Detect stop trigger in OnTradeTransaction backtest - page 3

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angevoyageur:

I checked. When a SL/TP is triggered you have these transaction :

  1. TRADE_TRANSACTION_POSITION with SL and TP setted (but no deal yet), then
  2. TRADE_TRANSACTION_DEAL_ADD

When going short - from a virgin position, i get 3 transactions:

A entry ) 

20130507 21:52:28:943 entry short at 1.31060 time=2013.01.10 11:43

20130507 21:52:28:943 symbol=EURUSD price=1.3106000 volume=0.01 sl=1.3119000 tp=1.3088000 order=2 deal=2 entry-type=IN trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_SELL type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00

20130507 21:52:28:943 symbol=EURUSD price=1.3106000 volume=0.01 sl=1.3119000 tp=1.3088000 order=2 deal=0 entry-type=IN trans-type=ORDER_DELETE order_type=SELL deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00

20130507 21:52:28:943 symbol=EURUSD price=1.3106000 volume=0.00 sl=1.3119000 tp=1.3088000 order=2 deal=0 entry-type=IN trans-type=HISTORY_ADD order_type=SELL deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00

 

Once stop loss triggered , i get

B exit ) 

20130507 21:52:28:945 symbol=EURUSD price=1.3119000 volume=0.01 sl=0.0000000 tp=0.0000000 order=3 deal=3 entry-type=IN trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00

No TRADE_TRANSACTION_POSITION. I think you can't use it here.

 

Summary:

A short is opened, the first transaction is 

entry-type=IN trans-type=DEAL_ADD order_type=BUY sl=1.3119000 tp=1.3088000

Short closed, by stop or target, first reflected transaction 

entry-type=IN trans-type=DEAL_ADD order_type=BUY sl=0.0 tp=0.0

 

This is confusing. It should be:

 

open short: 

entry-type=IN trans-type=DEAL_ADD order_type=SELL sl=1.3119000 tp=1.3088000 

close short:

entry-type=OUT trans-type=DEAL_ADD order_type=BUY sl=0.0 tp=0.0 

angevoyageur:

I checked. When a SL/TP is triggered you have these transaction :

  1. TRADE_TRANSACTION_POSITION with SL and TP setted (but no deal yet), then
  2. TRADE_TRANSACTION_DEAL_ADD
 
chinaski:

When going short - from a virgin position, i get 3 transactions:

A entry ) 

 

Once stop loss triggered , i get

B exit ) 

No TRADE_TRANSACTION_POSITION. I think you can't use it here.

...

You are missing some transactions, don't know why. Because backtesting ?

 

Small digression, intead of :

ORDER_TYPE_to_string(t.order_type)

you can use :

EnumToString(t.order_type)


 
angevoyageur:

Small digression, intead of :

you can use :


Thank you for EnumToString.  Much smarter to use.

 

Yes, my concern is about transaction in backtest. But in order to make it as most real as possible, transaction should be the same as in live trading.

TRADE_TRANSACTION_POSITION is not related to a deal, as you also mentioned before. I guess it indicates for instance, when you moved some money on your account.

 
chinaski:

...

The issue seems there is some transactions not available when backtesting. A bug or a limitation of backtesting. When running on a forward test, I have a TRADE_TRANSACTION_POSITION when SL/TP is triggered.

2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_ORDER_ADD
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3170100 volume=0.01 sl=0.0000000 tp=0.0000000 order=19683612 deal=0 entry-type=IN trans-type=ORDER_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_ORDER_DELETE
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3170100 volume=0.01 sl=0.0000000 tp=0.0000000 order=19683612 deal=0 entry-type=IN trans-type=ORDER_DELETE order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_HISTORY_ADD
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3170100 volume=0.00 sl=0.0000000 tp=0.0000000 order=19683612 deal=0 entry-type=IN trans-type=HISTORY_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_POSITION
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3173500 volume=0.01 sl=1.3174200 tp=1.3170100 order=0 deal=0 entry-type=IN trans-type=POSITION order_type=BUY deal_type=DEAL_TYPE_SELL type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_DEAL_ADD
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3170100 volume=0.01 sl=0.0000000 tp=0.0000000 order=19683612 deal=16655372 entry-type=OUT trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.34

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angevoyageur:

The issue seems there is some transactions not available when backtesting. A bug or a limitation of backtesting. When running on a forward test, I have a TRADE_TRANSACTION_POSITION when SL/TP is triggered.

2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_ORDER_ADD
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3170100 volume=0.01 sl=0.0000000 tp=0.0000000 order=19683612 deal=0 entry-type=IN trans-type=ORDER_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_ORDER_DELETE
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3170100 volume=0.01 sl=0.0000000 tp=0.0000000 order=19683612 deal=0 entry-type=IN trans-type=ORDER_DELETE order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_HISTORY_ADD
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3170100 volume=0.00 sl=0.0000000 tp=0.0000000 order=19683612 deal=0 entry-type=IN trans-type=HISTORY_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_POSITION
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3173500 volume=0.01 sl=1.3174200 tp=1.3170100 order=0 deal=0 entry-type=IN trans-type=POSITION order_type=BUY deal_type=DEAL_TYPE_SELL type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    TRADE_TRANSACTION_DEAL_ADD
2013.05.08 19:20:29    tc_ea_trans (EURUSD,M1)    trans=symbol=EURUSD price=1.3170100 volume=0.01 sl=0.0000000 tp=0.0000000 order=19683612 deal=16655372 entry-type=OUT trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.34

okay, thank you for this information. So i know to include this in my consideration
 

Hello angevoyageur,

still have the problem to get the executed price of a stop or loss attached to a postion - in backtest. Don't know so far, how it's behave under live conditions.

This is from backtest log:

KP      0       23:18:29        Core 1  2010.05.11 11:00:00   instant buy 0.01 EURUSD at 1.26882 (1.26871 / 1.26882 / 1.26871)
EM      0       23:18:29        Core 1  2010.05.11 11:00:00   deal #2 buy 0.01 EURUSD at 1.26882 done (based on order #2)
MG      0       23:18:29        Core 1  2010.05.11 11:00:00   deal performed [#2 buy 0.01 EURUSD at 1.26882]
RI      0       23:18:29        Core 1  2010.05.11 11:00:00   order performed buy 0.01 at 1.26882 [#2 buy 0.01 EURUSD at 1.26882]
JS      0       23:18:29        Core 1  2010.05.11 11:00:00   CTrade::OrderSend: instant buy 0.01 EURUSD at 1.26882 [done at 1.26882]
LP      0       23:18:29        Core 1  2010.05.11 11:00:00   position modified [buy 0.01 EURUSD 1.26882 sl: 1.26809 tp: 1.27028]
LM      0       23:18:29        Core 1  2010.05.11 11:00:00   CTrade::OrderSend: modify EURUSD (sl: 1.26809, tp: 1.27028) [done]
LR      0       23:18:29        Core 1  2010.05.11 11:00:00   trans=symbol=EURUSD price=1.2688200 volume=0.01 sl=0.0000000 tp=0.0000000 order=2 deal=2 entry-type=IN trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00 order-open=0.000000 order-current=0.000000 deal-price=0.000000
GG      0       23:18:29        Core 1  2010.05.11 11:18:40   take profit triggered buy 0.01 EURUSD 1.26882 sl: 1.26809 tp: 1.27028 [#3 sell 0.01 EURUSD at 1.27028]
MD      0       23:18:29        Core 1  2010.05.11 11:18:40   deal #3 sell 0.01 EURUSD at 1.27028 done (based on order #3)
PI      0       23:18:29        Core 1  2010.05.11 11:18:40   deal performed [#3 sell 0.01 EURUSD at 1.27028]
NO      0       23:18:29        Core 1  2010.05.11 11:18:40   order performed sell 0.01 at 1.27028 [#3 sell 0.01 EURUSD at 1.27028]
RS      0       23:18:29        Core 1  2010.05.11 11:18:40   trans=symbol=EURUSD price=1.2702800 volume=0.01 sl=0.0000000 tp=0.0000000 order=3 deal=3 entry-type=IN trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_SELL type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00 order-open=0.000000 order-current=0.000000 deal-price=0.000000
JM      0       23:18:29        Core 1  2010.05.20 09:00:00   ut =3.00 candle=o=1.24130 c=1.24170 h=1.24360 l=1.24100 b=39 uw=190 lw=29
FK      0       23:18:29        Core 1  2010.05.20 09:00:00   instant sell 0.01 EURUSD at 1.24180 (1.24180 / 1.24195 / 1.24180)
MG      0       23:18:29        Core 1  2010.05.20 09:00:00   deal #4 sell 0.01 EURUSD at 1.24180 done (based on order #4)
IG      0       23:18:29        Core 1  2010.05.20 09:00:00   deal performed [#4 sell 0.01 EURUSD at 1.24180]
CN      0       23:18:29        Core 1  2010.05.20 09:00:00   order performed sell 0.01 at 1.24180 [#4 sell 0.01 EURUSD at 1.24180]
EO      0       23:18:29        Core 1  2010.05.20 09:00:00   CTrade::OrderSend: instant sell 0.01 EURUSD at 1.24180 [done at 1.24180]
EQ      0       23:18:29        Core 1  2010.05.20 09:00:00   position modified [sell 0.01 EURUSD 1.24180 sl: 1.24253 tp: 1.24034]
DO      0       23:18:29        Core 1  2010.05.20 09:00:00   CTrade::OrderSend: modify EURUSD (sl: 1.24253, tp: 1.24034) [done]
HI      0       23:18:29        Core 1  2010.05.20 09:00:00   trans=symbol=EURUSD price=1.2418000 volume=0.01 sl=0.0000000 tp=0.0000000 order=4 deal=4 entry-type=IN trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_SELL type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00 order-open=0.000000 order-current=0.000000 deal-price=0.000000
JH      0       23:18:29        Core 1  2010.05.20 09:00:40   stop loss triggered sell 0.01 EURUSD 1.24180 sl: 1.24253 tp: 1.24034 [#5 buy 0.01 EURUSD at 1.24253]
HI      0       23:18:29        Core 1  2010.05.20 09:00:40   deal #5 buy 0.01 EURUSD at 1.24253 done (based on order #5)
MK      0       23:18:29        Core 1  2010.05.20 09:00:40   deal performed [#5 buy 0.01 EURUSD at 1.24253]
NL      0       23:18:29        Core 1  2010.05.20 09:00:40   order performed buy 0.01 at 1.24253 [#5 buy 0.01 EURUSD at 1.24253]
KQ      0       23:18:29        Core 1  2010.05.20 09:00:40   trans=symbol=EURUSD price=1.2425300 volume=0.01 sl=0.0000000 tp=0.0000000 order=5 deal=5 entry-type=IN trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_BUY type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00 order-open=0.000000 order-current=0.000000 deal-price=0.000000
PJ      0       23:18:30        Core 1  2010.08.26 09:08:00   ut =3.83 candle=o=1.27238 c=1.27274 h=1.27448 l=1.27238 b=35 uw=174 lw=0
IH      0       23:18:30        Core 1  2010.08.26 09:08:00   instant sell 0.01 EURUSD at 1.27276 (1.27276 / 1.27287 / 1.27276)
GH      0       23:18:30        Core 1  2010.08.26 09:08:00   deal #6 sell 0.01 EURUSD at 1.27276 done (based on order #6)
MR      0       23:18:30        Core 1  2010.08.26 09:08:00   deal performed [#6 sell 0.01 EURUSD at 1.27276]
HR      0       23:18:30        Core 1  2010.08.26 09:08:00   order performed sell 0.01 at 1.27276 [#6 sell 0.01 EURUSD at 1.27276]
PR      0       23:18:30        Core 1  2010.08.26 09:08:00   CTrade::OrderSend: instant sell 0.01 EURUSD at 1.27276 [done at 1.27276]
FE      0       23:18:30        Core 1  2010.08.26 09:08:00   position modified [sell 0.01 EURUSD 1.27276 sl: 1.27349 tp: 1.27130]
LK      0       23:18:30        Core 1  2010.08.26 09:08:00   CTrade::OrderSend: modify EURUSD (sl: 1.27349, tp: 1.27130) [done]
NE      0       23:18:30        Core 1  2010.08.26 09:08:00   trans=symbol=EURUSD price=1.2727600 volume=0.01 sl=0.0000000 tp=0.0000000 order=6 deal=6 entry-type=IN trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_SELL type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00 order-open=0.000000 order-current=0.000000 deal-price=0.000000
HM      0       23:18:30        Core 1  2010.08.26 09:08:40   stop loss triggered sell 0.01 EURUSD 1.27276 sl: 1.27349 tp: 1.27130 [#7 buy 0.01 EURUSD at 1.27349]

 

 

As you can see in last line, the executed price is given in the log ->  [#7 buy 0.01 EURUSD at 1.27349]

But no structure, transaction, deal or order history provides this price. 

This line dumps the transaction related to triggered stop:

 

NE      0       23:18:30        Core 1  2010.08.26 09:08:00   trans=symbol=EURUSD price=1.2727600 volume=0.01 sl=0.0000000 tp=0.0000000 order=6 deal=6 entry-type=IN trans-type=DEAL_ADD order_type=BUY deal_type=DEAL_TYPE_SELL type_time=0 expiration=1970.01.01 00:00 price_trigger=0.0000000 profit=0.00 order-open=0.000000 order-current=0.000000 deal-price=0.000000

 

This is the dump function code:

 

string dump_MqlTradeTransaction(const MqlTradeTransaction& t)
{
    //CDealInfo deal;
    //deal.Ticket(t.deal);
   if(t.deal > 0)
      HistoryDealSelect(t.deal);
   string msg=StringFormat("symbol=%s price=%.7f volume=%.2f sl=%.7f tp=%.7f order=%d deal=%d entry-type=%s trans-type=%s order_type=%s deal_type=%s type_time=%d expiration=%s price_trigger=%.7f profit=%.2f order-open=%.6f order-current=%.6f deal-price=%.6f"
                           
                           ,t.symbol
                           ,t.price
                           ,t.volume                           
                           ,t.price_sl
                           ,t.price_tp
                           ,t.order
                           ,t.deal           
                                                   ,tc_DEAL_ENTRY_to_string_short((ENUM_DEAL_ENTRY)HistoryDealGetInteger(t.deal,DEAL_ENTRY))                                          
                           ,tc_ENUM_TRADE_TRANSACTION_TYPE_to_string_short((ENUM_TRADE_TRANSACTION_TYPE) t.type)
                           ,tc_ORDER_TYPE_to_string(t.order_type)
                           ,tc_DEAL_TYPE_to_string(t.deal_type)
                           ,t.time_type
                           ,TimeToString(t.time_expiration)                           
                           ,t.price_trigger
                           ,HistoryDealGetDouble(t.deal,DEAL_PROFIT)
                                                        ,HistoryOrderGetDouble(t.order,ORDER_PRICE_OPEN)
                                                        ,HistoryOrderGetDouble(t.order,ORDER_PRICE_CURRENT)
                                                        ,HistoryDealGetDouble(t.deal,DEAL_PRICE)
                           );
                        
    return msg;
}

 

So i tried to get execution price from order and deal history: no result

 
chinaski:

Hello angevoyageur,

...
Thanks, I will go to study that ASAP.
 
angevoyageur:
Thanks, I will go to study that ASAP.

This is really nice. Do not hurry.

I checked each transaction, request and result passed to OnTradeTransaction.

The triggered stop loss price mentioned in the backtest log (create by MetaTrader) can't be found except as sl price, but not as price or deal price or execution price. 

Documentation on MQL5: Standard Constants, Enumerations and Structures / Trade Constants / Deal Properties
Documentation on MQL5: Standard Constants, Enumerations and Structures / Trade Constants / Deal Properties
  • www.mql5.com
Standard Constants, Enumerations and Structures / Trade Constants / Deal Properties - Documentation on MQL5
 
chinaski:

This is really nice. Do not hurry.

I checked each transaction, request and result passed to OnTradeTransaction.

The triggered stop loss price mentioned in the backtest log (create by MetaTrader) can't be found except as sl price, but not as price or deal price or execution price. 

So, we are talking about backtesting only. I have tested with my own code and I obtain 3 transactions when a stop is triggered :

2013.05.15 10:22:27    Core 1    2013.05.10 16:20:37   Symbol : EURUSD  event : TRADE_TRANSACTION_DEAL_ADD(6)
2013.05.15 10:22:27    Core 1    2013.05.10 16:20:37   Symbol : EURUSD  event : TRADE_TRANSACTION_ORDER_DELETE(2)
2013.05.15 10:22:27    Core 1    2013.05.10 16:20:37   Symbol : EURUSD  event : TRADE_TRANSACTION_HISTORY_ADD(3)

With the DEAL_ADD I get the price of the deal, so the SL in my case. All seems correct to me. I suggest you send me the code you use, the backtest log (as a file) and a screenshot of Strategy tester Settings. Then I can reproduce the exact same test as yours and analyse the result. You can send me a PM if you prefer.
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