there is a big problem when there is a gap by the close to the open of a new day. For example we trade the DAX30, and in the attached picture you see a big gap between close and open of the following day. If there is a buy stop on the last candle of the previous day with a stop price between the close and the open, it is executed at this stop price, but this is not correct! In theory the order should be executed at the open price, not at the stop price.
The problem is that the backtest overestimate the trade: SQX believes that the order is executed at a better price than reality. I loss many euros understanding this problem with the real trading, sigh..
It's important to fix this issue: many backtest are overestimated, because of this issue.
Attachment gap.jpg added
Status changed from New to Fixed
Attachment realistic_gaps_handling.png added
Attachment DE_15_801500125_S_LD_SQ3.sqx added
Status changed from Fixed to Fixed, to be tested
Status changed from Fixed, to be tested to In progress
Status changed from In progress to Fixed