0 registered members (),
1,459
guests, and 9
spiders. |
Key:
Admin,
Global Mod,
Mod
|
|
|
Skipped trades Z1 Oanda
#487032
01/02/23 12:15
01/02/23 12:15
|
Joined: Dec 2022
Posts: 5 Gredstedbro
AndersM
OP
Newbie
|
OP
Newbie
Joined: Dec 2022
Posts: 5
Gredstedbro
|
Hi,
Happy new year to all :-)
I'm running the Z1 system, on an Oanda paper account, in preparation to go live with real money. It all runs smooth apart from one thing. I get several "skipped trades" and can't figure out what I do wrong.
Below is one example with XAU. During the last two months, I had the same issue with NAS100, US30, US500, GER30.
[Mon 22-12-19 00:21] 3980 -19.96 0/3 (1.21661) (XAU/USD:HU:L) Skipped (Margin 105 Min 358)
As i understand the documentation, this means that zorro skipped the trade, because the margin requirements for one lot is 358, and zorro wants to buy 105 margin only.
But if i open my account at Oanda, I see margin requirements of 91 for one lot XAU, and not the 358 reported by zorro. With the current price around 1820, zorro assumes margin of 20%(358/1820) while the account has margin of 5%(91/1820).
This margin requirements should come from the broker API if available, or from parameters in the asset csv file. XAU has the following parameters in the assetFix.csv: Multiplier = 1 MarginCost = -1
With correct multiplier and 1% margin in asset csv file, I don't understand where Zorro gets the 20% margin requirements from?
Hopefully you can help me sort it out, thanks a lot...
regards Anders
|
|
|
Re: Skipped trades Z1 Oanda
[Re: AndersM]
#487037
01/03/23 10:12
01/03/23 10:12
|
Joined: Dec 2022
Posts: 5 Gredstedbro
AndersM
OP
Newbie
|
OP
Newbie
Joined: Dec 2022
Posts: 5
Gredstedbro
|
Hi JCL,
Thanks a lot for your reply, that brought me closer to a solution, but still….
The Log/Assts.csv file has some weird margins. I tried to delete it, and restart Zorro, to see if it had somehow received wrong margins from Oanda. Same result.
Gold and equity indexes, all at 20% margin, which explains the skipped trades.
FX margin examples - AUDUSD 20%, EURCHF 1%, EURUSD and USDJPY 30%. That explains why also FX positions seems relatively small compared to testing. But something is clearly wrong with these FX margins.
A backtest with the Oanda “API margins” results in 9% annual return vs 51% with the margins, that I see when logged in to the Oanda platform(4-5%).
Then my question is. Have you seen this type of discrepancy before, the difference between API and trading platform margins? The weird high and very different FX margins?
I guess the problem lies with Oanda, but still you might have some experience with the same issues. Should I expect different API margins on a real account vs paper account?
Thanks
Regards Anders
|
|
|
|