MT5 Tick Data (incl. Volume) compared to Exchange Data --> How reliable is backtesting?

New comment
 

Hello!

BTC volume data

the first part of the image shows 1-min OHLC and Volume data for BTC/USD downloaded from Binance website. Second part shows Tick Data for BTC downloaded via MT5 itself. Trading is via Crypto Exchanges and not via CFDs. What stands out for the MT5 Tick data is:

  • There is only volume available 1-3 times per minute. Here, for min 01:00 there is only volume at 01:57 and for min 02:00 there is only volume at 02:55
  • The volumes are always very round decimal values such as 100.000.000 or 200.000.000 etc.
  • The volume summed up for min 01:00 equals 104.500.000.000. This is the volume I also see in the backtester (D1). So that's at least fine

I asked my broker why there is such a big difference in the data and the answer is as follows:

"We broadcast the average price of bitcoin from different crypto exchanges and therefore the volumes of transactions do not match"

I am not quite sure what it means though.


I also checked the MT5 Tick data for big stock companies such as Apple and Google and there the volumes are also very round decimal values such as 100.000.000.000 and 500.000.000 but at least there is volume mostly at each second and not only 1-3 times per minute.


So, now I am wondering how reliable a backtest based on "Every tick based on real ticks" is really when there is only volume avaiable once per minute?

I mean even though the volume looks strange to me it is still high enough to backtest with a beginning balance of 10k or even 100k but if volume is only available once per minute I am not sure how it really affects the backtesting. I only trade D1 and set stop loss to previous candle lows/close prices

Any comments on that? Thank you very much!


 
OHLC ,Volume data and  MT5 Tick data are not reliable . you need a filled orders (deals) data and   market depth books ( order books )
New comment