Adding Realistic gaps handling option for MT5 engine
I show you a bizarre execution: here attached there is a strategy with a trailing stop executed in the middle of a gap. It's impossible in reality. The Dax30 cfd, on june 24 2016, opened with a bid gap: by 10318 (close of june 23) to 9284 (open of june 24). As you can see in the list of trades, the strategy closed the trade at 10016, but the price had jumped this price, so it's impossibile: in reality it would have closed at 10318 or 9284.
Maybe it's a bug. Could you control it? Maybe it's a general issue with the gaps.
thak you very much, best regard.
Giuseppe Piloni
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Votes +2
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Project StrategyQuant X
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Type Feature
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Status Fixed
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Priority Normal
History
Tomas Brynda
11.05.2020 13:32Status changed from New to Fixed
we have already handled this kind of issue.
If you go to Trading Options settings, you can find there a new option Realistic Gaps Handling.
If you select this option, the stops won't be filled into gaps.
Best regards,
Tomas
hankeys
11.05.2020 15:56we are missing it for MT5 engines, where the gap filling occurs too
Tomas Brynda
25.05.2020 16:46Status changed from In progress to Fixed
The same applies on backtesting in MetaTrader5, for Every tick based on real ticks precision, you will get real closing prices.
Other precisions fill at the exact price that was set. We've made the computation in SQ's MetaTrader5 engine behave the same way as in MT5 itself.
hankeys
25.05.2020 20:50Tomas Brynda
26.05.2020 09:19Subject changed from Trailing stop executed in the middle of a gap to Adding Realistic gaps handling option for MT5 engine
Type changed from Bug to Feature
Status changed from Fixed to New
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