Brokers make it impossible for scalping EAs to profit. - page 3

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Conor Mcnamara #:
On M1 to M5 timeframes, it's very tick sensitive, so you can get the drain quotes. The type of scalping matters here. You can't be hoping to make money fast...unless you are on some hedge fund where high frequency trading is legal.
My average holding time is 30seconds, is that considered HFT? Can you enlighten me on the minimum holding time for a strategy to be considered as an HFT ?
 
Sergey Golubev #:
It is necessary to use "Every tick based on real ticks".
Because "Every tick based on real ticks" mode is using the ticks from the broker, "Every tick" - not.

And please note: the backtesing with real/live trading account may be different if we compare with backtesting with demo trading account (because the ticks are different for demo and for real/live trading accounts).
Bear in mind, I even had to subscribe to a third party source for accurate tick data just to be sure. After testing my EA with the third party data, it gave very good results , slightly higher that the results I got from the broker’s downloaded data from the strategy tester.
 That means both the data the brokers provide for download and use on the strategy tester ; and the data provided by the third party sources are profitable with my bot.
 But when I place the bot on real market, it makes losses straight away. That is why I had to develop another EA to record real market data and compare it with the downloaded versions to see if they are the same, but unfortunately they are very different. 

So I thought to myself, if there is a source of data from which the brokers upload for us to download and use, then that particular source is very similar to the third party data source, hence it must be the real source of data, and if I get access to it, I will make my EA trade based on that “original source” and then problem solved. 
 
IMRAN SALIFU #:

did you read Ryans comment. one of those txt files the one on strategy tester might be using "virtual ticks". These are not downloaded from broker, but are sts "made up" tick data. Maybe the data from the broker is full of missing candles, so st has "filled in" these gaps.

if you post your journal log from pre opening any trades, we can point these virtual ticks in the log to you. These virtual ticks are clearly noted at the start of every backtest.

regarding HFT: every broker has different definition. see your agreement for their definition. but in a general sense HFT is when you have thousands of trade opening and closing. but this is not possible on any mt4/5 broker as all of them have limits of 200 - 3000 open trades, and most between 200 - 300.

regarding the "original source" -- you can modify the data from your 3rd party to be same or similar to your brokers, but only you can do that. It would take many backtests to verify any experiments that you change something, such as commission or spread in the data. And since discussion about 3rd party programs is not allowed on this forum, then i suggest that you go to support of your 3rd party program for advice on how to do that.

I modified data from a 3rd party program to be 90% of my mt4 broker but it took me at least a full year before i was confident that my custom data was 90% the same as my brokers live account. so good luck with your testing and trading. i wont respond on this thread again. too many comments and not enuf evidence that you have changed anything as result of our comments.

 
IMRAN SALIFU #:
My average holding time is 30seconds, is that considered HFT? Can you enlighten me on the minimum holding time for a strategy to be considered as an HFT ?

The holding time in HFT is less than a second, it's not for retail. I don't understand holding a trade for only 30 seconds, that would seem like an erroneous trade to me. It wouldn't be nice to close the trade so soon if there was a trend continuation

 
IMRAN SALIFU #:
Bear in mind, I even had to subscribe to a third party source for accurate tick data just to be sure. After testing my EA with the third party data, it gave very good results , slightly higher that the results I got from the broker’s downloaded data from the strategy tester.
 That means both the data the brokers provide for download and use on the strategy tester ; and the data provided by the third party sources are profitable with my bot.
 But when I place the bot on real market, it makes losses straight away. That is why I had to develop another EA to record real market data and compare it with the downloaded versions to see if they are the same, but unfortunately they are very different. 

So I thought to myself, if there is a source of data from which the brokers upload for us to download and use, then that particular source is very similar to the third party data source, hence it must be the real source of data, and if I get access to it, I will make my EA trade based on that “original source” and then problem solved. 

Dude, you're copying and pasting the same reply to multiple Forum contributors. Interestingly, you haven't answered regarding backtesting on "Every tick based on real ticks."

  • "Every tick" = simulated ticks artificially constructed my MT5.
  • "Every tick based on real ticks" = your broker-dealer's ticks (use live account data).

Every FX and CFD broker-dealer maintains its own tick data because those are OTC markets─and each broker-dealer maintains its own pool of liquidity providers and traders. Even in the U.S. where all FX trades must ultimately be cleared in the wholesale interbank market, no FX broker-dealers have the same exact tick data. Obtaining or worse, buying, FX/CFD tick data from a seller is like begging to be deceived.

If a universal data source is your number 1 priority, you might consider switching over to trading CME futures. All CME data is provided by a centralized exchange, and all trades are executed on that exchange with equal priority. As a potential caveat, everyone trading CME futures pays for a data subscription one way or another.

 
its not the brokers its usually the actual strategy
 
Try market orders on Stop Loss and Take Profit, and hold positions for more than 2 minutes.
 
Heri Yusufu Kaniugu #:
Try market orders on Stop Loss and Take Profit, and hold positions for more than 2 minutes.
It is funny how you just assume I don’t use a stop loss just because the average trade duration is 30seconds. 
 
I am currently applying all the recommendations made so far, I will keep you all posted on the outcomes. 
 
Try use brokers regulated in EU. Execution will be much better. 
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