Detect stop trigger in OnTradeTransaction backtest - page 4

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chinaski
985
chinaski  
angevoyageur:

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.

Hello,

can you tell me where exactly the executed stop or target price is stored:

a) MqlTradeTransaction

b) MqlTradeRequest

c) MqlTradeResult

along with member. What MetaTrader server ?

Thank you 

Documentation on MQL5: Standard Constants, Enumerations and Structures / Data Structures / Trade Request Structure
Documentation on MQL5: Standard Constants, Enumerations and Structures / Data Structures / Trade Request Structure
  • www.mql5.com
Standard Constants, Enumerations and Structures / Data Structures / Trade Request Structure - Documentation on MQL5
chinaski
985
chinaski  
angevoyageur:

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.

If you mean TRADE_TRANSACTION_DEAL_ADD and MqlTradeTransaction.price, this price is always 0.

Even if i do not filter for  TRADE_TRANSACTION_DEAL_ADD, the price is always 0, after entry order sent out.

I use

CTrade.Buy(...)  // place entry

 

and

 

CTrade.PositionModify // to attach stop and target

 

and

void OnTradeTransaction(const MqlTradeTransaction& trans,
                        const MqlTradeRequest& request,
                        const MqlTradeResult& result)
  {
...
}

 to catch transactions.

Alain Verleyen
39023
Alain Verleyen  
chinaski:

If you mean TRADE_TRANSACTION_DEAL_ADD and MqlTradeTransaction.price, this price is always 0.

Even if i do not filter for  TRADE_TRANSACTION_DEAL_ADD, the price is always 0, after entry order sent out.

I use

 

and

 

 

and

 to catch transactions.

This is with MqlTradeTransaction.price, it's not always 0.

2013.05.15 10:22:27     Core 1  2013.05.10 16:20:37   stop loss triggered buy 0.10 EURUSD 1.30163 sl: 1.29663 tp: 1.30663 [#47 sell 0.10 EURUSD at 1.29663]
2013.05.15 10:22:27     Core 1  2013.05.10 16:20:37   deal #47 sell 0.10 EURUSD at 1.29663 done (based on order #47)
2013.05.15 10:22:27     Core 1  2013.05.10 16:20:37   deal performed [#47 sell 0.10 EURUSD at 1.29663]
2013.05.15 10:22:27     Core 1  2013.05.10 16:20:37   order performed sell 0.10 at 1.29663 [#47 sell 0.10 EURUSD at 1.29663]
2013.05.15 10:22:27     Core 1  2013.05.10 16:20:37   ----------------TRANSACTION START---------------------------
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   Order #47  type : ORDER_TYPE_BUY(0)  state : ORDER_STATE_STARTED(0)
2013.05.15 10:22:27     Core 1  2013.05.10 16:20:37   Deal #47 type : DEAL_TYPE_SELL(1)
2013.05.15 10:22:27     Core 1  2013.05.10 16:20:37   Price = 1.29663 Volume = 0.1 SL = 0.0 TP = 0.0 Activation price = 0.0

There is something weird in your results, but I can't see what with the code you provide.

Alain Verleyen
39023
Alain Verleyen  

Here the log with your EA tc_ea_trans :

2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   take profit triggered buy 0.01 EURUSD 1.31553 sl: 1.31503 tp: 1.31603 [#331 sell 0.01 EURUSD at 1.31603]
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   deal #331 sell 0.01 EURUSD at 1.31603 done (based on order #331)
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   deal performed [#331 sell 0.01 EURUSD at 1.31603]
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   order performed sell 0.01 at 1.31603 [#331 sell 0.01 EURUSD at 1.31603]
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   price corrected from 1.31609 to 1.31604, deviation: 10 (instant sell 0.01 EURUSD at 1.31609 sl: 1.31659 tp: 1.31559)(1.31604 / 1.31609 / 1.31604)
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   instant sell 0.01 EURUSD at 1.31604 sl: 1.31659 tp: 1.31559 (1.31604 / 1.31609 / 1.31604)
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   deal #332 sell 0.01 EURUSD at 1.31604 done (based on order #332)
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   deal performed [#332 sell 0.01 EURUSD at 1.31604]
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   order performed sell 0.01 at 1.31604 [#332 sell 0.01 EURUSD at 1.31604]
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   CTrade::OrderSend: instant sell 0.01 EURUSD at 1.31609 sl: 1.31659 tp: 1.31559 [done at 1.31604]
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   TRADE_TRANSACTION_DEAL_ADD
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   trans=symbol=EURUSD price=1.3160300 volume=0.01 sl=0.0000000 tp=0.0000000 order=331 deal=331 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
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   TRADE_TRANSACTION_ORDER_DELETE
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   trans=symbol=EURUSD price=1.3160300 volume=0.01 sl=0.0000000 tp=0.0000000 order=331 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 prof
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   TRADE_TRANSACTION_HISTORY_ADD
2013.05.15 18:43:48     Core 1  2013.05.02 08:39:15   trans=symbol=EURUSD price=1.3160300 volume=0.00 sl=0.0000000 tp=0.0000000 order=331 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 profi
chinaski
985
chinaski  

Hello Angevoyageur,

find attached again  simple EA. This should demonstrate it. It just places an order with tight stop and target (input param) and logs each transaction. 

I really appreciate your help.

(Perhaps you can also show your entry transactions) 

 

Could you also give me mt-server ip ? 

Files:
Alain Verleyen
39023
Alain Verleyen  
chinaski:

Hello Angevoyageur,

find attached again  simple EA. This should demonstrate it. It just places an order with tight stop and target (input param) and logs each transaction. 

I really appreciate your help.

(Perhaps you can also show your entry transactions) 

 

Could you also give me mt-server ip ? 

I use the EA you just posted. MQ demo, Access point Europe. Backtesting with :


I take an random excerpt from the log :

2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   take profit triggered buy 0.01 EURUSD 1.31751 sl: 1.31681 tp: 1.31821 [#107 sell 0.01 EURUSD at 1.31821]
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   deal #107 sell 0.01 EURUSD at 1.31821 done (based on order #107)
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   deal performed [#107 sell 0.01 EURUSD at 1.31821]
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   order performed sell 0.01 at 1.31821 [#107 sell 0.01 EURUSD at 1.31821]
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   requote 1.31823 / 1.31836 / 1.31823 (instant sell 0.01 EURUSD at 1.31836 sl: 1.31906 tp: 1.31766)
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   CTrade::OrderSend: instant sell 0.01 EURUSD at 1.31836 sl: 1.31906 tp: 1.31766 [requote (1.31823/1.31836)]
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   instant buy 0.01 EURUSD at 1.31840 sl: 1.31770 tp: 1.31910 (1.31827 / 1.31840 / 1.31827)
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   deal #108 buy 0.01 EURUSD at 1.31840 done (based on order #108)
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   deal performed [#108 buy 0.01 EURUSD at 1.31840]
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   order performed buy 0.01 at 1.31840 [#108 buy 0.01 EURUSD at 1.31840]
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   CTrade::OrderSend: instant buy 0.01 EURUSD at 1.31840 sl: 1.31770 tp: 1.31910 [done at 1.31840]
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   trans=symbol=EURUSD price=1.3182100 volume=0.01 sl=0.0000000 tp=0.0000000 order=107 deal=107 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
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   trans=symbol=EURUSD price=1.3182100 volume=0.01 sl=0.0000000 tp=0.0000000 order=107 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 prof
2013.05.15 21:54:11     Core 1  2013.05.01 20:02:15   trans=symbol=EURUSD price=1.3182100 volume=0.00 sl=0.0000000 tp=0.0000000 order=107 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 profi

So, you still have a problem detecting a SL/TP triggered ?

Files:
chinaski
985
chinaski  
angevoyageur:

I use the EA you just posted. MQ demo, Access point Europe. Backtesting with :


I take an random excerpt from the log :

So, you still have a problem detecting a SL/TP triggered ?

oh. i see.i could swere in my runs yesterday there was no such price given. I made a text search for this price in the backtest log.

But now, i can see this transaction AFTER logentry 

 

"take profit triggered "

 

in my lastest run as well - along with execution price.

I apologize for all the time it takes.

Alain Verleyen
39023
Alain Verleyen  
chinaski:

oh. i see.i could swere in my runs yesterday there was no such price given. I made a text search for this price in the backtest log.

But now, i can see this transaction AFTER logentry 

...
The log I provided you is from the Viewer, when you read the log directly from Strategy Tester Journal tab, it is displayed in the reverse order.
chinaski
985
chinaski  
angevoyageur:
The log I provided you is from the Viewer, when you read the log directly from Strategy Tester Journal tab, it is displayed in the reverse order.
i usually open the logfile from backtest log-tab, where order is from top to down. So in fact, the logentry indicating price is written before the transaction occurs.
chinaski
985
chinaski  

Hello Angevoyageur, 

Access point Europe. Backtesting with : "

can you give me complete IP of this server ? 

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