Limit order slippage statistics on the exchange - page 2

[prostotrader]

fxsaber:

In MT5 there is a great feature to determine the slippage of pending orders from the history. In particular, limit orders.

I would like to ask your real traders to share the statistics of slippage of your limit orders on the exchange. From the laws of exchange execution it follows that limit orders on the exchange actually cannot be executed with slippage (there are nuances between sessions - not the point). The developers in the tester have made it so that there limit orders get good slippage all the time in favour of the client.

Share your stats to see how it actually happens. Thank you!

If there is no slippage (or close to zero) then the tester is, to put it mildly, not accurate.

The "slippage" of a limit order depends on the speed of execution of the trading orders of the platform,

speed of your Internet connection, power of your PC running the terminal and market activity.

Therefore the "statistics" will not be accurate.

[fxsaber]

prostotrader:

The "slippage" of a limit order depends on

It does not depend.

[prostotrader]

fxsaber:
It doesn't.

Then why do you ask if you know everything yourself?

By the way, if you don't mind, give me a piece of code on how you set a limit order

(Maybe you have the wrong idea of a limit order)

[fxsaber]

prostotrader:

Then why do you ask if you know everything yourself?

By the way, if you don't mind, give me a piece of code on how you set a limit order

(maybe you have the wrong idea of a limit order)

I was talking about the tester. There will be examples as soon as I can be online in the terminal.

[prostotrader]

fxsaber:
It was about the tester. There will be examples as soon as I can be online in the terminal.

What is the difference between OrderSend() or OrderSendAsync() in the tester and in the real world?

[fxsaber]

Vasiliy Sokolov:

Screenshots and logs in the studio. Prices of pending orders with their actual triggering prices. + Preferably a test code to reproduce the results.

For some reason I can not register on the site GosServices to open an exchange account. I request (to those who think it is possible) to give investment access for a day to the account, where it would be possible to download the tick history of the real. Then offline I could then prepare everything from my side and show the work of the tester discussed in this thread.

[fxsaber]

fxsaber:

In MT5 there is a great feature to determine the slippage of pending orders from the history. In particular, limit orders.

I would like to ask your real traders to share the statistics of slippage of your limit orders on the exchange. From the laws of exchange execution it follows that limit orders on the exchange actually cannot be executed with slippage (there are nuances between sessions - not the point). The developers in the tester have made it so that there limit orders get good slippage all the time in favour of the client.

Share your stats to see how it actually happens. Thank you!

If there are no slippages (or close to zero) then the tester is not accurate, to put it mildly.

https://www.mql5.com/ru/code/16134

[fxsaber]

In the "based on real ticks" mode the positive slippage of limit orders is about 50% higher than in the "based on generated ticks" mode.

This results in a mishap - we introduced real ticks to increase the accuracy of the tester, but introduced positive slippage of limit orders, artificially hovering over the backtest results.

On the exchange, limit orders do not slip, but are executed exactly at the order price. But this is not the case in the tester.

This bug can be avoided using the library described in the link above. But this is a crutch solution. It makes sense when the tester itself works accurately.

I'm asking forum members for their opinions on this subject. Since, for obvious reasons, the opinion of one member of the community is poorly taken seriously by the developers.

[pivomoe]

fxsaber:
For a number of reasons, I cannot register on the GosServices website to open a stock account. I request (to those who think it is possible) to give investment access for 24 hours to the account, where I could pump out the tick history of the real. Then offline I could then prepare everything from my side and show the tester work discussed in this thread.

Download the terminal from the BCS. At the account selection stage, select a live account. Create a certificate. You now have access to a real account with a zero balance.

This is about the slippage of the Limit order. In OHLC mode, the orders do not slide on m1. The details are in the description of mt5 versions.

[fxsaber]

pivomoe:

Download the terminal from the BCS. At the account selection stage, select a live account. Create a certificate. That's it now you have access to a real account with a zero balance.

Thank you!"You needan account on the gosuslugi.ru portalto register."

Regarding sliding limit orders. In OHLC mode on m1 orders do not slide. The details are in the description of mt5 versions.

OHLC m1 mode is much worse in accuracy than real ticks mode. Limit orders should not slide in the tester as a matter of principle.