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Re: 1.79 - Spread and marketVal() in test mode
[Re: Zheka]
#472107
04/08/18 16:43
04/08/18 16:43
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Joined: Dec 2013
Posts: 568 Fuerth, DE
Sphin
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Fuerth, DE
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Good point. I don't think there is any slippage involved. If I read the log right it seems the trades are opened the or next second the threshold's break was found: 2018-04-02 11:58:33.4425 AssetA: EURUSD_AT, PriceA: 1.23424, SpreadA: 0.00000, CommissionA: 0.00007 AssetB: EURUSD_FXCM, PriceB: 1.23382, SpreadB: 0.00001, CommissionB: 0.00007 Difference: 0.00042, Threshold: 0.00038 [EURUSD_AT::S1901] Short 1@1.23414 at 11:58:33 [EURUSD_FXCM::L1902] Long 1@1.23401 at 11:58:33 [...] 2018-04-02 13:24:36.8495 AssetA: EURUSD_AT, PriceA: 1.23296, SpreadA: 0.00000, CommissionA: 0.00007 AssetB: EURUSD_FXCM, PriceB: 1.23332, SpreadB: 0.00000, CommissionB: 0.00007 Difference: -0.00036, Threshold: 0.00035 [EURUSD_AT::L0501] Long 1@1.23303 at 13:24:37 [EURUSD_FXCM::S0502] Short 1@1.23313 at 13:24:37 [...] 2018-04-02 13:47:54.9835 AssetA: EURUSD_AT, PriceA: 1.23185, SpreadA: 0.00000, CommissionA: 0.00007 AssetB: EURUSD_FXCM, PriceB: 1.23232, SpreadB: 0.00003, CommissionB: 0.00007 Difference: -0.00047, Threshold: 0.00043 [EURUSD_AT::L2801] Long 1@1.23177 at 13:47:55 [EURUSD_FXCM::S2802] Short 1@1.23220 at 13:47:55 [...] Slippage and Fill have default values, so there should be 5 sec slippage as you mentioned, maybe there is another treatment when trading on .t1?
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Re: 1.79 - Spread and marketVal() in test mode
[Re: Zheka]
#472144
04/11/18 11:38
04/11/18 11:38
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
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Posts: 129
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I wonder what the reason is for spread difference between Trade and Test of ActiveTrades?
When it comes to TEST: Does marketVal() return correct values? Are they in line with your own calculation?
The same questions for TRADE: does spread that is returned by the broker is in line with your calculation based on ticks?
Last edited by kujo; 04/11/18 11:45.
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Re: 1.79 - Spread and marketVal() in test mode
[Re: kujo]
#472145
04/11/18 16:03
04/11/18 16:03
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Joined: Dec 2013
Posts: 568 Fuerth, DE
Sphin
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The time differences are marginal, these are the corresponding ticks from AT:
2018.04.02 11:58:33.441 1,23424 2018.04.02 13:24:36.848 1,23296 2018.04.02 13:47:54.982 1,23185
I don't know if marketVal() return the right values, if I regard the ticks from above again and verify them against the last bid price, I calculate the following:
2018.04.02 11:58:33.441 1,23424 2018.04.02 11:58:33.441 -1,23419 (2018.04.02 11:58:32.988 1,23425) (2018.04.02 11:58:32.988 -1,23419) => calculated spread: 0.00005, spread by marketVal(): 0.00000
2018.04.02 13:24:36.848 1,23296 2018.04.02 13:24:36.848 -1,23291 (2018.04.02 13:24:35.364 -1,23291) => calculated spread: 0.00005, spread by marketVal(): 0.00000
2018.04.02 13:47:54.982 1,23185 2018.04.02 13:47:54.982 -1,2318 (2018.04.02 13:47:54.482 1,23186) (2018.04.02 13:47:54.482 -1,23181) => calculated spread: 0.00005 (0.00004), spread by marketVal(): 0.00000
Ticks in parentheses are the ticks before because jcl meant the bid price before could be significant, but in no case I come to the values marketVal() returns. There can be 2 reasons: I calculate wrong or marketVal() calculates wrong.
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Re: 1.79 - Spread and marketVal() in test mode
[Re: Sphin]
#472150
04/12/18 13:22
04/12/18 13:22
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
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Posts: 129
Halifax, NS
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Hmm, it should be easy as 1,2,3. It looks like a bug. Have you written to support about marketVal()? How they explain zeros? Do you use the latest beta version?
Last edited by kujo; 04/12/18 13:23.
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