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Explanation of settings - spread, duplicate ticks, etc

PostPosted: Wed Jun 08, 2016 12:24 pm
by SzabolcsTrader
Hi Tickstory,

I turn to you with a more complex question. I'd really like to know the advantages and disadvantages of the following settings: 1, include weekends, 2, supress volume info, 3, filter duplicate ticks, 4, embed spreads Also, suggestions when they are in favor to use them. I'd really appriciate your help with that.

Regards,
Szabolcs

Re: Explanation of settings - spread, duplicate ticks, etc

PostPosted: Wed Jun 08, 2016 10:08 pm
by tickstory
Hi SzabolcsTrader,

In response to your questions:

1. Include weekends - when checked, all available data is exported. Otherwise, non-trading hours data is filtered between Friday 22:00hrs to Sunday 21:00hrs UTC (in most cases, Dukascopy has no data between these periods however there may be occasions where there is).
2. Suppress volume info - Stops trading volume information being exported to the exported data file. Most users do not need this option and if you have specific reason for not wanting to see volume data, it's there ;)
3. Filter duplicate ticks - When checked, it filters out all ticks that are the same price and that have occurred in sequence. If your EA is not sensitive to the number of ticks, removing duplicates can speed up your back-test and reduce your data file size. See more here: viewtopic.php?f=5&t=66.
4. Embed spread - This feature allows you to test with variable spread when combined with Birt's TDS (https://tickstory.com/product/birts-tick-data-suite). Testing with variable spread may yield more accurate results and/or help test your EA for its sensitivity to varying spread values.

Don't forget that this forum is also a wealth of information - you can search for some of these topics to find further discussion and help!

Regards.

Re: Explanation of settings - spread, duplicate ticks, etc

PostPosted: Wed Jun 15, 2016 5:12 am
by sydap2003
So if we want to back test with variable spread using TDS, we tick the Embed box on Data Export tab; but what about the Spread setting on the Symbol Properties in the Metatrader Info tab?? Do we leave that at the default ?

Re: Explanation of settings - spread, duplicate ticks, etc

PostPosted: Wed Jun 15, 2016 9:05 am
by tickstory
Hi - once you have embedded spread, the spread is determined as follows:

- If you are using TDS, variable spread is used, otherwise;
- If you are using Tickstory launcher, fixed spread is used as set in the Strategy Tester "spread field".
- The "spread" field in the Export MT4 Settings tab is no longer used by the later versions of the Strategy Tester, although the field remains there for backward-compatibility purposes.

Regards.

Re: Explanation of settings - spread, duplicate ticks, etc

PostPosted: Thu Jun 16, 2016 6:20 am
by sydap2003
OK, understood.

But so if I have just downloaded tick data without having ticked the Embed, do I need to re-download all the data if I want to use TDS to launch and test with variable spread?

Re: Explanation of settings - spread, duplicate ticks, etc

PostPosted: Thu Jun 16, 2016 8:13 am
by tickstory
Yes, if you have exported without embedding variable spread previously you will need to regenerate your exported data with the option checked.

Re: Explanation of settings - spread, duplicate ticks, etc

PostPosted: Mon Jun 20, 2016 1:26 am
by sydap2003
Still trying to sort out using TickStory with Birt's TDS. Had problems on the weekend and emailed Birt who gave the following answer.
"No, it's not automatic. I cannot provide assistance for Tickstory but I know it supposedly has something for variable spread. The recommended way is to export the data as a CSV and then use the CSV2FXT script, where you can enable the "Use real spread" option.

So I have 3 questions.

1. Can we really use Export to MT4 from TickStory as the means of downloading and converting tick data from csv; and then have Tickstory automatically engaging TDS in MT4 if we have placed TDS in MT4 ?

2. When we use variable spread for back testing, are we relying on the variation in spread on Dukascopy? If so, how will that compare to variable spread on a different broker when we forward test?

3. Which spread setting should we use on Strategy Tester when back testing with variable spread? Use "Current"? You say elsewhere that the Strat Tester spread setting overrides any setting we might have placed in the download. So does it also override the variable spread if we say set Strategy Tester Spread to 20 or 30 rather than "Current"?

Re: Explanation of settings - spread, duplicate ticks, etc

PostPosted: Mon Jun 20, 2016 12:10 pm
by tickstory
Hi Sydap2003,

In response to your questions:

1) You have 2 options to utilise the variable spread functionality of TDS. First is to 'Export To MT4' with 'embed spread' checked (much easier) or 'Export to File' and then select "Birt's CSV2FXT" script. Both should yield similar results, however obviously depending on which method you choose you will need to follow up with the correct vendor.

2 & 3) Please see viewtopic.php?f=4&t=1070 and follow up with any unnswered questions relating to variable spread here.

Thanks.