OP
Newbie
Joined: Nov 2022
Posts: 20
Tampa Bay
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Here is a "clever" way to utilize Zorro's ability to use a different data source and trading source for a symbol to work around the limitation of not being able to trade CME futures using the outstanding SierraChart plugin that is available. This limitation stems from the SierraChart DTC server needing to block the quote data because of limitations imposed by the mean ol' CME. This limitation is documented in elsewhere the Zorro forum. The workaround is documented in the Symbols section of the Help docs and in the Broker Arbitrage section. - Source is an optional price source or broker name. It can be an online price source (such as STOOQ:), or a name from the first column of the account list. This way the same asset can get prices from broker A and can trade with broker B (Zorro S is required for multiple brokers). - An asset can have multiple symbols that are separated by exclamation marks '!'. It looks like Zorro S may be required unless I am confused about if there is a difference between a broker arb setup and just using a different quote and trading source. You are only trading with one broker in this setup and not multiple as with Broker Arbitrage. I did not test without Zorro S. I have tested this method and it seems to work well. The symbol names need to be set up for each system with the "!" seperator. I chose to open an account with IB as the data provider for the symbol and trade with the SierraChart symbol. SierraChart has an excellent service called the Trading Evaluator that can be used for testing this setup and great for performance tracking as well. You can setup multiple accounts on this service. I used the IB TWS to try and fill out the Assets.csv file with the correct symbol data but I'm not positive the Assets setup for each symbol is correct but it seems like it is. I would enter the symbol in the Watch List in IB TWS and Right-click to get the Symbol Information. Futures symbols are always a royal pain to get right. I then setup the IB Gateway once everything looked good as suggested in the Help docs. If you are already trading with SierraChart then you pay for CME data there and you will also need to pay for CME data with IB. You can have as many instances of SierraChart on the same computer as you want as far as I can tell. I have one for manual trading, one for the Trading Evaluator, and even am trying out the TopStep Prop service with another instance. Here are some example data for the Assets and Accounts files: (I was just dabbling with the grain symbols so they may be off - no guarantees with any of these symbols!!!) Please let me know if something doesn't look right. History\AssetsFix_futures-TWS-GW2.csv: In the Symbol column, the Sierra Account:Symbol is first and then "!" then IB Account:Symbol. eg. SierraIB-GW:MESU24!IB-Gateway2:MES-FUT-202409-MES-CME-USD
Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Market,Multiplier,Commission,Symbol,Centage,Desc,
10Y,4.427,0.015625,0,0,0.015625,1.5625,77,UTC:1300-2100,1,1.5,SierraIB-GW:10YM24!IB-Gateway2:10Y-FUT-10YM4-10Y-CBOT-USD,0,Micro 10Y,
MES,5310.5,0.25,0,0,0.25,1.25,77.88,UTC:1330-2000,1,1.5,SierraIB-GW:MESU24!IB-Gateway2:MES-FUT-202409-MES-CME-USD,0,Micro ES,
MNQ,18730.5,0.5,0,0,0.25,0.5,116.82,UTC:1330-2000,1,1.5,SierraIB-GW:MNQU24!IB-Gateway2:MNQ-FUT-202409-MNQ-CME-USD,0,Micro NQ,
MYM,38842,0.5,0,0,0.5,1,55.44,UTC:1330-2000,1,1.5,SierraIB-GW:MYMU24!IB-Gateway2:MYM-FUT-202409-MYM-CBOT-USD,0,Micro Dow,
M2K,2042.3,0.5,0,0,0.1,0.5,42.9,UTC:1330-2000,1,1.5,SierraIB-GW:M2KU24!IB-Gateway2:M2K-FUT-202409-M2K-CME-USD,0,Micro Russel,
XK,1180,1.25,0,0,0.125,1.25,75,UTC:1430-1915,1,1.5,SierraIB-GW:XKN24!IB-Gateway2:YK-FUT-202407-XK-CBOT-USD,64,Mini Beans,
XC,448,1.25,0,0,0.125,1.25,75,UTC:1430-1915,1,1.5,SierraIB-GW:XCN24!IB-Gateway2:YC-FUT-202407-XC-CBOT-USD,64,Mini Corn,
XW,628,1.25,0,0,0.125,1.25,75,UTC:1430-1915,1,1.5,SierraIB-GW:XWN24!IB-Gateway2:YW-FUT-202407-XW-CBOT-USD,64,Mini Wheat,
MCL,75.38,0.01,0,0,0.01,1,140.8,UTC:1400-1930,1,1.5,SierraIB-GW:MCLQ24!IB-Gateway2:MCL-FUT-MCLQ4-MCL-NYMEX-USD,64,Micro Crude,
MNG,2.927,0.001,0,0,0.001,1,130,UTC:1400-1930,1,1.5,SierraIB-GW:MNGQ24!IB-Gateway2:MHNG-FUT-202408-MNG-NYMEX-USD,64,Micro Nat Gas,
MGC,2.927,0.1,0,0,0.1,1,90,UTC:1310-1830,1,1.5,SierraIB-GW:MGCQ24!IB-Gateway2:MGC-FUT-202408-MGC-COMEX-USD,64,Micro Gold,
MHG,4.448,0.0005,0,0,0.0005,1.25,90,UTC:1320-1830,1,1.5,SierraIB-GW:MHGU24!IB-Gateway2:MHG-FUT-202409-MHG-COMEX-USD,64,Micro Copper,
M6E,1.0807,0.0001,0,0,0.0001,1.25,90,UTC:1320-2000,1,1.5,SierraIB-GW:M6EU24!IB-Gateway2:M6E-FUT-202409-M6E-CME-USD,64,Micro EUR,
M6B,1.2718,0.0001,0,0,0.0001,0.625,90,UTC:1320-2000,1,1.5,SierraIB-GW:M6BU24!IB-Gateway2:M6B-FUT-202409-M6B-CME-USD,64,Micro BP,
Accounts.csv (SierraScalp and IB-Gateway2 are the entries referenced by the above Assets.csv example. I included more example accounts to show how that can works but you may need a unique Assets.csv file or symbol entry for each unique account that you have setup on SierraChart.):
Name,Server,AccountId,User,Pass,Assets,CCY,Real,NFA,Plugin
SierraIB-GW,Sierra,0,ta:zorro h:127.0.0.1 p1:11099 p2:11097,password,AssetsFix_futures-TWS-GW,USD,0,1,SierraChart.dll
SierraScalp,Sierra,0,ta:microscalp h:127.0.0.1 p1:11099 p2:11097,password,AssetsFix_futures-TWS-GW2,USD,0,1,SierraChart2.dll
IB-Gateway,IB,ACCOUNT1,1,0,AssetsFix_futures-TWS-GW,USD,1,14,IB.dll
IB-Gateway2,IB,ACCOUNT2,2,0,AssetsFix_futures-TWS-GW2,USD,1,14,IB2.dll
Please let me know what you think or if you see anything wrong with this setup! FYI: SierraChart has the Teton CME order routing that seems to be a good deal and very fast and solid for futures trading.
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