[TICKLITE-64] MT4 Export: Allow filtering of duplicate ticks

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[TICKLITE-64] MT4 Export: Allow filtering of duplicate ticks

Postby admin » Tue Jan 08, 2013 10:56 pm

New feature suggestion: The ability to filter "duplicate" ticks. A "duplicate" tick is defined as a consecutive tick that occurs in the same minute and has the same quoted price. The idea behind filtering duplicate ticks is to:

  • Minimise the size of the exported file.
  • Speed up back-testing since most strategies only react to changes in quoted price. Removing duplicate ticks will therefore have no impact on the strategy except to give it less information to process.

Note that if your EA is sensitive to the number of ticks (for example, it counts the number of price changes), filtering duplicate ticks is not recommended.

This feature is expected to be released in the next version of Tickstory Lite (v0.8b).
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Re: [TICKLITE-64] MT4 Export: Allow filtering of duplicate t

Postby tickstory » Sat Mar 16, 2013 2:12 am

This has now been implemented as part of v0.8.
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Re: [TICKLITE-64] MT4 Export: Allow filtering of duplicate t

Postby disbellj » Wed Jul 22, 2015 1:05 am

Does this affect volume info exported if I filter duplicate ticks? Doing so would lower volume exported wouldn't it? Please advise. Thank you.

Kindest regards,

Don
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Re: [TICKLITE-64] MT4 Export: Allow filtering of duplicate t

Postby tickstory » Thu Jul 23, 2015 12:08 am

Hi Disbellj,

Yes, Volume will be adjusted accordingly. Please have a look at this discussion for more information about how the volume is currently calculated:

viewtopic.php?f=2&t=222

Regards.
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Re: [TICKLITE-64] MT4 Export: Allow filtering of duplicate t

Postby disbellj » Thu Jul 23, 2015 2:07 pm

I read that thread. It talks about both volume and ticks. MT4 uses the number of ticks that come in during a bar as volume. The function is Volume[] or iVolume(Symbol(),Period(),0) to specify a different volume than the current symbol or timeframe.

The thread you pointed me to had a question at the end, which is the same question I need an answer to. Does Tickstory export volume in the sense MT4 counts it, or does it not. This is unclear, as is the settings needed to get this if indeed it is obtainable.

Why is this important? There are indicators that use Volume in MT4. If that information is incorrect, then the results obtained during backtesting are incorrect, and the time is wasted and the results can't de depended upon.

I will use an indicator in my tests that uses Tick Volume. It is Bill William's Market Facilitation Index available as a default indicator in MT4. Now I don't know if this is the type of volume that Bill Williams used since he traded the mini and the videos I watched were from 20 years ago on YouTube. So maybe we need to have choice between real volume as traded in stocks (number of contracts) and tick volume as MT4 has had for years and not real volume (tick volume being number of ticks, or price changes, that come in from broker during bar).

I did two tests, one exporting with filter duplicate ticks unchecked and one with it checked. In both tests, Suppress volume is unchecked since this is what we want - volume in our backtests. I exported last month of data EURUSD and used M5 in my backtest (even though Bill Williams only uses Daily charts, I wanted to get quicker results so backtested a lower timeframe just to see if the EA traded per rules like it is supposed to, per my understanding of Bill's rules). I got two different results when I backtested. I checked and saw that in History Center that the Volume column was different for each one. I saved as cvs out of MT4 the visual backtest charts and opened in excel. I took screen shots of the excel files and the charts. I placed the first set on the left and the second set of test chart pic and excel file on the right. You can see the differences and yes it makes a difference in backtesting.

So my questions are:

1. Which one, if either, uses MT4 Tick Volume which is what I think we need since MT4 doesn't use volume in any other ones does it? The Volume function is what is used in the indicator in MT4 I am almost certain.

2. If Tickstory doesn't export MT4 Tick Volume to MT4 then when can this be added?

3. And when would it be possible, if ever, to have it implemented to have the volume needed but also have smaller files and faster backtesting like when Filter duplicate ticks is checked?

4. DO we need real volume also? (Note: I don't know anything about spread, but of course if real spread during backtesting could be used that would be something that we wouldn't need a switch for since it would always be wanted).

This same volume information is used in offline charts also, so it is important.

Thanks! In advance.

Kindest regards,

Don

Screen Shot 2015-07-23 at 8.25.23 AM.png
First backtest with Filter duplicate ticks unchecked on left. Second test with filter duplicate ticks checked on right.


Screen Shot 2015-07-23 at 8.30.05 AM.png
First backtest with Filter duplicate ticks unchecked on left. Second test with filter duplicate ticks checked on right.
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Re: [TICKLITE-64] MT4 Export: Allow filtering of duplicate t

Postby disbellj » Thu Jul 23, 2015 2:14 pm

Note that in last test, I mad the maximum of the MFI indicator to be 0.01, because there are times that the blue bars are so tall that the other bars aren't able to be seen, so I limited the height. Also note that the indicator bar height aren't as important as the colors of the bars, and the colors of the bars are different depending on what setting is used in Tickstory and volume we get in History Center.
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Re: [TICKLITE-64] MT4 Export: Allow filtering of duplicate t

Postby disbellj » Thu Jul 23, 2015 2:21 pm

I withdraw what I said about maybe needing real volume. Since MT4 does not need it, then even if backtests used it, it wouldn't be used in real time, so again backtests would be unreliable.
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