Tick Size not honoured in strategy (and prices incorrect)
9 replies
Smersh
7 years ago #116248
I note that the Tick Size not is honoured when a strategy is run.
A trade in Silver with a tick size of 0.5. Open at 1611.6 and closed at 1605.3 (see attached)
Here is the corresponding market data that was imported to SQ.
2016/12/21,12:47:00.000,1611.5,1611.5,1611.5,1611.5,1
Also here’s the data for the closing trade at 1605.3
2016/12/21,15:53:00.000,1603.0,1603.0,1603.0,1603.0,1
Why is that so far off the actual price of 1603.0?
The spread was set to 2 and the Market Slippage was 1. I assume this is in ticks?
I see that in the MT4 and NT code there is correct rounding code exists but not in the pseudo code.
How do the fictitious prices arise?
tomas262
7 years ago #141254
Hello,
what happens if you set spread and slippage to 0? Do you get correct entry/exit prices? What order type is used in the strategy?
Smersh
7 years ago #141261
tomas262
7 years ago #141344
Hello,
could you provide a sample (few days) of the silver data? I can test some strategies with that. You can also send to [email protected]
Smersh
7 years ago #141394
tomas262
7 years ago #141459
Smersh
7 years ago #141471
MT
tomas262
7 years ago #141540
Ok, I have tested it using the market, stop or limit order, profit-targets and stop-loss and SQ is respecting the prices .0 and .5 when slippage and spread are set to 0
Smersh
7 years ago #141708
What version of SQ are you testing on?
tomas262
7 years ago #141728
Mine is the latest 3.8.1
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