MT4/MT5 vs SQX equity diference

All errors in MT4/MT5 looks similar:

Strategy tried to place stop/limit order at incorrect price. Market price: 151.55100000, max. price allowed: 151.55100000, stop/limit order price: 152.56000000

I don't think it is a problem of data in MT4 because other equities looks exactly the same as in SQX
MT5 has data from SQX so should be OK - modeling 98%

Attachments
ScreenHunter 26.png
(37.94 KiB)
ScreenHunter 20.png
(132.01 KiB)
GBPJPY H4 Strategy 14177_h1 d1.sqx
(28.07 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

AB
#1

czykier

31.03.2019 23:15

Task created

OS
#2

trader4711

02.04.2019 17:21
Voted for this task.
TB
#3

Tomas Brynda

11.04.2019 10:26
Hi Czykier,

the line "Strategy tried to place stop/limit order at incorrect price..." is not an error. It is just an information, that strategy tried to open order at incorrect price, which is normal. 

It depends strongly on strategy logic. Not all orders are executed, the same applies during SQ backtest.


If you use the exact same data and settings in MT and SQ, the backtest results should be equal. I tested the attached strategy in MT4 and it matched SQX results.

AB
#4

czykier

11.05.2019 18:44

Attachment 1519.png added

Attachment 2927.png added

Attachment 3317.png added

Attachment 7419.png added

Attachment 8318.png added

Attachment GBPJPY H4 Strategy 15193_h1 d1.sqx added

Attachment GBPJPY H4 Strategy 29274_h2d1.sqx added

Attachment GBPJPY H4 Strategy 33172_h1 d1.sqx added

Attachment GBPJPY H4 Strategy 7419_h1 d1.sqx added

Attachment GBPJPY H4 Strategy 83182_h1 d1.sqx added

Tomas,

 

Thanks for explanation. Other thing is I had something wrong with data.

 

I made more tests and now results are better but there is still serious mismatch SQ vs MT

Common thing in all strategies with mismatch is FIBO as open order condition.

I found only one strategy when FIBO condition give very similar result in SQ and MT.

m
#5

mabi

12.05.2019 02:06
Voted for this task.
TB
#6

Tomas Brynda

05.06.2019 20:50

Status changed from New to Fixed

Hi Czykier,

I found a problem in MT4 & MT5 Fibo indicator calculation. It's fixed and will be working well in the next release.


Thank you for your report.


Best regards,

Tomas


Votes: +2

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