Error of slippage calculation between Multicharts and SQX

When comparing the backtest reports between MC and SQX, it was found that there were often large errors.Upon inquiry, the MC technician. The reason is thatMC does not calculate the slippage for limit order and stop limit order  by default . This is consistent with live trading. So when you have a limit order entry or a ProfitTarget exit in your strategy, the backtest results between MC and SQX become very inconsistent.Of course, in special cases, you can also change the default setting to caculate slippage for all orders in MC.Below is the official reference URL. 

https://www.multicharts.com/discussion/viewtopic.php?t=49579

I have verified this. I think the Tradestation is probably the same.Therefore, it is suggested that slippage calculation in SQX should be  changed to the same logic by default. Of course,it should be add an option:
caculate slippage for all orders

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  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status New
  • Priority Normal

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b
#1

binhsir

30.11.2022 13:19

Task created

b
#2

binhsir

30.11.2022 13:20
Voted for this task.
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#3

anttropus

30.11.2022 13:26
Voted for this task.
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#4

Emmanuel

30.11.2022 15:19
Voted for this task.
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#5

binhsir

10.02.2023 09:23
to develop team:

This task is related to SQ4_9840 for reference. All to improve the efficiency of the backtesting results consistency check between SQ and MC

 https://roadmap.strategyquant.com/tasks/sq4_9840


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