Problem with GBR.IDX (UK100) MT5 export.

Historical data from European markets.
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machtucker
Posts: 3
Joined: Fri May 06, 2022 3:53 pm

Problem with GBR.IDX (UK100) MT5 export.

Post by machtucker »

Hi,

I have recently upgraded and downloaded the GBR.IDX data for MT5. All seemed to work OK but the spreads seem huge - In the order of thousands when they should be single digits. Am I doing something wrong?

I've compared the data with the data provided by my Broker (Darwinex) and they are 3 orders of magnitude different.

I've tried comparing the same thing for EURUSD and they look in the right ball park.

Any help would be appreciated.

Many thanks,

E

tickstory
Posts: 4410
Joined: Sun Jan 06, 2013 12:27 am

Re: Problem with GBR.IDX (UK100) MT5 export.

Post by tickstory »

Hi Machtucker,

Here is a sample of the raw exported tick data from Tickstory for GBR.IDX:

Code: Select all

Timestamp,Bid price,Ask price,Bid/Ask Spread
20220501 22:37:54:164,7435.407,7441.593,6.18599999999969
20220501 22:37:55:986,7435.189,7441.405,6.21599999999944
20220501 22:37:56:345,7434.974,7441.19,6.21599999999944
20220501 22:37:56:509,7435.204,7441.414,6.21000000000004
20220501 22:37:56:824,7435.374,7441.501,6.12700000000041
20220501 22:38:02:855,7435.583,7441.79,6.20700000000033
For your reference, the export was created with the following tick format:

Code: Select all

{Timestamp:yyyyMMdd} {Timestamp:HH:mm:ss:fff},{BidPrice},{AskPrice},{BidAskSpread}
You might also cross-check the raw data exported from Tickstory to make sure it shows the same. If so, perhaps it is the case that your MT5 symbol has the incorrect setup which is causing your problem.

Thanks.

machtucker
Posts: 3
Joined: Fri May 06, 2022 3:53 pm

Re: Problem with GBR.IDX (UK100) MT5 export.

Post by machtucker »

Hello,

Thank you for replying so swiftly.

I didn't mention in my OP that I am trying to download 1 minute bar data and not tick data. Can you see if you are getting unusually large spreads for the 1 minute bar data when selecting the output format Metartrader 5 bar format?

Many thanks for looking into this problem,

Ed

tickstory
Posts: 4410
Joined: Sun Jan 06, 2013 12:27 am

Re: Problem with GBR.IDX (UK100) MT5 export.

Post by tickstory »

Hi Machtucker,

Thanks for the further detail. The MT5 exported data includes the token {BarMaxSpreadInt} which represents "The maximum spread that occurred within a bar, expressed as an integer." (see here in our manual). The data looks like this:

Code: Select all

20220501,22:37:00,7435.407,7435.407,7434.974,7435.374,5,5,6216
20220501,22:38:00,7435.583,7435.886,7430.877,7431.592,54,54,6246
20220501,22:39:00,7431.81,7436.313,7431.583,7433.299,60,60,6249
20220501,22:40:00,7432.692,7434.599,7430.477,7434.599,59,59,6249
20220501,22:41:00,7433.583,7434.683,7432.674,7432.799,50,50,6243
20220501,22:42:00,7431.786,7435.013,7431.786,7434.098,34,34,6249
If these amounts are throwing you off, you will need to either:

- Use the token {BarMaxSpread} in your export (which is the unadjusted max spread that occurred in the bar)
- Modify your EA so it adjusts the spread internally before using it in calculations.

Hope this helps.

machtucker
Posts: 3
Joined: Fri May 06, 2022 3:53 pm

Re: Problem with GBR.IDX (UK100) MT5 export.

Post by machtucker »

Thanks, I will do some comparison tests. The spread values just look ridiculously high for the 1 minute data to me. I will download the raw tick data to investigate further.

Thanks,

Ed

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