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Re: IB Plugin needs a fix [Re: mhdus] #469304
11/10/17 16:54
11/10/17 16:54
Joined: Jul 2017
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Zheka Offline OP
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Zheka  Offline OP
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Posts: 783
That was exactly my perspective.
Zorro allows to easily research and prototype complex portfolio multi-asset strategies AND their execution with Options!
These can only be reliably traded in production with the likes of IB (CQG,TT,Rithmic) and the possibilities they offer.

I think the concept of a "trade" is needed internally - to keep separate track of positions for different algos/instruments.
Most probably nothing needs to be conceptually changed in user-exposed trade entry/exit functions.
But current limitation on order types submitted in a plugin seems to be driven by Zorro's self-implementation of NFA.

Last edited by Zheka; 11/10/17 17:01.
Re: IB Plugin needs a fix [Re: Zheka] #470865
02/09/18 15:59
02/09/18 15:59
Joined: Sep 2017
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Hredot Offline
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Hredot  Offline
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I wonder, what is the final result of the discussion on speeding up historical data download from IB? Has the download rate been increased? Is there some specific command an enduser has to invoke to speed up historical data download from IB?

Last edited by Hredot; 02/09/18 15:59.
Re: IB Plugin needs a fix [Re: Hredot] #470866
02/09/18 16:41
02/09/18 16:41
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Zheka Offline OP
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Zheka  Offline OP
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It has been speeded up, and there is mention of this in the 'What's New'.

It still however downloads data appr.2x+ slower than how MC/SC do it. But now it is bearable.

One more thing that people might not recognize initially is that by default and by design Zorro does not capture all the ticks streamed by the datasource
(it does not 'subscribe' to data, but 'requests data updates' at specified intervals).

This can be regulated by TickTime, but the consequence of this is that range of bars in RT will be smaller/close of bars will be different from historical bars, and therefore there might be differences between signals/trades in RT and those obtained after downloading historical data and retesting (for verification).

Re: IB Plugin needs a fix [Re: Zheka] #470867
02/09/18 16:49
02/09/18 16:49
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Hredot Offline
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I see! Very interesting.
One thing I noticed when downloading minute data is that different assets receive a different number of minutes even though the requested time period is exactly the same! (The difference is not just a few minutes, but thousands of minutes in some cases.) This seems weird.
Could one fix that by setting e.g.

TickTime=1;

for one minute bars, as you suggest?

Last edited by Hredot; 02/09/18 17:02.
Re: IB Plugin needs a fix [Re: Hredot] #470868
02/09/18 17:25
02/09/18 17:25
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Zheka Offline OP
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Zheka  Offline OP
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No, TickTime regulates real-time(RT); it is frequency of updates is ms. Read the manual.

This difference you mention is with what plug-in and which assets?

Re: IB Plugin needs a fix [Re: Zheka] #470871
02/09/18 19:40
02/09/18 19:40
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Hredot Offline
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I see, Thanks for the clarification!

I get this behavior when I connect to the IB API and run this script:
Code:
// Update M1 price history of all assets
function run()
{
  NumYears = 1;
  assetList("Strategy\AssetsZ9.csv");
  while(loop(Assets))
    assetHistory(Loop1,1);
  quit();
}


where "AssetsZ9.csv" contains the assets of Z9 strategy. As Zorro works on downloading the different assets, it reports the number of bars read in each case. (Each bar is one minute for this M1 setting.) And the number of bars read seems to differ for each asset, sometimes by thousands of minutes.

Last edited by Hredot; 02/09/18 19:41.
Re: IB Plugin needs a fix [Re: Hredot] #470873
02/09/18 23:29
02/09/18 23:29
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Hredot Offline
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OK, it is now clear why the difference in minutes read comes up:



Apparently, the code assumes the data to be forex, and gets garbage values outside of market hours... Guess M1 is not a correct format for ETFs. Well, we obviously do get M1 data polluted by random garbage outside of market hours. Clearly, one can truncate that data stream to the desired hours in a day... it is a bit bothersome though.

Last edited by Hredot; 02/10/18 00:07.
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