Discussing the article: "Measuring broker execution quality in MQL5: Why your live account doesn't match the backtest"
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Check out the new article: Measuring broker execution quality in MQL5: Why your live account doesn't match the backtest.
Live performance often drifts from backtests because of execution friction. We introduce an MQL5 diagnostic EA that records entry and exit slippage, asymmetry, observed spread, requotes, and per-leg latency, using a precise probe mode and an approximate passive mode, and writes every sample to CSV. Use the results to distinguish strategy issues from execution effects across your terminal, network, broker, and liquidity.
If you code in MQL5, you have probably lived this: the Strategy Tester draws a beautiful, almost straight equity curve, and when you put the same Expert Advisor (EA) on a real account, the result is very different. I have hit that wall more than once. My first instinct used to be to blame the strategy — but very often the strategy is fine. What changed is the execution quality.
The Strategy Tester lives in an ideal world: it fills orders at (or near) the requested price, with a modeled spread and—unless configured otherwise—no delays or rejections. A live account is a different animal: the price moves between the moment you send the order and the moment it is filled, the spread widens exactly when it matters, and every now and then you get a requote, a price change, or a rejection. That friction has names: slippage, spread and requotes.
In this article I build a diagnostic tool—not a strategy—that captures execution metrics on your account. It helps answer one question with numbers: "Is my live result falling short because of the strategy, or because of execution?" The tool is an EA called Execution Quality Monitor.
This tool does not measure the broker in isolation. It measures the entire execution path (terminal/PC/VPS, network, broker gateway, venue liquidity), so poor results can come from any link. There is a dedicated section on this later; keep it in mind throughout.
Author: Walter Marcelo Rando