I think It will decrease the quote of the EURUSD value. But maybe I'm wrong, and I don't know how much it will decrease or increase the quote.

I set my forex simulator to decrease the quote of EURUSD of 0.5 points (0.05 pips) for each opening of a BUY order that have a size of 10 000 000 €, and to increase the quote of 0.5 points at the close of this order. I make a computation proportional to this value for smaller and larger orders.

So, is there a way to know or approximate de quote deviation induced by the opening or the close of an order, in function of its size and eventually other parameters ?

  • 1
    $\begingroup$ If you buy EUR it will increase the value of EUR as measured in USD (i.e. EURUSD will go up) and vice versa. $\endgroup$
    – nbbo2
    Commented Dec 23, 2022 at 8:28
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    $\begingroup$ Although 10.000.000 is quite small, and there are lots of transactions all the time, estimated to be almost 7 trillion a day in USD. $\endgroup$
    – AKdemy
    Commented Dec 23, 2022 at 10:13
  • $\begingroup$ So, if I take, on a period of 2 hours, 150 BUY orders of size 10M, the EURUSD quote will go up, and my positions have more chances to be profitable ? $\endgroup$ Commented Dec 23, 2022 at 11:50
  • $\begingroup$ If you buy at 1.001, then 1.002, then 1.003 etc. all the way to 1.150, your average cost is 1.075. If the price drops back to its original 1.001, what do you think that does? Edit: most retail traders will never actually own any euros for theur usd or vice versa. It is all marged in the exchange. The exchange will let you horse around and pay percent commissions and try to make money off of huge slippages. To a RT actor, FX market is can be considered infinitely liquid and can't be moved with mere millions. $\endgroup$
    – nurettin
    Commented Dec 27, 2022 at 14:03


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