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Tick Size not honoured in strategy (and prices incorrect)

9 replies

Smersh

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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?

 

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tomas262

Administrator, sq-ultimate, 2 replies.

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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?

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Smersh

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7 years ago #141261

No change.

Stop orders.

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tomas262

Administrator, sq-ultimate, 2 replies.

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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]

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Smersh

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7 years ago #141394

Plz see attached data file.

 

thanks

 

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tomas262

Administrator, sq-ultimate, 2 replies.

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7 years ago #141459

Hello,

 

thanks, which testing engine do you use in SQ for the data? MT or NT?

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Smersh

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7 years ago #141471

MT

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tomas262

Administrator, sq-ultimate, 2 replies.

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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

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Smersh

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7 years ago #141708

What version of SQ are you testing on?

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tomas262

Administrator, sq-ultimate, 2 replies.

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7 years ago #141728

Mine is the latest 3.8.1

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