As a result, indicators that update their values on each OnBarUpdate (which is almost every indicator) will have erroneous values.
The abnormal volume (roughly 20-30x the usual volume) will break any Volume based indicator.
To demonstrate this, I've implemented a custom PriceRangeIndicator that saves the OHLCV values and constructed a basic strategy that uses this indicator. It saves in user/libs/ohlcv.csv the data it reads. Note that the indicator is called with Shift = 1, so that the input values should already be set.
Attached you will find:
1. SQExtension_20231016_DataBug.sxp -> the code extension needed to reproduce.
2. price_logger.sqx -> the basic strategy that writes OHLCV values to file
3. BTCUSDT_BIN_PERP_MT5-M1-No Session.csv -> the data used to reproduce.
4. ohlcv.csv -> the output using a single Retester run.
5. expectedData.jpg -> screenshot of how the data looks aggregated by SQX data inspector
6. actualData.jpg -> screenshot of aberrant extra bars.
Note that this bug is likely breaking the values for all indicators used in simple strategies.
1. Versioning: currently using the 137.1749 release build.
2. Instrument was created with timestamp representing Start of bars.
3. Strategy was ran as MT5 hedged.
4. Session: No Session