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#468286 - 09/28/17 08:55 Multiple broker connection - beta testers wanted!
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26397
Loc: Frankfurt
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.

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#468561 - 10/10/17 11:10 Re: Multiple broker connection - beta testers wanted! [Re: jcl]
stephane97490 Offline
Newbie

Registered: 06/04/16
Posts: 30
Loc: france
Hi, for example, I can download at the same time data from alpha vantage and uses them for live trading with fxcm ?

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#468563 - 10/10/17 12:33 Re: Multiple broker connection - beta testers wanted! [Re: stephane97490]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26397
Loc: Frankfurt
That would work with any Zorro version. AlphaVantage is no broker connection.

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#469956 - 12/16/17 13:43 Re: Multiple broker connection - beta testers wanted! [Re: jcl]
Sphin Offline
User

Registered: 12/11/13
Posts: 564
Loc: Fuerth, DE
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

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#469993 - 12/18/17 15:30 Re: Multiple broker connection - beta testers wanted! [Re: Sphin]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26397
Loc: Frankfurt
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");
}


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#470001 - 12/18/17 19:43 Re: Multiple broker connection - beta testers wanted! [Re: jcl]
Sphin Offline
User

Registered: 12/11/13
Posts: 564
Loc: Fuerth, DE
Thanks a lot!

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#470167 - 12/30/17 19:08 Re: Multiple broker connection - beta testers wanted! [Re: Sphin]
Sphin Offline
User

Registered: 12/11/13
Posts: 564
Loc: Fuerth, DE
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()?

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#470195 - 01/02/18 10:30 Re: Multiple broker connection - beta testers wanted! [Re: Sphin]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26397
Loc: Frankfurt
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);
}


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#470225 - 01/03/18 17:11 Re: Multiple broker connection - beta testers wanted! [Re: Sphin]
firecrest Offline
Junior Member

Registered: 12/06/16
Posts: 61
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?

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#470226 - 01/03/18 18:21 Re: Multiple broker connection - beta testers wanted! [Re: firecrest]
Sphin Offline
User

Registered: 12/11/13
Posts: 564
Loc: Fuerth, DE
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.

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