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I didn't create an unnecessary thread as the topic of discussion is related to the sub-genre. However, I will draw a red line to make it immediately clear that there is no need to read BEFORE it.
THE DISCUSSION UP TO THIS POINT HAS NOTHING TO DO WITH THE ONE AFTERWARDS.
Forum on trading, automated trading systems and trading strategy testing
Bugs, bugs, questions
fxsaber, 2017.04.07 17:21
Expert Advisor for the tester (Metaquotes-Demo)Result
Limit sliding on stock symbol - BAG!
fxsaber
Limit sliding on a stock symbol is a BAG!
On what basis are these conclusions?
Let's assume the current market is 114300 / 114280.
You set a limit order to buy limit 114250. Someone in the market decided to sell at a guaranteed price and set a sell limit of 114200, as a result he has collected all buy limit orders in the range of the market to 114200.
This is quite a normal situation in the stock market.
fxsaber
1. it is clear.
2. What do you mean "only"? For those who trade on the exchange will be disagree, to put it mildly. By the way they have already been dissenting.
fxsaber
I suggest this discussion be taken to the public. As you have some knowledge and experience, I have others. How they correlate with the others can only be seen in public. Do you support me?
In this case, "taking it to the public" won't do anything - there is an objective reality - stock market work, it doesn't depend on appealing to the majority. The decision was not made for nothing, but on the basis of requests from those who actually trade on the exchange.
Here's the talk.
The developers claim that if you send a sell limit on an exchange at a price worse than the current price, the best buy limits will be executed with positive slippage. I don't agree with that.
It is not clear on what logic the developers conclude that slipping limit orders (as good as the market) in the TESTER is OK.
Obviously one viewpoint is wrong. I would be grateful if people would comment constructively on this topic.
here? https://www.metatrader5.com/ru/terminal/help/general_concept#order_type
i.e. in this case the sell limit will not execute worse than114200, and will collect all the buy limit above, but it turns into a market order, why does it affect the buy limit? it is at the best price for the sell limit, which is within the definition of a limit order (at a price no worse than the one specified) at which the sell limit will be executed.
fxsaber
Limit sliding on the stock symbol is BAG!
What is the basis for such conclusions?
Suppose the current market is 114300 / 114280.
You place a limit order to buy limit 114250. Someone in the market decided to sell at a guaranteed price and set a sell limit of 114200, as a result he has collected all buy limit orders in the range of the market to 114200.
This is a quite normal situation on the exchange market.
@kaus_bonus, @Vasiliy Sokolov,@Dmitriy Skub, Thank you!
I agree. I jumped the gun on this example.
Consider a case like this:
Here is such an Expert Advisor:
I.e. we open and close with limit orders 1000 pips better than the market (price above ask for Buy Limit, and price below bid for Sell Limit).
Here is how a deal chart will look like in the case of execution without slippage:
And this is how it will look when executed with a slippage:
Let's try to think how to combine the correct operation of both options.
We have made the necessary changes to correctly handle both cases of limit orders in exchange mode - better than market and worse than market.
To be available after the update of MetaQuotes-Demo in the next few days.
We have made the necessary changes to correctly handle both cases of limit orders in exchange mode - better than market and worse than market.
It will be available after the MetaQuotes-Demo update in the next few days.
Forum on trading, automated trading systems and testing trading strategies
FORTS. Questions on execution
fxsaber, 2017.02.22 23:32
Quoted limiters must be executed in the tester exactly at the stated price.
Execution-limits - at the price of the tick on which it is set (SellLimit - Bid, BuyLimit - Ask), as if they are not limits, but marques.
Will there be this logic?
Quoted limiters must be executed in the tester exactly at the quoted price.
Yes