Tickstory Spread Export Clarification

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Autonomous
Posts: 2
Joined: Fri May 28, 2021 4:08 pm

Tickstory Spread Export Clarification

Post by Autonomous »

There are 3 areas where spread is referenced for back testing. I would like clarification on how spread is used as they relate to on another.

The fist place spread is calculated is in the broker file configuration used in the "Export to MT4" function under the "Help" tab as a *.mt4config file loaded during export to apply broker settings to your data. Inside the file are broker settings that show a spread value per symbol per the example below.
Symbol_AUDCAD_Spread=10.00

Is this spread applied to the exported data for each order generically?

Does the user manual statement below mean the spread from the broker file is no longer utilized or recommended?
NOTE: The 'Spread' field was used in earlier Metatrader versions (circa pre-2015) and has now been obsolesced in favour of a “Spread” field on the Strategy Tester's parameter screen. This new spread field in the Strategy Tester allows you to change the spread easily between back-tests. Therefore, setting the Spread field within Tickstory no longer has any effect for the latest Metatrader versions and can be ignored. It remains available in Tickstory for backward compatibility with earlier versions of Metatrader only.

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The second place spread is mentioned is in "Export to MT4" function in the "Data Export" tab as a checkbox called "Embed spread + plus extra padding of 0".

By checking this box am I embedding broker spread as listed in the *.mt4config file process above and adding any padding I define in the box?


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The third place spread is mentioned is in the MT4 backtest. Obviously this setting is dependent on the first two which has two conditions... export with broker spread and export without broker spread.

If I export data to MT4 with broker spread do I use current or do I match the spread defined in the *.mt4config file?

Does MT4 backtest spread value override the broker spread or add to it?

If I DO NOT export data to MT4 with broker spread then I assume I am setting spread via the MT4 backtest function only is this correct?

Do you need to be connect to your broker to use the current spread and what happens when you use current and your offline?

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: Tickstory Spread Export Clarification

Post by tickstory »

Hi Autonomous,

There are a few spread options which, due to ensuring back-ward compatibility, can be a little confusing. However, assuming you are using the most recent version of Metatrader, here is how it works:

- If you are using a fixed spread, simply set this value in the Metatrader Strategy Tester's "Spread" field. That's it. All other settings are ignored. The value set in here is what is used during your back-test. If it is set to "Current", the Strategy Tester will use the last known spread value for the selected symbol. If you set the value of "2" in your box (20 for a fractional/5-digit broker), you will get the spread of 2 pips for every tick passed into your strategy.

- When using Tickstory's new Advanced Tester for Metatrader 4 (currently in final beta stages), this is where the "embed spread" feature comes in. By embedding variable spreads, you can enable the "Variable spread" option on the ATM. When you do, it will use the actual recorded spread that occurred during that tick PLUS any padding. So, take the following example given 2 ticks that look like this:

Tick #1
Bid price 1.3000
Ask Price 1.4000

Tick #2
Bid price 1.3500
Ask Price 1.4300

In this case, on tick #1, the spread that will be seen by your strategy will be 0.1000 and then for Tick #2, 0.0800. If you had specified an additional padding of say 1 (10 for a fractional/5-digit broker), then the spread seen by your strategy will be 0.1001 and 0.0801, respectively.

There are some more specific details about variable spread in our ATM manual which you will receive when you register for the beta.

Hope this helps.

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