Deafult slippage setting in template change to 0 instead of 5.

There have been many comparisons of trades lately that they do not add up between SQx and platforms. One of these reasons can come from the default slippage setting and use of spread. When i trade same strategy on diffrent instruments especially Index and commodities i was sometime suprised that i did not get any trades at all us550 to JP255 for example until i removed the slippage setting and set it to 0. Same problem also occours on other strategies and i connect this to the default slippage setting to not trade if slippage is calculated to be above 5 pips. See attached 3 tests on same strategy using diffrent spread settings. You would think that like with stop orders you get filled if you have a wider spread in reality but on marketorder strategies which this concers it is reversed you do not get filled at all in SQx backtest. So having 5 pip as default setting seems to be wrong today since most guys now use ECN accounts and if you use older tickdata from duca and real spread especially most strategies will fail even if they would not in reality due to that slippage setting by default seems to be set to 5 pip.
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  • Votes +5
  • Project StrategyQuant X
  • Type Bug
  • Status In progress
  • Priority Normal

History

m
#1

mabi

16.02.2022 07:58

Task created

m
#2

mabi

16.02.2022 08:03
Voted for this task.
b
#3

bentra

16.02.2022 08:56
Voted for this task.
E
#4

Emmanuel

21.02.2022 09:19
Voted for this task.
MF
#5

Mark Fric

14.10.2022 10:48

Status changed from New to In progress

this is potentially a big change, I'm not sure if we should change it. It might affect many people trading SQ strategies on standard forex instruments.


I assume it doesn't trade in indexes like us550 because the slippage there is bigger than the default 5 value.

If you set it to 0 it is most probably ignored (perhaps it depends on broker?), and orders are placed.


From what I read with ECN brokers this parameter is ignored, and the order is executed at market price.


Anybody else has comment about this?

b
#6

bentra

14.10.2022 14:01
Yes this setting is ignored for "market execution" (ECN brokers)

It only affects "instant execution" that market makers use.

https://www.mql5.com/en/forum/374269


In the case of using a market maker broker, making the deviation arbitrarily 5 pips seems not right though because now some symbols will almost never trade and others will trade almost always. For instance, For me, 5 points is almost nothing on the symbol XAUUSD. But on EURUSD 5 points is on the high side. If you need one size fits all then 0 seems to be the correct and practical choice.

I do not see any relevance in Mabi screenshots regarding the spread to the max slippage issue though....


CG
#7

Chris G

15.10.2022 02:22
Voted for this task.
k
#8

Karish

15.10.2022 21:11
Voted for this task.

Votes: +5

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