Hello,

I'm currently testing Zorro with Sierra Chart (through the SC plugin SC plugin) as a boiler plate to my broker. I'm trying to get futures prices like DAX and ES but I'm getting this error message: «Market Data Request Not Allowed". After some research, I found on the SC website that the DTC protocol is not allowing data connection from the CME, NYSE and EUREX. Is there a workaround for this?

Thanks.

Yes.

ACSIL has access to all of the data that is locked out from the DTC server. One can develop an ACSIL script which hosts its own REST API. Then a Zorro script with a can data from the REST API. I've done it for a client, it works.

Thank you Andrew for the answer and for the great job on the SC plugin for Zorro!

Does this add any latency? Did you measure?

Everything adds latency. Of course an ACSIL script will necessarily add latency because you add another intermediary. I did not measure it.

How much latency can you tolerate? 100ns? 1ms? 10ms? 100ms? 1s?

good question. don't know.
can i backtest with Zorro with different latency?

For backtesting, latency is irrelevant.

In Zorro, you download a copy of historical data to your PC for backtesting. Thus, backtesting is very fast because it does not require an internet connection after you download the data.