Posted By: Zheka
Feeding Zorro with price data from a file - 10/12/17 12:53
Jcl,
I want to read continuous quotes from a file to feed Zorro script making calculation off e.g. 10min bars in RT, but without sending orders to a broker.
I have studied your HFT simulation example with NxCore, but need to clarify some things.
1. For Zorro to have price fields available internally, does it have to be a 'broker plug-in'?
2. How does one generally use and implement a callback() function? Which function in the Broker plugin should call it? There is no documentation.
3. In NxCore example callback() returns 1. Does this have any meaning?
4. If I set ticks read from a file via priceQuote() - like in an NxCore example - would Zorro then automatically build bars and fill in its internal t6 structs?
5. if (4) is Yes, then If a price in PriceQuote() is negative, it is considered Bid. Would Zorro automatically calculate Spread and fill it in the t6 struct?
5. Can I set fields of a t6 structs in the callback() directly? Would be great to have a function like PriceQuote but for *.t6.
Your any other advice is greatly appreciated.
I want to read continuous quotes from a file to feed Zorro script making calculation off e.g. 10min bars in RT, but without sending orders to a broker.
I have studied your HFT simulation example with NxCore, but need to clarify some things.
1. For Zorro to have price fields available internally, does it have to be a 'broker plug-in'?
2. How does one generally use and implement a callback() function? Which function in the Broker plugin should call it? There is no documentation.
3. In NxCore example callback() returns 1. Does this have any meaning?
4. If I set ticks read from a file via priceQuote() - like in an NxCore example - would Zorro then automatically build bars and fill in its internal t6 structs?
5. if (4) is Yes, then If a price in PriceQuote() is negative, it is considered Bid. Would Zorro automatically calculate Spread and fill it in the t6 struct?
5. Can I set fields of a t6 structs in the callback() directly? Would be great to have a function like PriceQuote but for *.t6.
Your any other advice is greatly appreciated.