Spread Filter

As user
I want to make sure that my generated EAs do not trade, when the spreads are too high,
so they dont open trades if the brokers spreads are too high.

This problem especially occur, on Minor Currency-Pairs (e.g. AUDCAD with a spread of 8 Pips (=80 Pippettes)) when
  • Low market liquidity
  • High market volatility
  • Rollover time
  • Unexpected news
  • Reports published

In Build 121 there is no possibility to add a spread filter to the generated EAs.

Possible solution: A solution would be to able to add a spread filter rule to generated EAs (e.g. if average spreads for the last 30 seconds are > 2 pips --> do not trade!)

Backtesting with "real ticks - real spreads" should take take this into concern, so the backtest results should be correct.
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  • Votes +6
  • Project StrategyQuant X
  • Type Feature
  • Status Refused
  • Priority Normal

History

KA
#1

KlausA

07.05.2019 15:39

Task created

GS
#2

glenn

07.05.2019 15:55
Voted for this task.
Rr
#3

Partizanas

07.05.2019 16:10
Voted for this task.
m
#4

mabi

08.05.2019 09:40
This code exists , what is that for ?            

int sqMaxEntrySlippage = 5;          //zero means unlimited slippage
int sqMaxCloseSlippage = 0;          //zero means unlimited slippage

Dw
#5

Diwi

08.05.2019 12:21
Voted for this task.
m
#6

mabi

08.05.2019 13:36
if this should be in the code it must be disabled by default.
h
#7

hankeys

08.05.2019 18:28
Voted for this task.
h
#8

hankeys

08.05.2019 18:29
this is only slippage control in pips, so for most of trades it will be OK...the average slippage for all pair is something like 0.5 pips
m
#9

mabi

08.05.2019 23:09
Hmm.. I only find stop and limit orders using SQX, Maybe i found one or 2 with market orders in earlier beta versions. Since this is the case this function has no merit since you cant see the slippage in the future  :).. 
VO
#10

GRoundofInferno

09.05.2019 23:02
Voted for this task.
b
#11

bentra

18.07.2019 11:02
Your presentation is much nicer than mine but this is a duplicate:
https://roadmap.strategyquant.com/tasks/sq4_4184

Mabi, the mql slippage controls don't work with ecn brokers anyways. But this request is about the spread, not the slippage. spread=ask-bid. 
b
#12

bentra

19.07.2019 07:58
Voted for this task.
MF
#13

Mark Fric

24.09.2020 13:26

Status changed from New to Refused


Votes: +6

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