UPDATE:
It is clear now that SQX does not export MT5 tick data in the correct format.***
Here is what SQX forex/index/commodities export to mt5 tick data looks like currently. This is the wrong way to do it which messes up the data during import:
2003.05.05 03:00:05.536,1.12161,1.12177,1.12161,14,15.0
2003.05.05 03:00:06.561,1.12166,1.12182,1.12166,1,15.0
2003.05.05 03:00:14.085,1.12163,1.12183,1.12163,1,20.0
Here is the correct way to export forex/index/commodities tick data for MT5 terminal
2022.02.07 02:00:00.192,1.14545,1.14549
2022.02.07 02:00:00.294,1.14546,1.1455
2022.02.07 02:00:00.396,1.14547,1.1455
Notice it is simply: "date,bid, ask"
The volume of 1 is implied in forex since it is tick data, there is no "last" in forex, only bid and ask are tracked. The flags are left up to MT5 to auto calculate. I specify "forex/index/commodities" because MT5 stocks and futures might be different.
NOTE: m1 data export from SQX to MT5 seems fine, it is just the tick data that is in the wrong format.
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***Since you can see in the screenshots below the malformed tables during the import of the SQX tick data to MT5. Also, the TDS exported forex/indices/commodities tick data (exported to mt5 in mt5 format) is matching exactly SQX own internal data and SQX exported to MT5 data is not even matching its own internal data. TDS is obviously exporting to MT5 tick data in the correct format. So SQX needs to export forex/indices/commodities to MT5 data in exactly the way TDS does.
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This ticket started out as a "difference between MT5 and SQX backtest" ticket. However, I have discovered the source of the differences are because my tick data in MT5 was corrupted by SQX tick data exporter.
First I found out that when I ran the troubled strat on m1 sim in MT5, it matched nicely the m1 sim in SQX. Not only that but real ticks in sqx matched up fine (at least the order levels, SL and TP etc did) with m1 sim mode in MT5. So the only thing "off" was the test in MT5 using tick data, sounds like bad tick data in MT5 right? I tried to re-download fresh then re-export and re-import the dukas tick data from SQX to mt5 but I got the exact same results. Then I tried exporting Dukas tick data from TDS and imported that into MT5 and what do you know? The strategy now matches perfectlyMT5 every tick mode vs SQX every tick mode. Therefore, the only explanation is that the SQX exporter is corrupting the tick data.
So anyway, I leave attached the strategy and screenshots of using the strategy on the corrupted data exported from SQX in MT5 vs the test in SQX. I'm really pissed because I have been using this corrupted data for over a month in all my MT5 optimizations and tests.
EDIT I HAVE RULED OUT A FEW THINGS AND PROVEN FURTHER THAT DATA FROM SQX EXPORTER IS NOT WORKING WELL IN MT5:
I have now ruled out any potential network drive issue and also tried using a fresh install of MT5. I have also tried other strategies too and so far every strategy I try gets the following result:
-a test in MT5 every tick mode using MT5 dukas tick data that was exported from SQX is always a little different result from everything else including sqx mt5 engine every tick mode.
-Mt5 dukas data exported from TDS is always matching EXACTLY the results of SQX mt5 engine every tick mode which matches up nicely with m1 sim mode of MT5 which matches up nicely with SQX on m1 sim mode too. It is only when I use tick data exported from SQX that trades do not exactly match.
Attachment Nonq_xtraExits_Strategy 625435.sqx added
Description changed:
This ticket started out as a "difference between MT5 and SQX backtest" ticket. However, I have discovered the source of the differences are because my tick data in MT5 was corrupted by SQX tick data exporter.
First I found out that when I ran the troubled strat on m1 sim in MT5, it matched nicely the m1 sim in SQX. Not only that but real ticks in sqx matched up fine (at least the order levels, SL and TP etc did) with m1 sim mode in MT5. I tried to re-export and re-import the dukas tick data from SQX to mt5 but I got the exact same results. Then I tried exporting Dukas tick data from TDS and imported that into MT5 and what do you know? The strategy now matches perfectlyMT5 every tick mode vs SQX every tick mode. Therefore, the only explanation is that the SQX exporter is corrupting the tick data.
So anyway, I leave attached the strategy and screenshots of using the strategy on the corrupted data exported from SQX in MT5 vs the test in SQX. I'm really pissed because I have been using this corrupted data for over a month in all my MT5 optimizations and tests.
Attachment 2022-02-12.png added
Also, in forex spot I thought the volume of one tick is always one, from tds the volume column is empty. Also, I thought the 32 and 64 and 8 and 16 flags are not tracked in forex but somehow those are sometimes flagged in the sqx export. In fact from TDS looks like the flags are only the bid and ask flags and only the bid and ask and flags columns have numbers nothing else and flags is always 6. Not sure if that's what the issue is but might be something to look into.
-MT5 dukas tick data that was exported from SQX is always a little different result from everything else including sqx mt5 engine every tick mode.
-Mt5 dukas data exported from TDS is always matching EXACTLY the results of SQX mt5 engine every tick mode which matches up nicely with m1 sim mode of MT5 which matches up nicely with SQX on m1 sim mode too. It is only when I use tick data exported from SQX that trades do not exactly match.
Description changed:
This ticket started out as a "difference between MT5 and SQX backtest" ticket. However, I have discovered the source of the differences are because my tick data in MT5 was corrupted by SQX tick data exporter.
First I found out that when I ran the troubled strat on m1 sim in MT5, it matched nicely the m1 sim in SQX. Not only that but real ticks in sqx matched up fine (at least the order levels, SL and TP etc did) with m1 sim mode in MT5. So the only thing "off" was the test in MT5 using tick data, sounds like bad tick data in MT5 right? I tried to re-download fresh then re-export and re-import the dukas tick data from SQX to mt5 but I got the exact same results. Then I tried exporting Dukas tick data from TDS and imported that into MT5 and what do you know? The strategy now matches perfectlyMT5 every tick mode vs SQX every tick mode. Therefore, the only explanation is that the SQX exporter is corrupting the tick data.
So anyway, I leave attached the strategy and screenshots of using the strategy on the corrupted data exported from SQX in MT5 vs the test in SQX. I'm really pissed because I have been using this corrupted data for over a month in all my MT5 optimizations and tests.
EDIT I HAVE RULED OUT A FEW THINGS AND PROVEN FURTHER THAT DATA FROM SQX EXPORTER IS NOT WORKING WELL IN MT5:
I have now ruled out any potential network drive issue and also tried using a fresh install of MT5. I have also tried other strategies too and so far every strategy I try gets the following result:
-a test in MT5 every tick mode using MT5 dukas tick data that was exported from SQX is always a little different result from everything else including sqx mt5 engine every tick mode.
-Mt5 dukas data exported from TDS is always matching EXACTLY the results of SQX mt5 engine every tick mode which matches up nicely with m1 sim mode of MT5 which matches up nicely with SQX on m1 sim mode too. It is only when I use tick data exported from SQX that trades do not exactly match.
Attachment 2022-02-12.png added