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Spread Indicator

  • #1
  • First Post: Sep 3, 2009 1:20pm Sep 3, 2009 1:20pm
Hi guys, do you know of any MT indicator that can show(and record) the spread the moment your pending order(buy/stops&limits; sell/stops&limits) got activated?

I only do pending orders and leave and so when I return home, I have no idea about the spread I was taken in when my order gets hit.

Tnx
  • #2
  • Sep 4, 2009 12:40am Sep 4, 2009 12:40am
Quoting monzulu
Hi guys, do you know of any MT indicator that can show(and record) the spread the moment your pending order(buy/stops&limits; sell/stops&limits) got activated?
This is a tricky one.

The problem is that the order is activated by server and the client can learn about the event only afterwards. The activation is triggered by price at arbitrary time that means that you need to know the spread at any time.

You can find a lot of solutions here and in the metaquotes codebase for collecting ticks in real time. There is a problem with them though. All the programs record ask and bid values of the current tick in start() function. Although on quick markets when the spread is likely to widen the ticks come in packages so the EA or indicator can see only the latest tick that might be not the one that triggered the pending order.

If you need to dig deeper I've developed a tick picker that retrieves the real time info that you can see on the tick tab of Market Watch window without any ticks omitted as far as the terminal stays connected to the server or even disconnects for the time not too long to overflow terminal internal tick buffer (minutes to hours subject to current volatility) so the ticks won't be lost if the terminal is restarted.
  • #3
  • Edited 2:51pm Sep 4, 2009 4:41am | Edited 2:51pm
hey monzulu..... haven't seen one, but if someone can think it someone can code it......

//----

depending just how accurate your wanting to be, you might just print the info to your experts journal everytime the pending pool changed.......

you didn't mention whether the orders were on different symbols, so this was written with the guess they were not....

it's an expert not an indicator..... place on the chart that has your pending orders..... should print info in the experts journal and standard alert.....

keep the input orders higher than your maximum pending orders ..... alert turns on and off the standard "ding" alert ......

the plenty of room for improvement here..... holler back in need be.....h
Attached File(s)
File Type: mq4 spread indicator.mq4   2 KB | 1,833 downloads
to trade and code, keep both simple... no call to impress....h
  • #4
  • Sep 4, 2009 12:16pm Sep 4, 2009 12:16pm
Quoting hayseed
hey monzulu..... haven't seen one, but if someone can think it someone can code it......

//----

depending just how accurate your wanting to be, you might just print the info to your experts journal everytime the pending pool changed.......

you didn't mention whether the orders were on different symbols, so this was written with the guess they were not....

it's an expert not an indicator..... place on the chart that has your pending orders..... should print info in the experts journal and standard alert.....

keep the input orders higher...
Thanks very much Hayseed, you are awesome!!!

Have a nice weekend!
  • #5
  • Sep 4, 2009 1:34pm Sep 4, 2009 1:34pm
Quoting hayseed
the plenty of room for improvement here
It's rather bug fixing actually.

Could you elaborate on that 1 you add to the spread points please?
Inserted Code
  int spread      = ((Ask-Bid)/Point) + 1;

Another problem is in the CountPendingOrders() condition. It ignores OP_BUY orders only counting active sell orders as pending ones.
  • #6
  • Sep 4, 2009 2:44pm Sep 4, 2009 2:44pm
hey itron.... thanks for checking the code..... it's always possible to make mistakes as i did here.....


i did leave off the "=", actually this had it counting all pending and any sell orders that where open.....
corrected.... thanks.....

Inserted Code
 
 
  if(OrderType()<OP_SELL)
   continue;
 
//should read
 
  if(OrderType()<=OP_SELL)    
   continue


markets are closed so i had to trick metatrader into waking up to test the alert.... as you can see in the pictures.....

the 15:43:48 alert as the original code....

the 15:52:30 alert is with the changed code, added the =......

in the 16:08:22 alert , the +1 was removed from the Ask-Bid + 1.... you can see it returns 3, not 4.....

adding 1 is just a habit of mine to bring Ask-Bid in line with marketinfo.... and again, thanks for checking the code......h


//------
//------

and from the fwiw departnent....... the last 2 images, 1 was first posted last night in a reply to tex/kostas and the second just now..... after the dust settled today, 3039 pips today on the usdcad alone.....

hmmmm....... what you reckon that ea would sell for on ebay......h
Attached Image(s) (click to enlarge)
Click to Enlarge Name: itron.jpg Size: 213 KB
Click to Enlarge Name: itron2.jpg Size: 191 KB
Click to Enlarge Name: itron3.jpg Size: 191 KB
Click to Enlarge Name: itron 4.jpg Size: 288 KB
Click to Enlarge Name: texusdcad.gif Size: 65 KB
Attached File(s)
File Type: mq4 spread indicator.mq4   2 KB | 764 downloads
to trade and code, keep both simple... no call to impress....h
  • #7
  • Sep 4, 2009 2:56pm Sep 4, 2009 2:56pm
well dang, lets try again.......

the alert at 16:08:22 , is Ask-Bid ..... returns 3 instead of 4.....h
Attached Image (click to enlarge)
Click to Enlarge Name: itron5.jpg Size: 193 KB
to trade and code, keep both simple... no call to impress....h
  • #8
  • Sep 5, 2009 7:03am Sep 5, 2009 7:03am
http://www.forexfactory.com/images/icons/icon7.gif
  • #9
  • Sep 5, 2009 7:24am Sep 5, 2009 7:24am
Morning h

Try ( NormalizeDouble( Ask, Digits) - NormalizeDouble( Bid, Digits ) ) / MathMax(Point, 0.00001 )

See if that makes any difference.
  • #10
  • Sep 5, 2009 7:32am Sep 5, 2009 7:32am
hey monzulu..... pm'ed you also..... please redownload the ea....

//-----

here is the other deal mentioned, "infamous spreads"..... it also is an ea, place on any chart.... it will monitor spreads and show current, max and min during the time it has been on the chart..... also have more advanced versions .... some allow for selecting certain hours.....

i deal only with ibfx, so if you using someone else or your account is not a mini, switch mini to false....

and of course the picture is from long ago.....h
Attached Image (click to enlarge)
Click to Enlarge Name: infamous spreads.gif Size: 60 KB
Attached File(s)
File Type: mq4 infamous spreads.mq4   22 KB | 982 downloads
to trade and code, keep both simple... no call to impress....h
  • #11
  • Sep 5, 2009 7:38am Sep 5, 2009 7:38am
morning patrick..... long time no hear..... hope all is well.....

//-----

i'll implement your code at once..... knowing you, i'm positive it will work.....

yall take care.......h
to trade and code, keep both simple... no call to impress....h
  • #12
  • Sep 5, 2009 8:06am Sep 5, 2009 8:06am
Quoting Mistigri
( NormalizeDouble( Ask, Digits) - NormalizeDouble( Bid, Digits ) ) / MathMax(Point, 0.00001 )
Looks like a tambourine dance - a lot of noise with no sense.

Actually the transformation of a fixed point value which represents the price to an integer is as simple as this:
Inserted Code
int spread = (Ask - Bid) / Point + 0.5;
  • #13
  • Sep 5, 2009 9:15am Sep 5, 2009 9:15am
hey itron..... sadly, i am not familar with a tambourine dance .......

//-----

i'm hesitant to impose , but if you have the time,

would you say that my original

Quote
int spread = ((Ask-Bid)/Point) + 1;


returns the same as your suggestion


Inserted Code
 
int spread = (Ask - Bid) / Point + 0.5;



my tests indicate they return the same....... if not, i would like to amend further my code above....... thanks for your time......h
to trade and code, keep both simple... no call to impress....h
  • #14
  • Sep 5, 2009 9:39am Sep 5, 2009 9:39am
hey monzulu..... look what you have started.........


Inserted Code
 
  double spread       = (Ask-Bid)/Point;
 
  DoubleToStr(spread, 0)


this is fun......h
to trade and code, keep both simple... no call to impress....h
  • #15
  • Sep 5, 2009 9:51am Sep 5, 2009 9:51am
Quoting hayseed
hey itron..... sadly, i am not familar with a tambourine dance
http://tvdata.ru/show/tuva_life_and_..._6_215.jpg/151
Quote
my tests indicate they return the same
Only by a lucky chance I'm afraid.

The problem is that the fixed point values are stored in floating point type (double) variables. Sometimes it's not possible to represent a fixed point value by a double precisely due to binary nature of the data processing. Hence floating point arithmetic is subject to discretisation error known as epsilon.

Occasionally you have calculated spread stored in a double variable like 2.999999999998. After adding 1 and removing the fracture you'll get 3 as expected.
Too bad if you get the value stored as 3.00000000001. The result of casting to integer after adding 1 will be different (4);

Adding 0.5 to the double provides precise smooth and quick casting.
Why 0.5? Because its an integer power of 2. CPU and FPU just love such numbers.
  • #16
  • Sep 5, 2009 11:15am Sep 5, 2009 11:15am
hey itron..... thanks for your time..... obviously you've given more thought than me so my vote is we change the 1 to 0.5 ....

//-----

and btw, that tvdata site is neat..... esp like the

http://tvdata.ru/cities/a_troika_in_winter/

that's where i'd be if living in russia......h
to trade and code, keep both simple... no call to impress....h
  • #17
  • Sep 6, 2009 4:49am Sep 6, 2009 4:49am
Monzulu,

Check this out:

http://www.forexfactory.com/showthread.php?t=195290

Zen is a brilliant coder and posted the following (above) to record the spread throughout any time of day. Just find the time when your orders were taken and cross reference them with Zen's indicator.

Good luck



Quoting monzulu
Hi guys, do you know of any MT indicator that can show(and record) the spread the moment your pending order(buy/stops&limits; sell/stops&limits) got activated?

I only do pending orders and leave and so when I return home, I have no idea about the spread I was taken in when my order gets hit.

Tnx
Luck is where preparation meets opportunity.......
  • #18
  • Sep 6, 2009 11:02pm Sep 6, 2009 11:02pm
This may also give some idea...!
MT4 should not be get closed. Else all Indi's data is lost!
Use on 1min Charts,Shows Maximum Spread and Spread on Close on candle!

(Posted somewhere on FF itself)
Attached File(s)
File Type: ex4 FXRM Spread History.ex4   3 KB | 828 downloads
100 Fold Challenge->Interested? ->https://www.forexfactory.com/thread/32152
  • #19
  • Last Post: Apr 4, 2014 5:25am Apr 4, 2014 5:25am
good..
tx
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