The same happens with the other Eurex futures using an IB connection. I don't have any other live data nor any other broker connections, and so this is the only case I can test.

Due to the "Bad exit price 0.0000" error during the backtest, however, I was suspecting that the problem is related to the instrument rather than to the broker. So I simply took the .t6 data file DAX-FUT-20171215-FDAX-DTB-EUR_2017.t6 that I downloaded from IB and renamed it to USDCHF_2017.t6, and voila when I say asset("USDCHF") in my script, it works as expected. No zero ticks in the TMF and no "Bad exit price 0.0000".

So it seems that you get zero prices whenever Zorro thinks it's a future whereas when it thinks it's a currency everything works as expected. Looks like a bug then.

Since I am planning to trade futures, I'd be grateful if you would fix it asap.

Kind regards,

Gloria