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Re: bar aggregation problem + Download from FXCM problem [Re: Zheka] #470771
02/06/18 06:22
02/06/18 06:22
Joined: Jan 2018
Posts: 29
L
luisd Offline OP
Newbie
luisd  Offline OP
Newbie
L

Joined: Jan 2018
Posts: 29
thanks for your reply.
just open these 2 charts and look at the bars numbered the same.
they are clearly different.
the red/green one is TradingView FXCM feed. and is identical (as it should be) to FXCM Trading Station.
It is quite different from Zorro.

What I suspect is that this is caused by Zorro reading the timestamp of a bar as the End of the Bar, while FXCM (as most) use the timestamp indicating the start of the bar.

You can understand what happens here.... the first 1-min bar of the hour gets assigned as the last 1min bar of the previous hour.

I am really really surprised that no-one has ever noticed it.

Imagine how many back test were conducted with 'wrong' bars...

Attached Files Zorro bar aggregation 1-of-3.pngZorro bar aggregation 2-of-3.png
Re: bar aggregation problem + Download from FXCM problem [Re: luisd] #470776
02/06/18 12:34
02/06/18 12:34
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline
Member
kujo  Offline
Member
K

Joined: Dec 2017
Posts: 129
Halifax, NS
Luisd, please contact support: support@opgroup.de

This is a nasty bug (

Re: bar aggregation problem + Download from FXCM problem [Re: kujo] #470777
02/06/18 14:06
02/06/18 14:06
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
M1 timestamps of brokers are often the bar start. In that case the plugin adds the bar duration to the timestamp. So whatever the problem is, it is probably not the bar start or end time. Any chart looks different anyway, dependent on bid/ask or local/server time. Best contact Support and send them the data.

Re: bar aggregation problem + Download from FXCM problem [Re: jcl] #470780
02/06/18 14:19
02/06/18 14:19
Joined: Jan 2018
Posts: 29
L
luisd Offline OP
Newbie
luisd  Offline OP
Newbie
L

Joined: Jan 2018
Posts: 29
listen chief engineer

what if I told you that the M1 candles looks exactly the same while the M5 candles does not even look close?

can you draw your conclusion?

An algo trading platform is not a game and messing up with the bars is a very nasty bug.

Attached Files 1min charts are identical.png5min charts are completely different.png
Re: bar aggregation problem + Download from FXCM problem [Re: luisd] #470781
02/06/18 14:25
02/06/18 14:25
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
If M1 candles are identical, but M5 candles are not, then it is no bar start/end problem. It can be simply related to the charting software. It is also known that FXCM historical timestamps have been off several times. But it makes no sense to speculate - just contact Support with your data and they'll look into it and tell you if there is a bug or not. I cannot tell it from here.

Re: bar aggregation problem + Download from FXCM problem [Re: jcl] #470787
02/06/18 15:51
02/06/18 15:51
Joined: Jul 2017
Posts: 783
Z
Zheka Offline
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Zheka  Offline
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Z

Joined: Jul 2017
Posts: 783
JCL,

IT IS NOT ONLY ABOUT FXCM!

I reported exactly this "wrong bar timestamping" problem for IB and it had been fixed. "Bar aggregation problem" has been ignored-publicly- but fixed silently.

Now, it turns out that FXCM AND MT4 plugins have exactly the same timestamping problem (with historical data).

And bar aggregation to 5-min on the just loaded data from an MT4 broker looks like this:
(v 1.78.5)
[6: Fri 18-02-02 08:04] (0.73706)
[7: Fri 18-02-02 08:05] (0.73707)
[8: Fri 18-02-02 08:06] (0.73707)
[9: Fri 18-02-02 08:07] (0.73708)
[10: Fri 18-02-02 08:08] (0.73687)n ETtime=308, 0.73694 0.73724 0.73686 0.73687

[11: Fri 18-02-02 08:09] (0.73671)
[12: Fri 18-02-02 08:10] (0.73643)
[13: Fri 18-02-02 08:11] (0.73644)
[14: Fri 18-02-02 08:12] (0.73636)
[15: Fri 18-02-02 08:13] (0.73634)n ETtime=313, 0.73687 0.73688 0.73627 0.73634


Or - on AUD/USD data supplied with Zorro

[2861: Tue 17-05-09 22:47] (0.73499)
[2862: Tue 17-05-09 22:48] (0.73503)
[2863: Tue 17-05-09 22:49] (0.73504)
[2864: Tue 17-05-09 22:50] (0.73497)
[2865: Tue 17-05-09 22:51] (0.73515)n ETtime=1851, 0.73517 0.73517 0.73492 0.73515

[2866: Tue 17-05-09 22:52] (0.73508)
[2867: Tue 17-05-09 22:53] (0.73508)
[2868: Tue 17-05-09 22:54] (0.73496)
[2869: Tue 17-05-09 22:55] (0.73500)
[2870: Tue 17-05-09 22:56] (0.73490)n ETtime=1856, 0.73515 0.73519 0.73489 0.73490



But the same script (TimeFrame=5; if (frame(0)) printf(..) works as expected on data from IB!!

I also find it weird that Support refuses to read the forum.
At least, this has been my experience.

One has to waste time re-packaging the message,etc instead of just sending a link to the thread. And messages to you on the forum are normally well laid and problems properly documented.



Last edited by Zheka; 02/06/18 15:59.
Re: bar aggregation problem + Download from FXCM problem [Re: Zheka] #470791
02/06/18 18:37
02/06/18 18:37
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Bug reports on a forum are fine when I happen to see them and when the problem is obvious. If not, the user should contact support. FXCM timestamps are corrected and issues with 5 minutes bars could not be reproduced, so this problem is not obvious. We just need the data that the user anyway has, then we can determine in 5 minutes whether it is a bug or not. No charts, paintings and lengthy discussions are needed. I can really not see what the problem is.

Re: bar aggregation problem + Download from FXCM problem [Re: jcl] #470794
02/06/18 21:53
02/06/18 21:53
Joined: Jul 2017
Posts: 783
Z
Zheka Offline
User
Zheka  Offline
User
Z

Joined: Jul 2017
Posts: 783
The general problem is that the "burden of proof" is put fully on a user and the default attitude is "we are great and fine until proven otherwise".
And it takes maaany messages to move the needle.

I spend on average 20-30min to properly word a message, format it and support it with code and log.
The answer, however, is often not fully addressing the problem and requires another 1-3 messages pressing from different angles to get to a specific next step.
Good recent example (not mine) is the discussion about "weekend" behaviour of FXCM AND IG plug-ins (or Zorro)..

Similarly, several messages above I wrote that I had verified that MT4 plug-in was not timestamping M1 bars properly. That was just ignored.
Is my last message with several log details not enough to see that there most probably is a problem and that Support should review?

If Support should be contacted anyway without preliminary forum discussion - then so be it.

Forwarded a link to this thread to Support.

Last edited by Zheka; 02/06/18 22:13.
Re: bar aggregation problem + Download from FXCM problem [Re: Zheka] #470797
02/07/18 06:00
02/07/18 06:00
Joined: Jan 2018
Posts: 29
L
luisd Offline OP
Newbie
luisd  Offline OP
Newbie
L

Joined: Jan 2018
Posts: 29
yes Zheka is right.

I am going to help this time, but you folks have not the right attitude.

It takes a lot of time for me to collect stuff and write.

I have to say that Zorro's idea is nice, but a bug on bar aggregation and also the attitude of support shows that the product is not mature enough.

Re: bar aggregation problem + Download from FXCM problem [Re: luisd] #470799
02/07/18 09:32
02/07/18 09:32
Joined: May 2015
Posts: 390
Czech Republic
G
Grat Offline
Senior Member
Grat  Offline
Senior Member
G

Joined: May 2015
Posts: 390
Czech Republic
So,

If using the TimeFrame you got different. Try without Timeframe and change only BarPeriod. I spend more days with this problem. See, in my post (Indicator and TimeFrame).

For me is a Zorro best platform for developing AOS. I make more like 100 AOS under MT4 and 80% time I make workaround MT4.

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