Multiple broker connection - beta testers wanted!

Posted By: jcl

Multiple broker connection - beta testers wanted! - 09/28/17 06:55

We're currently looking for beta testers for the Zorro S feature "Simultaneous connection to multiple brokers". If you have Zorro S and are interested in broker arbitrage or whatever you can do with this feature, please contact support(at)opgroup.de.
Posted By: stephane97490

Re: Multiple broker connection - beta testers wanted! - 10/10/17 09:10

Hi, for example, I can download at the same time data from alpha vantage and uses them for live trading with fxcm ?
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 10/10/17 10:33

That would work with any Zorro version. AlphaVantage is no broker connection.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 12/16/17 12:43

Just making some experiments with it. If the MT broker does not offer tick data (or not really sufficient) accessible with assetHistory I think it must be possible to record it in live trading with the tick function and the example in the manual "print every price quote in a file". I'm searching for a possibility to convert this file to .t1 but unfortunately the CSVToHistory script covers only .t6 data. It would be very helpful to know how the format string for dataParse has to look like for .t1 or a hint to the manual if I missed something. laugh

Thanks Sphin
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 12/18/17 14:30

You need no .t1 format string. Just store the t1 data directly.

Code:
void tick()
{
	T1* Ask = dataAppendRow(1,2);
	Ask->time = wdate();
	Ask->fVal = priceClose();
}

void click()
{
	dataSort(1);
	dataSave(1,strf("History\\%srec.t1",strx(Asset,"/","")));
	quit("Done!");
}

void run()
{
	BarPeriod = 1;
	LookBack = 0;
	panelSet(-1,-1,"Save");
}

Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 12/18/17 18:43

Thanks a lot!
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 12/30/17 18:08

This works! After I stored some days of .t1 data, made my first tries in backtesting the 'Simple broker arbitrage example' to find out a suitable threshold and then tried a live demo - nothing happened. While printing the spreads to csv I found out that they behave quite differently from simulation with fixed spreads so it might be better to simulate with the variable spreads stored from live/demo environment. From the manual:

Quote:
Both .t1 and .t6 data can contain the current ask-bid spread, which is returned by the marketVal function. For backtesting with variable spread, set Spread = marketVal() in the script.

But how to store the spread in .t1 so that is accessible with marketVal()?
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 01/02/18 09:30

The bid price is negative, so:

Code:
void tick()
{
	T1* Ask = dataAppendRow(1,2);
	Ask->time = wdate();
	Ask->fVal = priceClose();
	T1* Bid = dataAppendRow(1,2);
	Bid->time = wdate();
	Bid->fVal = -(priceClose()-Spread);
}

Posted By: firecrest

Re: Multiple broker connection - beta testers wanted! - 01/03/18 16:11

Hi Sphine,

I have tried broker arbitrage using the same asset between Oanda and IG but was not successful. I used Demo account to play this. I think one possible factor is connection speed. Can it be this strategy is untouchable for retail traders?
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/03/18 17:21

What do you mean with "not successful" - technically or financially? Didn't the script trade at all or weren't the trades profitable?
I use the 'Simple broker arbitrage example' actually only to record spread and price (there is no commission at the used brokers) to find out a practical threshold and to view the relations between these components in a real environment.
Posted By: Grat

Re: Multiple broker connection - beta testers wanted! - 01/03/18 23:04

Hi,

Is no possible this:

BrokerA: zorroMT4
BrokerB:zorroMT64

...............

Login MT4/5...
!FXOpen Investments Inc. connected
!MT4/5 time zone shift -2 at UTC 01-03 23:01
Error: Can't open ZorroMT64.dll!
---------------
Zorro S 1.74

Milan
Posted By: firecrest

Re: Multiple broker connection - beta testers wanted! - 01/04/18 02:01

Originally Posted By: Sphin
What do you mean with "not successful" - technically or financially? Didn't the script trade at all or weren't the trades profitable?
I use the 'Simple broker arbitrage example' actually only to record spread and price (there is no commission at the used brokers) to find out a practical threshold and to view the relations between these components in a real environment.


I mean financially. Technically Zorro works great. "not successful" means that the Demo accounts in both brokers are making a loss instead of gain. I use higher threshold and no trades are triggered. If I use lower threshold, trades are not profitable and losses are limited. The differences between prices of the same asset are too small (about 2- 3 pips) for profit. It can work if only one has almost zero commission and connection speed to capture this.

I think another way to work around this is to trade Indices instead of FX. I have not tried out indices yet but I think it maybe possible. I am sharing what I know to the community and hope this help.
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 01/04/18 12:11

ZorroMT64 is no broker plugin, it belongs to the MT5 library folder only.
For connecting to a MT5 broker, use the normal ZorroMT4 plugin, and rename it as described for connecting to 2 different MT4/5 brokers.
Posted By: Grat

Re: Multiple broker connection - beta testers wanted! - 01/04/18 14:53

Thank's

now working a correct. I was thinking ZorroMT4 -> MT4 and ZorroMT64 -> MT5. This is a my fault.


Milan
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/07/18 12:53

There are some things I cannot comprehend. For searching reasons of lost trades I added this line to the simple broker arbitrage example before any enterX() or exitX() command:
Code:
print(TO_LOG, "\nPriceA: %.0f, PriceB: %.0f, Difference: %.0f", PriceA, PriceB, Difference);


Setting slippage = 0 I expected the logged prices to be the same as the traded ones but:
Code:
[4: Tue 18-01-02 04:00:00] 66.73 0 1/3  (13605.60)

PriceA: 13069, PriceB: 13412, Difference: -343
[Asset_A::L0501] Long 100@13069.00000  at 04:00:00
[Asset_B::S0502] Short 1@13204.59961  at 04:00:00

[5: Tue 18-01-02 05:00:00] 66.73 -155 1/5  (13412.70)
[6: Tue 18-01-02 06:00:00] 66.73 -131 1/5  (13197.10)

PriceA: 13294, PriceB: 13231, Difference: 62
[Asset_A::L0501] Sell 100@13294.00: +162 at 06:00:00
[Asset_B::S0502] Cover 1@13431.50: -283 at 06:00:00


While the logged PriceAs are the same at long entry and sell exit, the differences of logged PriceBs to its short entry is 208 and to its cover exit -200.
The deviation is so extreme that the exit condition is simply not met because PriceA (13294) minus 'traded' PriceB (13431) is -137 and therefore still lower than 0. So the negative result is no surprise.
Any hint where those deviations can result from?
Posted By: firecrest

Re: Multiple broker connection - beta testers wanted! - 01/07/18 16:13

Hi, can it be due to be bid and ask price?
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/07/18 16:22

I supsected it but setting Spread = 1 (and threshold accordingly otherwise it was sensless) the differences kept their sizes like above, so I excluded this idea.
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 01/08/18 08:15

The prices in the log are ask prices anyway. Have you set slippage to 0? Why is the number of lots different?
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/08/18 16:57

Of course slippage is set to 0 already (PriceA is therefore the entry at Broker A, this works as expected). The different lot numbers egalize that Broker A has a minimum trade size of 0.01, Broker B 1.0.
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 01/08/18 17:44

Ok, then I also don't know the reason of the difference. We'll check that. - Update: it turned out that it was a bug of the beta version. This will be fixed in the release.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/10/18 16:55

I use 1.74.3 - is it stil in beta? -> 'Zorro 1.74 (released December 2017)'. Update: I saw on download page that 1.74.3 is in RC.
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 01/11/18 12:11

The latest version is 1.74.5 at http://opserver.de/down/Zorro_1744.exe. In this version the brokerarb problem is supposedly fixed.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/14/18 11:59

I fear it was not or not completely. But the differences have been moved to PriceA/Asset_A compared to the previous version and sometimes the values are equal.

Code:
V 1.745 on Sun 18-01-14 11:43:05
Test: BA_BTC_A_B  (TICKS) 2018
Assets AssetsArb.csv
PriceA: 13842.00000, PriceB: 14353.00000, Difference: -511.00000
[Asset_A::L0101] Long 10@13405.00000  at 00:00:01
[Asset_B::S0102] Short 1@14353.00000  at 00:00:01

[1: Tue 18-01-02 01:00:00] 0000 -93.73 1/1  (14353.00)
[2: Tue 18-01-02 02:00:00] 0000 +421 2/0  (13719.20)

PriceA: 13592.00000, PriceB: 13591.50000, Difference: 0.50000
[Asset_A::L0101] Sell 10@13592.00: +12.40 at 02:52:58
[Asset_B::S0102] Cover 1@13591.40: +509 at 02:52:58

[3: Tue 18-01-02 03:00:00] 522 0 2/0  (13605.60)
[4: Tue 18-01-02 04:00:00] 522 0 2/0  (13412.70)

PriceA: 13071.00000, PriceB: 13412.70020, Difference: -341.70020
[Asset_A::L0501] Long 10@13343.00000  at 04:00:01
[Asset_B::S0502] Short 1@13412.70020  at 04:00:01

[5: Tue 18-01-02 05:00:00] 522 +10.27 3/1  (13204.70)
[6: Tue 18-01-02 06:00:00] 522 -8.10 3/1  (13231.90)

PriceA: 13293.00000, PriceB: 13231.90039, Difference: 61.09961
[Asset_A::L0501] Sell 10@13116.00: -29.00 at 06:00:01
[Asset_B::S0502] Cover 1@13231.90: +20.90 at 06:00:01

[...]
[18: Tue 18-01-02 18:00:00] 514 0 3/1  (13964.50)

PriceA: 14648.00000, PriceB: 13964.40039, Difference: 683.59961
[Asset_A::S1901] Short 10@13914.00000  at 18:00:01
[Asset_B::L1902] Long 1@13964.40039  at 18:00:01

PriceA: 13914.00000, PriceB: 13964.50000, Difference: -50.50000
[Asset_A::S1901] Cover 10@13914.00: -6.30 at 18:00:01
[Asset_B::L1902] Sell 1@13964.90: -131 at 18:00:01

(Broker B has changed its minimum trade size to 0.1, so lot factor for Broker A is now 10)


Especially the last trade seemed very strange, Price_A had fallen from 14648 to 13914 within a second? So I asked ZHistoryEditor about Asset_A.t1 and found:

Code:
2018.01.02 18:00:09.000	13915
2018.01.02 18:00:01.000	13914
2018.01.02 18:00:00.000	13914
2018.01.02 17:59:58.000	13915
2018.01.02 17:59:57.000	13918


No idea where the value of 14648 came from. I compared randomly some further Price_A's from the log with the values of Asset_A.t1 and it was always like in the sample: the prices of Zorro's entries and exits are the ones that I also found in .t1. Anything seems sometimes to go wrong with setting PriceA = priceClose().
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 01/14/18 14:30

Can you contact Support so that we can look into it? We'll need the script and the historical data of both assets.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/14/18 16:47

Done.
Posted By: kujo

Re: Multiple broker connection - beta testers wanted! - 01/19/18 20:56

Originally Posted By: Sphin
Done.


Hi Sphin, I wonder if you have any updates on your issue?
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/19/18 23:15

Sorry - of course. The problem was related to the time order of ticks that was fixed in 1.74.6.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/20/18 00:17

In all .t1 data I recorded meanwhile the seconds end with .000. Is it broker / asset dependant or might there be a problem in wdate() why there are no milliseconds?
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 01/27/18 12:19

Quote:
The bid price is negative, so:

Code:
void tick()
...



I stored .t1 that way and my .t1 in ZHistoryEditor look like
Code:
2018.01.27 00:28:34.000	177,18
2018.01.27 00:28:34.000	-175,23
2018.01.27 00:28:31.000	177,2
2018.01.27 00:28:31.000	-175,23



Then I modified the code of the BrokerArb example with
Code:
asset("Asset_A");
Spread = marketVal(); // From Manual: For backtesting with variable spread, set Spread = marketVal() in the script.
var SpreadA = Spread, PriceA = priceClose(), CommissionA = ...

asset("Asset_B");
Spread = marketVal();
var SpreadB = Spread, PriceB = priceClose(), CommissionB = ...


But both SpreadA and SpreadB remain always 0.0000. Did I miss something?
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 01/29/18 09:45

For the missing milliseconds, check TickTime - it limits the tick rate and by default depends on the bar period. Maybe it's too high. For the marketVal returning zero, I believe marketVal was so far supported in .t6 files only, and only recently extended to the bid-ask spread in .t1 files. Try the latest beta version.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 02/04/18 13:18

TickTime should be 100ms by default (BarPeriod = 1), can it be set to 0 or 1?

Yes, 1.78.5 can read the bid-ask spread from .t1 with marketVal(), great!

Is it possible to observe and trade more than one asset at 2 Brokers with one script (renaming variables SpreadA/B, CommissionA/B, Difference and Threshold to asset-individual ones and list the further asset(s) in the run function) or are there limitations e.g. in the tick function or is it recommended to use seperate scripts?
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 02/07/18 11:18

Yes, for downloading data you can set TickTime to a small value. I don't know what happens when you set it to 0, but 1 should work.

The brokerarb script should also work with several assets.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 02/12/18 19:30

TickTime = 1 does not change resolution, there are no values below 1 second but .000. I used FXCM for this test and I think they provide milliseconds in general, at least in the .t1 from the download page.
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 02/13/18 09:36

Ok, we'll look into that. - Update: it appears to be not related to TickTime at all, but a bug with the wdate function. This will be fixed in the next version.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 02/17/18 13:53

I have a strange problem with (normal) currencies (with crypto assets all works fine), I always get the same result of -600 of each phantom trade:

{GBPUSD_B1::l6801} Long 1@1.40057 at 20:08:34
{GBPUSD_B2::s6802} Short 1@1.40113 at 20:08:34
{GBPUSD_B1::l6801} Sell 1@1.40070: -600 at 20:08:40
{GBPUSD_B2::s6802} Cover 1@1.40065: -600 at 20:08:40

[1268: Mon 18-02-05 20:09:02] (1.40118)
{GBPUSD_B1::s6901} Short 1@1.40179 at 20:09:10
{GBPUSD_B2::l6902} Long 1@1.40119 at 20:09:10
{GBPUSD_B1::s6901} Cover 1@1.40176: -600 at 20:09:17
{GBPUSD_B2::l6902} Sell 1@1.40187: -600 at 20:09:17

[1269: Mon 18-02-05 20:10:03] (1.40141)
{GBPUSD_B1::s7001} Short 1@1.40187 at 20:10:12
{GBPUSD_B2::l7002} Long 1@1.40131 at 20:10:12
{GBPUSD_B1::s7001} Cover 1@1.40181: -600 at 20:10:14
{GBPUSD_B2::l7002} Sell 1@1.40222: -599 at 20:10:14

In the asset list GBPUSD_X looks identical to the other assets:

GBPUSD_B1,1.41249,0.00047,-0.4898,0.3292,0.00010,0.080288,2.8336,400.218,1000.0,0.600,B1_Arb:GBP/USD
GBPUSD_B2,1.54901,0.00006,0.07,-0.15,0.0001,0.09129,16,0,1000,0.6,B2_Arb:GBP/USD

Any idea where I can search for the reason?
Posted By: Petra

Re: Multiple broker connection - beta testers wanted! - 02/18/18 16:53

I think, the parameters in the asset list are different when the asset is a currency or not. GBPUSD_B1 is probably not detected as currency because of the "_B1".
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 02/18/18 18:05

As far as I know the only part in the asset list that distinguishes currencies from other assets is the 'LotAmount' which is 1000 (in my case on micro accounts) with currencies. But I don't know if trade results of currencies are calculated separately?
Within the 6 trades above the results vary from -1,3 to +9,1 PIPs with 1 Lot each and the monetary result is always -600. I think e.g.

{GBPUSD_B1::l6801} Long 1@1.40057 at 20:08:34
{GBPUSD_B1::l6801} Sell 1@1.40070: -600 at 20:08:40

the calculated difference in 1 Lot is 1,400.70 - 1,400.57 = 0.13 and might be anyway around -0.50 (with commission and intermediate spread) but I cannot comprehend where the -600 come from. This way there are only a few of those trades needed to blow up my account.
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 02/19/18 11:05

Trading costs are 10,000 times higher due to the Forex multiplicator. Check out the latest beta version. Asset names like "GBPUSD_B1" should be of type Forex in that version. In previous versions they were not.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 02/20/18 19:02

Can confirm both, EURUSD_B1 is identified as Forex and the issues in the Forex trades from above has been gone in 1.79.3.

Okay, the resolutions of trade results are now up to 7 decimals although I did not modify the assets in the asset list to more decimals
Quote:
{EURJPY_B1::s5701} Cover 1@132.32: -0.0070341 at 05:14:11
but I don't mind about it. laugh
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 02/21/18 09:19

If you do not explicitely set a number of decimals, the decimals depend on the amount.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 02/25/18 12:03

I have 2 further issues (1.79.3):

1. The calculated spreads from the marketVal() function seem not to be correct or not always. This effects of course only test mode, in trade mode with the spreads coming from the brokers all is ok.

Quote:
From Log:
2018-02-23 08:42:49.604
AssetA: EURGBP_B1, PriceA: 0.88072, SpreadA: 0.00000, CommissionA: 0.00007

From .t1 with ZHistoryEditor:
2018.02.23 08:42:49.604 0,88072
2018.02.23 08:42:49.604 -0,88064


From Log:
2018-02-23 14:59:42.400
AssetA: EURGBP_B1, PriceA: 0.87982, SpreadA: 0.00004, CommissionA: 0.00007

From .t1 with ZHistoryEditor:
2018.02.23 14:59:42.399 0,87982
2018.02.23 14:59:42.399 -0,87974

From Log:
2018-02-23 15:05:34.602
AssetA: EURGBP_B1, PriceA: 0.88017, SpreadA: 0.00000, CommissionA: 0.00007

From .t1 with ZHistoryEditor:
2018.02.23 15:05:34.602 0,88017
2018.02.23 15:05:34.602 -0,88008


From Log:
2018-02-23 15:00:5.196
AssetA: EURGBP_B1, PriceA: 0.88020, SpreadA: 0.00008, CommissionA: 0.00007

From .t1 with ZHistoryEditor:
2018.02.23 15:00:05.195 -0,8801
2018.02.23 15:00:05.195 0,8802

From Log:
2018-02-23 15:49:25.268
AssetA: EURGBP_B1, PriceA: 0.87907, SpreadA: 0.00003, CommissionA: 0.00007

From .t1 with ZHistoryEditor:
2018.02.23 15:49:25.268 0,87907
2018.02.23 15:49:25.268 -0,87899


I coded one strategy on 2 ways (one with fixed asset calls, the other one with a loop) and received 2 different results while testing. Searching for an error I surprisingly found out that both variants did exactly the same trades, only their results differ.

Quote:
from the 1st:

[54: Fri 18-02-23 00:54:00] (0.88342)
[EURGBP_B1::S5501] Short 1@0.88331 at 00:55:00
[EURGBP_B2::L5502] Long 1@0.88317 at 00:55:00

[55: Fri 18-02-23 00:55:00] 0000 -0.88 0/2 (0.88296)
[EURGBP_B1::S5501] Cover 1@0.88335: -0.77 at 00:55:31
[EURGBP_B2::L5502] Sell 1@0.88332: +0.0563 at 00:55:31


[491: Fri 18-02-23 08:11:00] -0.72 0 1/1 (0.88162)
[EURGBP_B1::L9201] Long 1@0.88137 at 08:11:31
[EURGBP_B2::S9202] Short 1@0.88175 at 08:11:31

[EURGBP_B1::L9201] Sell 1@0.88154: -0.53 at 08:11:51
[EURGBP_B2::S9202] Cover 1@0.88151: +0.19 at 08:11:51

from the 2nd:

[54: Fri 18-02-23 00:54:00]
[EURGBP_B2::L5501] Long 1@0.88317 at 00:55:00
[EURGBP_B1::S5502] Short 1@0.88331 at 00:55:00

[55: Fri 18-02-23 00:55:00] 0000 -0.27 0/2
[EURGBP_B1::S5502] Cover 1@0.88335: -0.24 at 00:55:31
[EURGBP_B2::L5501] Sell 1@0.88332: +0.0563 at 00:55:31


[491: Fri 18-02-23 08:11:00] -0.18 0 1/1
[EURGBP_B1::L9201] Long 1@0.88137 at 08:11:31
[EURGBP_B2::S9202] Short 1@0.88175 at 08:11:31

[EURGBP_B2::S9202] Cover 1@0.88151: +0.22 at 08:11:51
[EURGBP_B1::L9201] Sell 1@0.88154: +0.11 at 08:11:51


How can I find out what is right or better: reliable?
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 02/28/18 14:08

There must be a reason of the different results, but that is hard to tell without seeing the code. Can you contact Support with both variants? The'll look into it.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 02/28/18 18:01

Thanks, because of the 2nd issue I investigate further and have to stripe down the codes before sending them to support.
But can you please check concerning the 1st one? I set SpreadA = marketVal() in test mode but the values does not match the ask / bid differences in the related .t1 files. This happens only in test mode, if the values come from the broker in trade mode Spread works fine. Thanks.
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 02/28/18 18:14

For the spread, check the difference of bid and following ask in the history. I believe the used order is bid->ask, not ask->bid.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 03/01/18 18:47

Ohh...kay, I take 2 subsequent price ticks from the .t1

t(0):
2018.02.23 21:59:14.915 1,22987
2018.02.23 21:59:14.915 -1,22933

t(1):
2018.02.23 21:59:13.445 1,22983
2018.02.23 21:59:13.445 -1,22929

The spread at t(0) then is ask(t(0)) - bid(t(1))?
Posted By: jcl

Re: Multiple broker connection - beta testers wanted! - 03/02/18 17:25

The time t plays no role. Only the order matters. The spread is ask - latest bid.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 03/02/18 17:57

Sorry but I don't understand the word 'order' in this context if time plays no role. My simple problem is that I can't comprehend the spreads in the log of a back test. So I only want to know how to calculate the spread if time is 2018.02.23 21:59:14.915 and the .t1 file of the asset shows the entries above because my thinking of the spread as the difference of both absolut values at 2018.02.23 21:59:14.915 seems to be wrong.
Posted By: kujo

Re: Multiple broker connection - beta testers wanted! - 03/02/18 21:03

As I understand it, it should be 1.22987-1.22933 = 0.00054.
What does Zorro give you?
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 03/03/18 01:15

This was also my first guess but see my post on top of the page:

if the prices in .t1 are e.g.

2018.02.23 08:42:49.604 0,88072
2018.02.23 08:42:49.604 -0,88064

Zorro says spread = 0.00000.
Posted By: kujo

Re: Multiple broker connection - beta testers wanted! - 03/03/18 01:18

Did you send it to support? Look like a bug. It should be pretty straitforward
Posted By: Hredot

Re: Multiple broker connection - beta testers wanted! - 03/03/18 05:34

Wait, you guys realize that this difference is literally hundredths of a cent? How many trades per second do you plan to perform for this to possibly have any effect?
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 03/03/18 09:43

If the trading idea is broker arbitrage where trading decisions are mainly based on price differences in the amount of SpreadA+SpreadB+CommissionA+CommissionB then spreads matter. They maybe small in one unit of a currency that you mostly trade at least with factor 1,000 but e.g. in BTCUSD the spread is not seldom around 50 USD.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 03/03/18 10:51

Does the FXCM API support OrderLimit? If not is there any broker known that does?

As far as I think to know something like this should not happen:
Code:
[1158: Fri 18-03-02 14:17:01] (1.37795)
2018-03-02 14:17:55.4555
Asset: GBPUSD_FXCM, Price: 1.37750, Spread: 0.00001, Commission: 0.00007, TickAge: 0.00002
OrderLimit: 1.37746
[GBPUSD_FXCM::S5254] Short 1@1.37694  at 14:17:55.



How to avoid it if OrderLimit is not supported? Setting any Entry away from the actual price only to open a pending trade and using a 'PriceLimit' in a TMF?

Code:
int TMF(var PriceLimit) {
 if(!TradeIsOpen) {
  if(TradeIsLong && TradePriceOpen > PriceLimit) 
        return 1;
  if(TradeIsShort && TradePriceOpen < PriceLimit) 
	return 1;
 }
}



Is this a viable way to simulate OrderLimit?
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 03/04/18 13:16

For better comprehensibility and because they don't deal with broker arbitrage directly I divided my questions in different threads. Thanks so far.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 03/05/18 19:32

Sorry for quite many forum entries but I have another issue.

Quote:
Stop, Profit, Trail, Entry, ...
[...]All parameters above must be set after selecting the asset and before calling enterLong / enterShort. They have no effect on different assets [...]

Can it be that e.g. EURUSD_B1 and EURUSD_B2 are considered as one asset anyway? I have to reset Entry explicitly after changing asset from XXX_B1 to XXX_B2 or is this intended?
Posted By: tradingest

Re: Multiple broker connection - beta testers wanted! - 04/28/18 22:32

I'm available for beta testing
Posted By: Veratyr

Re: Multiple broker connection - beta testers wanted! - 05/03/18 09:03

I've been testing the beta with 3 assets across 4 brokers and I've found that Zorro can't keep up with the data.

I have the Zorro window and the MT4 status windows right next to each other and watch the price on Zorro's status bar. I notice that somewhat frequently, Zorro holds still for at least a second at a time, while I can still see MT4 ticking. Zorro even keeps its little asterisk while I see the price change.

I've talked to support and they've just told me to increase TickTime (which is currently 1) but I don't think this is a good option, as broker arbitrage is extremely latency sensitive.
Posted By: firecrest

Re: Multiple broker connection - beta testers wanted! - 05/25/18 02:24

Originally Posted By: Veratyr
I've been testing the beta with 3 assets across 4 brokers and I've found that Zorro can't keep up with the data.

I have the Zorro window and the MT4 status windows right next to each other and watch the price on Zorro's status bar. I notice that somewhat frequently, Zorro holds still for at least a second at a time, while I can still see MT4 ticking. Zorro even keeps its little asterisk while I see the price change.

I've talked to support and they've just told me to increase TickTime (which is currently 1) but I don't think this is a good option, as broker arbitrage is extremely latency sensitive.


I guess this means that broker arbitrage is out of retail traders reach.
Posted By: Sphin

Re: Multiple broker connection - beta testers wanted! - 05/25/18 17:32

This might be true or not but I can't see the relationship between your conclusion and the quote of Veratyr's post. Zorro will be developed continuously and if there are such problems I think they will be amended shortly.
Posted By: firecrest

Re: Multiple broker connection - beta testers wanted! - 06/29/18 16:35

Zorro is OK. I think is my my connection or hardware which are not fast enough to play this strategy.
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