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Re: Is Zorro's rollover calculation wrong? [Re: pcz] #464997
03/23/17 18:15
03/23/17 18:15
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Missing data, possibly. Maybe the T1 data had gaps and therefore less days for the rollover.

Re: Is Zorro's rollover calculation wrong? [Re: jcl] #465002
03/24/17 09:43
03/24/17 09:43
Joined: May 2016
Posts: 180
Prague
pcz Offline OP
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pcz  Offline OP
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Joined: May 2016
Posts: 180
Prague
In both cases the data are generated from Dukascopy's tick data. I even tried exporting M1 bars for T1 and T6 data and there's not a single difference between them as far as I can tell. It seems though that the difference in rollover calculation occurs only around weekends.

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #465004
03/24/17 17:30
03/24/17 17:30
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Rollover is accumulated at any new day. So I would suspect that for some reason one data set had less day changes, possibly Friday or Sunday, than the other one.

Sum up the open rollover of all open trades and plot or print the result at any bar. Then you can see where the differences come from.

var RollSum = 0;
for(open_trades) RollSum += TradeRoll;

Re: Is Zorro's rollover calculation wrong? [Re: jcl] #465009
03/25/17 16:13
03/25/17 16:13
Joined: May 2016
Posts: 180
Prague
pcz Offline OP
Member
pcz  Offline OP
Member

Joined: May 2016
Posts: 180
Prague
Having this trade:
Code:
Type       Lots	  Open	                Close	                Entry	Exit	Profit	Roll
T1/Short   1	  2015-01-09 11:00	2015-01-12 07:00	0.8136	0.82442	-104.22	-3.03
T6/Short   1	  2015-01-09 11:00	2015-01-12 07:00	0.8136	0.82442	-107.25	-6.06



Printing the trade roll gives me this for T1 data (using hour() and minute() functions when printing; BarPeriod is 60):
Code:
...
2015-01-09 19:00, 0.000000
2015-01-11 23:00, 0.000000
2015-01-12 00:00, 0.000000
2015-01-12 01:00, -3.030200
2015-01-12 02:00, -3.030200
2015-01-12 03:00, -3.030200
2015-01-12 04:00, -3.030200
2015-01-12 05:00, -3.030200
2015-01-12 06:00, -3.030200



For T6 data this:
Code:
...
2015-01-09 19:00, 0.000000
2015-01-11 23:00, 0.000000
2015-01-12 00:00, -3.030200
2015-01-12 01:00, -6.060400
2015-01-12 02:00, -6.060400
2015-01-12 03:00, -6.060400
2015-01-12 04:00, -6.060400
2015-01-12 05:00, -6.060400
2015-01-12 06:00, -6.060400



9.1.2015 was Friday and 12.1. was Monday.

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #465018
03/27/17 09:16
03/27/17 09:16
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
The T6 rollover looks ok. The T1 rollover looks as if there were no prices on Sunday. Can you check if the T1 data had a Sunday gap? Rollover is only added when the asset had a price change since the last rollover.

Re: Is Zorro's rollover calculation wrong? [Re: jcl] #465020
03/27/17 09:57
03/27/17 09:57
Joined: May 2016
Posts: 180
Prague
pcz Offline OP
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pcz  Offline OP
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Joined: May 2016
Posts: 180
Prague
Both price files (.t1 and .t6) have prices on Sunday. The first Sunday entry in .t1 file has timestamp 2015-01-11 22:00:03.300 and the first entry in .t6 file has timestamp 2015-01-11 22:01. The Weekend variable has its default value in both cases.

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #465023
03/27/17 17:08
03/27/17 17:08
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Hmm, if all is identical, then I do not know why the t1 and the t6 data have different rollover. So someone had to really look into it. If you want, you can send your script and the data sets to Support. They'll find out where the difference comes from.

Re: Is Zorro's rollover calculation wrong? [Re: jcl] #465025
03/27/17 19:30
03/27/17 19:30
Joined: May 2016
Posts: 180
Prague
pcz Offline OP
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pcz  Offline OP
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Joined: May 2016
Posts: 180
Prague
Thank you jcl, I will.

Re: Is Zorro's rollover calculation wrong? [Re: pcz] #465348
04/20/17 11:43
04/20/17 11:43
Joined: May 2016
Posts: 180
Prague
pcz Offline OP
Member
pcz  Offline OP
Member

Joined: May 2016
Posts: 180
Prague
I got response from the support. The issue was that in TICKS mode a tick in the historical data was evaluated even outside trading hours. It will be fixed in the next version.

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