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[B135] "Slippage" is being ignored if using real tick (real spread) in builder

If using real tick (real spread) mode with real tick data in the builder, the "Slippage" setting is being ignored completely. There is no slippage taken from the entries/exits like in the other methods - it always gives perfect entries/exits (100% match to if running the strategy on the same tick data in MT5 with 0ms execution delay). However, 0 slippage is far from reality, even if using real tick data. So the "Slippage" setting should also work if using real tick (real spread) mode.
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  • Votes +5
  • Project StrategyQuant X
  • Type Bug
  • Status New
  • Priority Normal

History

g
#1

geektrader

15.01.2022 05:20

Task created

g
#2

geektrader

15.01.2022 05:20
Voted for this task.
Rr
#3

Partizanas

15.01.2022 09:09
Voted for this task.
b
#4

bentra

17.01.2022 09:14
Voted for this task.
b
#5

bentra

17.01.2022 09:17
I noticed that as a workaround, it's possible to get slippage if using the MM feature. For instance, the main data can be m1 or selected timeframe accuracy or w/e and you can have an addition mm test of the same symbol with every tick accuracy. In this case, I noticed slippage does get added to the every tick accuracy test as an additional market test.

Still a bug, still needs to be fixed obv.
l
#6

Loonly

18.01.2022 08:27
Voted for this task.
l
#7

Loonly

18.01.2022 08:50
it's not ignored on  simple retest.
where you mean it's ignored ? 
g
#8

geektrader

18.01.2022 09:06

Attachment Untitled.png added

Untitled.png
Untitled.png
(45.60 KiB)
@loonly: Exactly as described in the initial description of the bug.
l
#9

Loonly

18.01.2022 09:43

Attachment slippage 02.png added

Attachment slippage 05.png added

slippage 05.png
slippage 05.png
(79.71 KiB)
slippage 02.png
slippage 02.png
(80.51 KiB)
By my side it works:


g
#10

geektrader

18.01.2022 11:31
try with mt5 engine and limit orders. Despite the believe that limit orders have no slippage, they do have slippage as most fx brokers handle them as market orders once activated.
l
#11

Loonly

18.01.2022 12:43

Attachment MT5 hedged 0 slip.png added

Attachment MT5 hedged 06 slip.png added

MT5 hedged 06 slip.png
MT5 hedged 06 slip.png
(89.76 KiB)
MT5 hedged 0 slip.png
MT5 hedged 0 slip.png
(89.89 KiB)
i tryed, even with LIMIT orders, slippage is computed correctly.

MT4 / MT5 edged  in both way.

so on my side there is no issue with slippage in B135 adn dukasdata ticks....

what is really suprised me, is that retest engine can make a small difference (MT4 engine vs MT5 engine edge) so i will open a ticket for this...

l
#12

Loonly

18.01.2022 14:46
@

geektrader

  maybe the issue is ICM tick data ?
g
#13

geektrader

18.01.2022 16:23

MT4/MT5 engines always worked slightly differently, you can also see that if comparing strategies between MT4/5 that have been coded exactly the same, independent from SQX. That´s in the nature of both platforms. That´s the reason SQX has implemented the engines for both of them separately so that we get an accurate 100% match between the SQX backtests and MT4/5.


Anyhow, clearly the slippage is not taken into account here, and not sure how the tick-data should affect this, but if that is the reason, it needs to be fixed as well.


l
#14

Loonly

18.01.2022 16:33
slippage works, did u see my screens?


g
#15

geektrader

18.01.2022 16:51
It doesn´t here, I can set it to 10 pips and the backtests still look exactly the same, as already mentioned. I am talking about the Builder actually, not the Retester. SQX team needs to investigate this.
E
#16

Emmanuel

29.01.2022 14:51
Voted for this task.
Votes: +5

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