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Backfilling data after a disconnect #471761
03/19/18 13:32
03/19/18 13:32
Joined: Jul 2017
Posts: 784
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Zheka Offline OP
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Zheka  Offline OP
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Zorro does not seem to backfill missing data after the disconnect of an MT4 terminal(!?)

How to work with this in live trading?
One has to programmatically identify such situations, send email/text alert and then get to manually stop/restart Zorro? This becomes a less reliable and less automated solution.

Also, upon reconnect to an MT4 terminal, Zorro showed "offline" for another 1-2min before actually reconnecting.
Is there a way to make it reconnect as soon as the data source is available again?

Re: Backfilling data after a disconnect [Re: Zheka] #471764
03/19/18 14:35
03/19/18 14:35
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Zheka Offline OP
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Zheka  Offline OP
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Some more details re behaviour at reconnect:
- if MT4 closed/ restarted quickly, Zorro reconnects quickly
- during the disconnect, seconds in Zorro status line change "chaotically" (as if to the arriving ticks rythm) and not always forward...
- if disconnect is longer then 3-5min (in my case BarPeriod=5min), then the square switches from Red to Purple.
- message in MT4 switches to "Zorro disconnected!" (sometimes - not)
- when MT4 is restarted after longer disconnect, Zorro reconnects in 3.5-4min...Message in MT4 sometimes stays "Zorro disconnected" and sometimes gets back to "Controlled by Zorro bridge 1.15"..

Re: Backfilling data after a disconnect [Re: Zheka] #471827
03/21/18 12:51
03/21/18 12:51
Joined: Jul 2000
Posts: 27,978
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jcl Offline

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jcl  Offline

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Posts: 27,978
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Look also here: http://manual.zorro-project.com/trading.htm under "Getting disconnected".

Re: Backfilling data after a disconnect [Re: jcl] #471828
03/21/18 13:07
03/21/18 13:07
Joined: Jul 2017
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Zheka Offline OP
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Zheka  Offline OP
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OK.
But the questions still remain:

- maintaining data continuity/backfilling is nearly standard a feature of most trading engines; I really took it for granted.
Can Zorro be improved in this respect?

- how to shorten the time of Zorro reconnect attempts? 3.5-4 min is an eternity in many cases.

Re: Backfilling data after a disconnect [Re: Zheka] #471840
03/21/18 15:42
03/21/18 15:42
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

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What do you want to "backfill"?

Re: Backfilling data after a disconnect [Re: jcl] #471842
03/21/18 15:56
03/21/18 15:56
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Zheka Offline OP
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Zheka  Offline OP
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On reconnect to the broker server, Zorro should request the number of bars missed since the disconnect and THEN continue script execution.

Re: Backfilling data after a disconnect [Re: Zheka] #471845
03/21/18 16:03
03/21/18 16:03
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline

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jcl  Offline

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There are no bars when there's no connection. You could not do much with the requested prices.

Re: Backfilling data after a disconnect [Re: jcl] #471851
03/21/18 16:24
03/21/18 16:24
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Zheka Offline OP
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Quote:
You could not do much with the requested prices.
Script execution should continue from the bar it stopped. All system timeframe formation, indicator, etc calculations will be orderly.
Why would we not want that?

Yes, a user might need to be warned that a trade might have been missed, but that is a lesser/ rare evil to handle.

A flag indicating a connection status to the broker and to the price feed would also be extremely helpful.

Last edited by Zheka; 03/21/18 20:13.
Re: Backfilling data after a disconnect [Re: Zheka] #471866
03/22/18 08:04
03/22/18 08:04
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,978
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Do you know a broker API with a connection status flag?

Re: Backfilling data after a disconnect [Re: jcl] #471878
03/22/18 12:15
03/22/18 12:15
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Zheka Offline OP
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Zheka  Offline OP
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Quote:
Do you know a broker API with a connection status flag?
Sure. Most broker APIs provide error codes on connection status.

https://interactivebrokers.github.io/tws-api/message_codes.html#gsc.tab=0

http://fxcodebase.com/bin/forexconnect/1.5.0/help/CPlusPlus/web-content.html#SessionStatus.html

https://docs.mql4.com/constants/errorswarnings/enum_trade_return_codes

FIX/DTC use "heartbeats" to confirm that connection is "alive".

My suggestion is for Zorro to expose this to the end-user via some sort of flag or variable,
regardless of how Zorro internally determines that the connection is "offline" (Zorro already does this, right?)

Exposing order rejection errors would also be helpful.

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