Hey Adrian. I just remembered there's a fellow in the US that designs trading servers for brokers in addition to hosting serious VPS solutions. And I think he actually invented ECN for the MT4 platform. I know that he's collaborated and partnered with a broker to solve exactly these problems you're having.
The strategy assumes wrongly the opening of the order always at the price arranged in this order. Implication principle considers a thesis as a defective one when the assumption is defective. So the strategy is defective.
The opening of a transaction on MT4 can be realised in the course of Market Execution or Instant Execution (window Order, row Type). The price for the opening of the order at the Market Execution account (Armada, FXOpen-ECN, LMAX …) is not determined by a broker what is clearly said: Notice! At order by market execution, the price will be quoted by dealer (window Order, row in fine). About 200 companies only have direct access to the forex: big banks and some big financial institutions. Broker – here according to the name – acts as agent only between a client and a market. At the moment when the price of the pending order is equal to the quoted price or at the moment when the client places his instruction for opening of the trade, the orders that are secured by funds on the account of the client are transferred to the banks that cooperate with broker and after the offers are delivered they should be open at the best price. A broker has not influence on the opening price. Also some brokers acts like this on the Instant Execution accounts (currently FxPro). The opening price is equal to the price arranged in pending order, and this order is subject of this strategy, only when the market is peaceful. When there is sudden fluctuation of the quoted price that exceeds the arranged price, the stop order like: stop loss, buy stop, sell stop can be open at a price worse than arranged, and the limit order like: take profit, buy limit, sell limit – at a better price. Broker has here no influence on the opening price. The example from the real market: 2013.08.22 00:39:11 GMT: pending order buy stop 180.00 AUDUSD at 0.89630 sl: 0.89580 tp: 0.00000 2013.08.22 00:39:11 GMT: request was accepted by server 2013.08.22 00:39:11 GMT: order was opened : #2205223 buy stop 180.00 AUDUSD at 0.89630 sl: 0.89580 tp: 0.00000 2013.08.22 00:45:02 GMT: order was opened: #2205223 buy 180.00 AUDUSD at 0.90064 sl: 0.89580 tp: 0.00000 buy - buy stop = 41.4 pips Following the publication of the HSBC Manufacturing PMI Bid price shot up from 0.89559 to 0.90033 level in one motion.
Liability for the orders unrealized at the arranged price can bear only by crooks and brokers that do not deliver the orders of the client to the banks, playing often with the client – the brokers type bucket shops, book makers.
True, that is just slipping. But If orders is pending it should be realized at first tick after this price. In my situations most of them is executed even on 3rd or 4th tick after price. Why? Order is already placed on trading server so there is no needed fast internet connection. I dont belive in words of 'There was not enough liquidty'. No? My orders wasnt 100 lot or 150.00 lot... its just small 0.3 lot or 0.5 lot.
Adrian, Please read my former post more carefully, especially the fragment about the moment when a pending order is transferred to the bank. Stop or limit order waits on the server of a broker and not at the market to which the broker has not direct access. In the time of rapid changes of quotes the stop order delivered by a broker to the banks even within 2-3 milliseconds since the moment of fluctuation can encounter the price already non-existed at the market or the lack of immediate offer after delivery of the order. The offers can appear even after some seconds. Size of the order is here also insignificant. It is not possible - what is obvious - to force a bank to give any offer , also an offer at the non-existed price and not only the banks do not like to pay extra to a business. In accordance with the principle of the realization of orders at the market price Broker acting as “only agent/dealer” fulfils the order of his client always only at the best price offered by bank, what in case of stop orders means the price equal or worse than the demanded one. This is the principle what is accepted by every client of such a broker. The strategy could be effective only when it would not be active at the moment of sudden activities of the quoted price. A degree of the intensity of activities and not actions on the part of broker as “only agent” determines usefulness of the strategy. It is not possible to foresee a degree of the intensity of activities, so it should be recognize as defective one because it is based on non-identified assumptions.
Widening spread affects 'bid' and 'ask', depending on whether you are opening or closing buy or sell. One way to curb this is a function near the start function in the EA to detect and prevent trading. Another would be the opening/closing of trade's slippage settings.
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