Impossible Trade Multicharts

I have a strategy that has a close stop trade at price that has not been reached.

I 'm referring to trade that happened at 10.01.2017 23:00.

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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal




07.11.2019 01:31

Task created



07.11.2019 01:32

Description changed:

I have a strategy that has a close stop trade at price that has not been reached.

I 'm referring to trade that happened at 10.01.2017 23:00.


Tomas Brynda

07.11.2019 14:24

Status changed from New to Waiting for information

Hi CoolerNax,

I tried to retest your strategy on BTCUSD data downloaded from coinbase. I used exactly the same settings, but got different results.

Can you attach your history data or specify which data sources you used?

Best regards,




07.11.2019 14:39

Attachment 4.png added


Tomas Brynda

07.11.2019 15:27

Status changed from Waiting for information to In progress

Thank you, we will investigate it further

Mark Fric

08.11.2019 12:49

Status changed from In progress to Refused

problem is in your definition of BTC instrument.

Bid price at 10.01.2017 23:00 is  911.0, spread is 8, so Ask price is 911 + 8 = 919.

You see Bid prices on chart, not Ask prices.

I think your definition of instrument is wrong. Spear id in pips, so if you have Pip/Tick size = 1, then spread=8 means 8 full points. That doesn';t seem correct to me.

And Pip/Tick Step is also incorrrect I think, I can see that the minimal move in your data file is 0.01, and this should be your Pip/Tick step.




08.11.2019 14:35

My exchange uses 5 significant digits size for bitcoin and there no such thing as step.

It looks like this as price grows:

1.1111 - min movement is 0.0001 

11.111 - min movement is 0.001

111.11 - min movement is 0.01

1111.1 - min movement is 0.1

11111 - min movement is 1

I can't backtest old data (before 2016) because tick size between old data and new data is too different and strategy quant uses static instrument size.

I have chosen this sizer 1111.1 - min movement is 0.1 as the most relevant.

I expected spread to be in steps instead of sizes.


Mark Fric

08.11.2019 14:54
you should use the smallest all-time value for step, it shouldn't matter that it was changed over time.

Spread is in pips, not in minimal steps



08.11.2019 15:56

Attachment 5.png added

Attachment 5.png deleted

Attachment 5.png added

This is my new settings.

Does it look ok for you?



08.11.2019 16:33
BTW I don't think it is correct you use imported data as Bid price.

Because it is combined data.

So from my point of view :

   bid should be imported - spread / 2

   ask should be imported + spread / 2



08.11.2019 17:50

Attachment 5.png added

Updated once more.

Does it look ok for you?

Commission is correct too?



10.11.2019 23:44
After more testing of the spread, I'm considering to set spread to zero in building and testing.

And to use it only in single spread robustness test.

I would like to hear you feedback about this.

The way it is implemented right now seems wrong to me.

Because it can cause such impossible trades.

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