Why history files are different since version 1.83?

Posted By: kvm

Why history files are different since version 1.83? - 08/16/18 15:39

Why history files are different since version 1.83.2? Shouldn't they be constant?

Zorro-1.50.6/History/EURUSD_2005.t6 11463072 bytes
Zorro-1.66.4/History/EURUSD_2005.t6 11463072 bytes
Zorro-1.74.8/History/EURUSD_2005.t6 11463072 bytes

Zorro-1.83.2/History/EURUSD_2005.t6 11501856 bytes
Downloaded-from-site/EURUSD_2005.t6 11501856 bytes

This also aplies to other EURUSD files and greatly affects test results.
Posted By: jcl

Re: Why history files are different since version 1.83? - 08/20/18 08:48

If new files are different to old files, then they were either from a different source, or have been modified on the server. Currently all forex history is from FXCM.
Posted By: Jason_Rogers

Re: Why history files are different since version 1.83? - 08/20/18 20:50

Do you have examples of the discrepancies, other than the file size? You can send them to api@fxcm.com and mention you're trading via Zorro
Posted By: kvm

Re: Why history files are different since version 1.83? - 08/22/18 09:04

I've investigated a little bit more. I think the problem lies in how the bar's time was processed and saved in t6 files.

Here are the first three records from EURUSD_2005-Zorro_1.83 and EURUSD_2005-Zorro_1.74, respectively:

2005.12.30,20:00:00,1.18389,1.18399,1.18389,1.18399,5
2005.12.30,19:59:00,1.18369,1.18389,1.18369,1.18389,3
2005.12.30,19:57:00,1.18359,1.18369,1.18359,1.18369,1

2005.12.30,19:59:00,1.18389,1.18399,1.18389,1.18399,5
2005.12.30,19:58:00,1.18369,1.18389,1.18369,1.18389,3
2005.12.30,19:56:00,1.18359,1.18369,1.18359,1.18369,1

As you can see they are identical except the time is shifted forward by 1 minute in Zorro_1.83!

And here is the same example but with a random bar:

EURUSD_2005-Zorro_1.83:
2005.06.29,0053:00,1.20689,1.20719,1.20689,1.20719,8

EURUSD_2005-Zorro_1.74:
2005.06.29,0052:00,1.20689,1.20719,1.20689,1.20719,8
Posted By: jcl

Re: Why history files are different since version 1.83? - 08/23/18 09:45

Yes, I remember the timestamp was changed from bar start to bar end some time ago.
Posted By: kvm

Re: Why history files are different since version 1.83? - 08/23/18 14:01

Originally Posted By: jcl
Yes, I remember the timestamp was changed from bar start to bar end some time ago.


Hi jcl, now I've noticed the little difference in BrokerHistory2() method description:

Zorro_v1.74.chm: ticks - Output, array of T6 structs to be filled with the ask price history and additional optional data if available...

Zorro_V1.83.chm: ticks - Output, array of T6 structs to be filled with the ask prices, bar end time, and optionally additional data if available...

Isn't this a big change from a plugin's point of view? How can we be sure that every plugin is aware of the change, because the API technicaly is the same, only the description is different.

For example, a plugin developed with API 1.74 in mind will feed with wrong data Zorro 1.83+, because it still implements the correct API methods.
Posted By: jcl

Re: Why history files are different since version 1.83? - 08/23/18 14:29

The reason of switching to bar end time was not that earlier versions were 'wrong', but compatibility with .t1 data. When using bar end time, t1 and t6 data produce the same prices, otherwise they are slightly different. If you have a plugin with bar start time, you can safely continue to use it.
Posted By: kvm

Re: Why history files are different since version 1.83? - 08/23/18 16:32

OK, thanks. But I will change my plugins to return the end date, just to be on the safe side.
Posted By: kvm

Re: Why history files are different since version 1.83? - 10/09/18 13:53

Originally Posted By: jcl
The reason of switching to bar end time was not that earlier versions were 'wrong', but compatibility with .t1 data. When using bar end time, t1 and t6 data produce the same prices, otherwise they are slightly different. If you have a plugin with bar start time, you can safely continue to use it.


Is this valid for all time periods? What time should plugin returns for D1 bars?
Posted By: jcl

Re: Why history files are different since version 1.83? - 10/09/18 14:40

D1 bars usually have no time, but only a date. That can be left as it is.
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