Problem with GBR.IDX (UK100) MT5 export.

[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]

Hi Machtucker,

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

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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:

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{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]

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]

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:

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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]

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

[machtucker]

I’m revisiting this. After some research I’ve found that the spread values exported by BarMaxSpreadInt are quite conservative as it’s the maximum spread that occurred during the bar. Data from MetaQuotes and the broker I use both take the minimum spread in the bar. Is there a way of outputting this token? If not is it something that can be added in the future?

Thanks

[tickstory]

Hi Machtucker,

As of v1.9.7.6 of Tickstory, there is a token called "MinBarSpread" which outputs the minimum spread that occurred in a bar.

Hope this helps.

[machtucker]

Great,

I will try it out. Thanks very much.