1.
Quote:
WFO cycles should not be linked to seasons. Otherwise you'll get artifacts when the market is season dependent

I meant "sessions", not seasons. I have extensive experience with WFO and can think of no artifacts caused by defining WFO cycles in calendar days/weeks (but can readily see them with bar-defined WFO cycles for any strategy adapting parameters via optimization).

I do believe that adding a "calendar" way to specify periods is necessary, but if not now, then how would you suggest handling holidays and early closes?

Also, do I understand correctly, that "1440" should really be the actual number of minutes in a trading day?

2.
Quote:
Market data variables, like spread, swaps, fill prices etc. reflect the market in real time.


Sorry, the whole process is not clear from the documentation.
Specifically, in the case of IB:
- is "spread" variable updated in RT automatically?
- are the "fill" prices actual or reflect "Ask" at the time of order execution?

- What is the "Trade ID" number? Is this for MT4? IB operates with OrderIDs..
- How is Profit and Profit in Pips calculated in Trade Statistics (they cannot be retrieved from IB API)?
- Is Profit in Pips actual or calculated off some earlier set quote currency rate?
- Does PIPCOST update itself in RT (with IB)?
- will TradeProfit in Trade struct be actual fill-based or "price (ask/bid) at the time of entry order submission?

3.
Quote:
Pending trades and limit orders are two different things. A pending trade is no order, it only sends an order when the price hits the entry limit.

I now better understand trade placement mechanism used by Zorro by default.
So, to place a limit order, one needs to use ORDERLIMIT flag.

Questions (in the context of IB ):
- when is a limit order actually sent to the market?
IS it sent when the Entry function is processed or when price hits the limit in RT?
- if not, How to send it with Entry? (which has the advantage of getting earlier in to the order queue).

- when modifying a limit order price with ExitLong/Short, does ORDERLIMIT cancels and resubmits an order or just modifies a price?
- how to cancel an order in the script?

4.
Quote:
What to do in case of order rejection is up to your script


To decide what to do, i need to get the reason for order rejection. How to? What functions are used for that?

E.g. If there is not enough margin when trading a portfolio, I would prefer to reduce size rather than miss the trade (skipped trade would impact all equity curve related calculations, incl. optF). Multicharts does such pre-trade size checking and adjustments automatically.

5.
Quote:
TMF return values:
1 - if the trade is still open or pending, exit it now.
2 - if the trade is still pending, enter it now


Means a market order will be sent immediately for a pending limit entry/exit?


6. What order fill assumptions are used for "entry at limit"/"exit at stop" orders in simulation?
Will they fill when:
- price touches the level at least 1 time?
- price penetrates the level by xx ticks?
- M1 close price touches/penetrates the order level?

7.using LEAN and M1:
- when LEAN is NOT set, is the Open/Close price of a bar=Open/Close price of the first/last M1 tick?

8. If a price history is in M1 "ticks", will the TMF functions/Stops/limits in RT also evaluate in 1-min ticks or on each and every real RT tick?

9. Is it possible in Zorro to receive data from a datafeed while placing orders with a broker?

10. Millisecond Timestamps: is there a way to see exact timings of order sending and filling (to monitor latency/slippage)?