Hi. Expanding on the basket idea described in the manual, I'd like to suggest an "Asset composer" to create mathematical combinations of assets which could then be directly traded with Zorro using the defined math to trade the underlying real assets. As an asset, Zorro's existing facilities would be useable: The composed asset should be selectable for the equity curve and it's trades thereby shown, performance results in terms of composed assets, entry in AssetFix (or maybe an additional ComposedAssetFix), etc. Realizing there would be "gotchas" in implementing such a thing, does it make sense?

Thanks.

This is certainly possible. But I see no clear advantage over trading real assets. Do you have an example of a composed asset that is better to trade than the underlying assets?

Interesting idea. Perhaps could be useful for spread trading, particularly where it gets a bit more complicated with buttlerfies/condors etc with currency exposure, though I would be surprised if many people are using Zorro for this style of trading. Plus this can probably be handled within the script without too much trouble?

@jcl, Not really any clear example at this time, no. I'm just beginning to toy with the idea. But I can see that it would help in visualizing the "asset", determining its patterns, performance, and correlations, having optimalF be able to use that "asset", etc. Basically to bring all the power of Zorro to bear on composed assets as well...

Thanks.

Hi jcl. A couple of follow-ups:

The manual example of a composed asset (basket) includes how to plot its price curve. How would I plot the composed asset's trades on that curve?

The same example shows how to use a Stop value. But what if I want to use ATR to set that value? From the manual, I'd need Open, High, Low, and Close values of the composed asset. Open and Close are easy to calculate, but High and Low seem impossible since the component Highs and Lows would occur at different points within the bar... In the manual's example, adding the 3 priceHigh's would almost always be the wrong value - too high...

Thanks.

Hi jcl. Any thoughts on the above? I hope to spend some time on this over the weekend...

Thanks.

Still, add the 3 Highs. It is indeed not correct, but it's the best estimate you have.

Hmmm... The variance will increase as BarPeriod/TimeFrame increases.

And if other math operators are used...

What about plotting the composed asset's trades on the composed asset equity curve?

Thanks.

You had to plot the trades separately for the component assets. But anyway, I've found meanwhile a useful application for composed assets: statistical arbitrage of a difference of two assets. So this will be implemented in a future version.

Thanks jcl.

For plotting the trades currently, is there any access to the functions that do the current trades plotting?

Thanks.