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.
Thank you,
Giuseppe Piloni
on demo accs there are gaps filling, but not on real accounts
i think it should be resolved but dont check this out
This is part of a wider issue with trade execution for SQX strategies.
You need to use the Time Range From and Time Range To settings in Trading Options to mitigate this issue.
IMPORTANT: Make sure to set Bars Valid Max to 1 under Order Types (part of Building Blocks) for Enter At Stop and Limit orders, or orders will open outside the time range you set for SQX backtests and in live trading!
i dont want to have strategies only with some time range and bars valid to 1 - because bars valid set to 1 means one thing - every candle you will be sending to platform another 1 or 2 orders - so your platform will be everytime under pressure
there cant be trades filled to the gaps - this is the esence of the reliable backtest
Attachment gap.jpg added
trade is fillend in the gap, where the price wasnt
it should be filled on the open price of the candle - not in the empty space - this is behavior of demo account, not reliable backtester
Status changed from New to Fixed
Attachment realistic_gaps_handling.png added
In MT5 it fills orders at real price.
if i try this strategy with MT5 engine, SQX still fills to the gap
This was fixed for MT4 engine. Are you saying that it behaves like this also for MT5 engine?
I haven't tested it for MT5, but I looked at the code and if I'm not mistaken it uses real tick price in MT5 engine, so this shouldn't happen.
If it does do you have a strategy and data whene I can quickly see it?
Attachment DE_15_801500125_S_LD_SQ3.sqx added
if i take this strategy and retest it for the MT5(hedged) the gap filling is still there (ticket 1365)
Status changed from Fixed to Fixed, to be tested
data https://mega.nz/file/9wARyKCB#2qgPTHeq5NwfjH4y0cmqq43z-2m-d5GOP6RMj6kK10k