albeottt
02 Mar 2017, 12:19

The tick data used for backtesting comes from the broker server to which you're connected to. What exact cAlgo are you using - the Spotware version from Spotware's website, or the version your broker gives? And are you logged into the same demo trading account on both programs?

There is a problem with historical tick data that some brokers were offering. Check my thread here:

/forum/calgo-support/9552

If you downloaded the tick data from your broker a while ago (by doing a backtest) and the broker changed it since, and then you downloaded it again on a newer install of cAlgo, the data may be different, and so the results of your cBot backtest may be different when you run tests on the 2 diff machines or software installations. Go to the folder: C:\Users\yourusername\appdata\roaming\brokername cAlgo\cache and backtestingcache\ticks folder and delete the data for the symbols that are giving you the trouble, on both machines. Try doing a backtest again. If they're on the same broker demo account and server, you'll get the same tick data and the same results.

albeottt
02 Mar 2017, 11:56

RE:

Spotware said:

Dear Traders,

...

Hello Spotware,

We need clarification on this issue. These ticks are NOT normal quotes. They have never existed, and some broker's cAlgo tick data have them, along with Spotware demo server. Please try the following cBot, and then view the log:

http://pastebin.com/EzQYLKae

Tick data backtest on Spotware cAlgo Demo server for USDJPY period 11/07/2015 to 19/07/2015:

- Total ticks: 413869, Positive: 381424, Negative: 32445, Spreads -0.4 to -25.0 comprise 6.77074 % of tick data
...
- Spread of -10.5 pips appears 37 times
- Spread of -10.4 pips appears 43 times
- Spread of -10.3 pips appears 41 times
...
- Spread of -9.5 pips appears 51 times
...

GBPUSD 02/07/2015 to 08/07/2015:

- Total ticks: 1221719, Positive: 1101584, Negative: 120135, Spreads -0.4 to -25.0 comprise 8.81799 % of tick data

On other broker's servers, these periods are months long and go negative dozens of pips. Pepperstone and IC Markets for example: most majors before August 14, 2015 go negative spread for months, while everything after Aug 15 2015 is perfect for the few symbols I've tried. I might say that MOST symbols from most common brokers utilizing cAlgo may not have a time period longer than 1.5 years, without a period of faulty ticks.

The only way around this is to program your bot to not trade these problematic time periods, as many systems backtesting either crash immediately or make a million dollars once these periods with large negative-spread ticks are encountered. This isn't the solution to the problem.

What a normal time period looks like:

- Total ticks: 8085634, Positive: 8085634, Negative: 0, Spreads -0.4 to -25.0 comprise 0 % of tick data
- Spread of 0.1 pips appears 111994 times
- Spread of 0.2 pips appears 206997 times
- Spread of 0.3 pips appears 581118 times
- Spread of 0.4 pips appears 1267433 times

Regards

albeottt
18 Jun 2016, 23:30

That was it! Huge negative spreads everywhere. The thing that bugs me now is why there's no way to show the bid AND ask lines or ticks on the backtesting screens. This would help to see this issue immediately.

I had to fix the line on the bot that rounds, and added a counter for positive and negative spread totals. Any recent data of the past months is clean with no negatives. Going back a year, suddenly there's huge amounts of negatives. This is on Pepperstone. Which broker should I use, that will provide clean data for at least a year? Do I have to wipe the cTrader folders to clear out the bad tick data?

Fixed code for anyone else to investigate if you're getting clean ticks:

using System;
using System.Linq;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;

namespace cAlgo
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class Spread : Robot
    {


        int pos = 0;
        int neg = 0;

        protected override void OnTick()
        {
            if (Symbol.Spread > 0)
            {
                Print("Spread = " + Math.Round((Symbol.Spread / Symbol.PipSize), 2));
                //Print("Spread = " + Symbol.Spread);
                //Print("Pipsize = " + Symbol.PipSize);
                pos++;
            }
            if (Symbol.Spread < 0)
            {
                Print("Spread = " + Math.Round((Symbol.Spread / Symbol.PipSize), 2));
                //Print("Spread = " + Symbol.Spread);
                //Print("Pipsize = " + Symbol.PipSize);
                neg++;
            }
        }

        protected override void OnStop()
        {
            Print("Pos: " + pos + ", Neg: " + neg);
        }
    }
}

albeottt
18 Jun 2016, 08:30

Screenshot links:

https://s31.postimg.org/n0a86gwaz/c_Algo1.png

https://s31.postimg.org/49cwa1r4b/c_Algo2.png