Zorro loses track of some trades

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Zorro loses track of some trades #463926
01/07/17 18:05 01/07/17 18:05

Joined: May 2016
Posts: 180
Prague

pcz

OP
Member

pcz

OP
Member

Joined: May 2016
Posts: 180
Prague

I've had this issue for at least six months. Most of the trades are closed properly but some keep hanging in MT while another trade is opened. The strategy uses simple enterLong() / enterShort() with no SL or PT and there are only two nested loops (algo / asset). There's also a condition limiting number of open trades in given direction to 1 (using NumOpenLong and NumOpenShort). I'm using MT bridge.

Here is a concrete example...

MT statement (the first trade had to be closed manually):

Code:

3067167	2017.01.02 20:00:02	sell	0.10	usdchf	1.02337	0.00000	0.00000	2017.01.03 12:04:43	1.02950	-0.10	0.00	-1.21	-57.30
3067251	2017.01.03 03:00:01	sell	0.10	usdchf	1.02230	0.00000	0.00000	2017.01.03 23:00:02	1.02699	-0.10	0.00	-0.88	-43.86

Zorro trade log. As you can see the price of the 1st trade makes no sense, the first two IDs are weird too. When I inspected the trade log further I found out that the same ID (3067181) belongs to another trade on GBP/USD where the price actually makes sense. It seems that Zorro mixed them up somehow:

Code:

IBS,Short,USD/CHF,3067181,1,2017-01-02 20:00,2017-01-02 22:00,1.2281,1.2275,-5.74,0.00,Reverse
IBS,Long,USD/CHF,10000,1,2017-01-02 22:00,2017-01-03 20:45,1.0243,1.0242,-1.63,0.00,Closed
IBS,Short,USD/CHF,3067251,1,2017-01-03 03:00,2017-01-03 23:00,1.0223,1.0270,-43.86,-0.88,Reverse

Zorro event log:

Code:

[Mon 02.01.17 20:00] 47717 -1139 +6 //\\\  1.0462/1.04651.0460/1.0461
Buy 1S USD/CHF Stop 0.0000 at 20:00:01
BrokerSell USD/CHF: 229 ms
[USD/CHF:IBS:L7149] Reverse 1@1.02389: -3.36 at 20:00:01
Entr 1.0237 Exit 1.0239 Spr 0.0005 Slp 0.09$ Rol 0.00$ Com 0.60$
BrokerBuy USD/CHF: 259 ms
[USD/CHF:IBS:S7167] Short 1@1.02390  at 20:00:01
Units: 9340.2080 Margin: 0.00 MCost: 191.2010 PCost: 0.93402
...
[Mon 02.01.17 22:00] 47375 -1152 -167 /\\\  1.0461/1.04611.0451/1.0461
Buy 1L USD/CHF Stop 0.0000 at 22:00:01.....
BrokerSell USD/CHF: 16670 ms
[USD/CHF:IBS:S7181] Reverse 1@1.02428: -5.74 at 22:00:01
Entr 1.2286 Exit 1.2275 Spr 0.0005 Slp -0.09$ Rol 0.00$ Com 0.60$......
BrokerBuy USD/CHF: 16550 ms
[USD/CHF:IBS:L0000] Long 1@1.02428  at 22:00:01
Units: 9348.7646 Margin: 0.00 MCost: 191.3220 PCost: 0.93488.
...
[Tue 03.01.17 03:00] 47600 -1254 -21 //\\  1.0476/1.04781.0471/1.0472
Buy 1S USD/CHF Stop 0.0000 at 03:00:01
BrokerSell USD/CHF: 22 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02242 at 03:00:01.
BrokerBuy USD/CHF: 173 ms
[USD/CHF:IBS:S7251] Short 1@1.02242  at 03:00:01
Units: 9340.8184 Margin: 0.00 MCost: 190.9840 PCost: 0.93408
BrokerSell USD/CHF: 176 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02242 at 03:00:01
BrokerSell USD/CHF: 21 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02243 at 03:01:02
BrokerSell USD/CHF: 34 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02243 at 03:03:04
BrokerSell USD/CHF: 26 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02231 at 03:06:06
BrokerSell USD/CHF: 22 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02223 at 03:10:08
BrokerSell USD/CHF: 26 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02207 at 03:15:08
BrokerSell USD/CHF: 21 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02207 at 03:21:09
BrokerSell USD/CHF: 32 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02190 at 03:28:10
BrokerSell USD/CHF: 31 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02179 at 03:36:16
BrokerSell USD/CHF: 21 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02179 at 03:45:17
BrokerSell USD/CHF: 39 ms
[USD/CHF:IBS:L0000] Can't close 1@1.02160 at 03:55:21

Re: Zorro loses track of some trades [Re: pcz] #464130 01/24/17 11:44 01/24/17 11:44
Joined: May 2016 Posts: 180 Prague pcz OP Member
pcz OP Member Joined: May 2016 Posts: 180 Prague	I contacted Zorro support and they replied that with MT bridge v 1.11 wrong prices could be caused by outliers. Should be fixed in 1.12. I'll install it on friday and will report back in a month or so.

Re: Zorro loses track of some trades [Re: pcz] #464327 02/06/17 11:24 02/06/17 11:24
Joined: May 2016 Posts: 180 Prague pcz OP Member
pcz OP Member Joined: May 2016 Posts: 180 Prague	Seems like the problem persists. Moreover I get nonsensical prices in the trade log with the new version of MT bridge.

Re: Zorro loses track of some trades [Re: pcz] #464341 02/06/17 18:18 02/06/17 18:18
Joined: Jul 2000 Posts: 27,982 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,982 Frankfurt	Then it had most likely a different reason, unrelated to outliers. Please contact Support again with your logs.

Moderated by Petra