Add spreads to M1 data and incorporate these spreads into builder / backtesting

Please add spreads to M1 data.



This is available in MT5 M1 data and there is no reason for this not to be available in SQX data.


This will enable us to conduct more accurate higher precision cross-check testing using the M1 timeframe without needing to download enormous tick data files.


Current higher precision testing does NOT take into account widening spreads around rollover and many strategies that should fail outright end up passing.


The builder can also benefit from this, even when using "selected timeframe" as there can still be an average spread per bar e.g. when building on H1 timeframe the bar before and the bar after rollover will have a higher average spread and this can be accounted for during building and further filter rubbish strategies from passing.

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  • Votes +10
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

JK
#1

Insanity82007

23.07.2021 13:11

Task created

JK
#2

Insanity82007

23.07.2021 13:14
Voted for this task.
JK
#3

Insanity82007

23.07.2021 13:18
For each M1 bar (and higher timeframes) this can be based on:

1. Median spread for each bar

2. Average spread for each bar

3. Median Max spread for each bar (for worst case scenario testing)


These can also potentially be optional for us too


b
#4

bentra

23.07.2021 17:19
Voted for this task.
k
#5

Karish

23.07.2021 20:17
Voted for this task.
JH
#6

Jabezz

25.07.2021 06:20
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Rr
#7

Partizanas

30.07.2021 12:24
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IN
#8

altenburg90

11.08.2021 04:44
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m
#9

Martin

22.08.2021 12:42
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VH
#10

anttropus

02.11.2022 09:17
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KB
#11

kbtech

28.03.2023 20:27
Voted for this task.
t
#12

tofu

28.03.2023 21:33
Voted for this task.

Votes: +10

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