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Re: Trading multiple sessions with Zorro S
[Re: scotpip]
#463119
11/16/16 01:45
11/16/16 01:45
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Joined: Feb 2014
Posts: 73 Montreal, Qc Canada
Finstratech
Junior Member
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Junior Member
Joined: Feb 2014
Posts: 73
Montreal, Qc Canada
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Hi Scotpip,
Yes, you will need multiple Zorro sessions for range bars, which are not that resource hungry, but if you use multiple MT4 sessions for multiple systems it will start slowing down. I'd say 1 MT4, 5-10 Zorro per 1 core per 1GB RAM is ok.
May I ask what kind of range bars are you using, and are you having success adapting them?
edit:typo
Last edited by Finstratech; 11/16/16 01:52.
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Re: Trading multiple sessions with Zorro S
[Re: MatPed]
#463129
11/16/16 12:36
11/16/16 12:36
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Joined: Oct 2014
Posts: 42 DEVON
scotpip
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Joined: Oct 2014
Posts: 42
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Hi Finstratech
We use Renko and a proprietary price-based bar.
For our style of trading, all our testing has shown that time is not a predictor of outcome - in other words, that the inefficiencies we have found are based on price alone.
As time appears to be noise for our strategy, we find we get better results by eliminating it and trading purely on price and volume.
Your results may vary!
Last edited by scotpip; 11/16/16 12:38.
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Re: Trading multiple sessions with Zorro S
[Re: Finstratech]
#463337
11/28/16 19:54
11/28/16 19:54
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Joined: Oct 2014
Posts: 42 DEVON
scotpip
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Posts: 42
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Hi Finstratech
I was excited when I saw that Zorro had added the ability to build price-based bars, as it would be good to have a fully developed testing and production platform and none of the other consumer-level options can do what we need.
But I soon ran into show-stoppers. The problem is that most platforms, even some of the mid-market ones, have built the concept of time into their core code. So any attempt to add Renko or Range ends up as a bit of a hack. With Zorro, it looked decidedly non-trivial to do any kind of portfolio work, which is a must-have for us.
So I'm back to my home-rolled setup in JForex. It means broker lockin, but Dukas are a decent broker so it's not a big issue. And although it's been a lot of work, as the JForex SDK is more of a low-level toolkit than a platform, it is extremely versatile and able to handle our somewhat unusual requirements.
It seems that early on they made engineering decisions that meant they could deal properly with price and volume bars, so if you get stuck you might take a look. Also, there is tick level historic and live data, so you can build any bar you can imagine quite easily.
The flexibility comes at a price, as the API is HUGE and the learning curve is steep. But it's quite well documented in the Wiki and the Javadocs are pretty helpful. But at times you'll be writing reams of code for features that are built in to Zorro.
Compared to Zorro my backtester is crude, but it's flexible and fast and does what I need.
Last edited by scotpip; 11/28/16 19:57.
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