Zorro Gives Wrong Spread

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Zorro Gives Wrong Spread #488791 06/22/25 15:28 06/22/25 15:28
Joined: Apr 2023 Posts: 61 V vicknick OP Junior Member
vicknick OP Junior Member V Joined: Apr 2023 Posts: 61	I have set EURUSD spread = 0.00001 in the AssetFix.csv file, and also didn't set any spread in my EURUSD.t6 file. Code [69: Mon 23-01-02 05:45] (1.06935) [EURUSD::S06901] Short 10@1.06953 p at 05:45:00 Price = 1.06935, Spread = 0.00001 However, Zorro seems to enter in the wrong price 1.06953, which is significantly higher than the price 1.06935. Zorro should be entering in 1.06934 based on what I set in AssetFix, which is what I want. I am not sure where went wrong, since my other backtest script gives the correct spread. Last edited by vicknick; 06/22/25 15:31.

Re: Zorro Gives Wrong Spread [Re: vicknick] #488792 06/23/25 03:27 06/23/25 03:27
Joined: Feb 2017 Posts: 1,812 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,812 Chicago	What Fill setting are you using? www.vitaltrades.com - andrew@vitaltrades.com

Re: Zorro Gives Wrong Spread [Re: vicknick] #488793 06/23/25 13:33 06/23/25 13:33
Joined: Apr 2023 Posts: 61 V vicknick OP Junior Member
vicknick OP Junior Member V Joined: Apr 2023 Posts: 61	I didn't set any Fill. Code function run() { set(LOGFILE); set(PLOTNOW); History = "*m5.t6"; StartDate = 2023; EndDate = 2025; BarPeriod = 5; LookBack = 60; Spread = 0.00001; asset("EURUSD"); //...rest of the code } Last edited by vicknick; 06/23/25 13:33.

Re: Zorro Gives Wrong Spread [Re: vicknick] #488794 06/23/25 13:39 06/23/25 13:39
Joined: Feb 2017 Posts: 1,812 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,812 Chicago	Right, so this means you are using Fill mode = 1, which is the default. Quote 1 Realistic order filling (default). Trades open or close at the most recent price quote plus Slippage or Penalty. When Slippage and Penalty are 0, this mode simulates a latency-free connection to the market that immediately reacts on any price quote. If an entry or exit limit is hit and no Penalty is set, the position is filled at a price replicating live trading as accurate as possible with a slight pessimistic bias (see details below). 'Cheating' is not possible. With daily bars, this mode simulates trading right before the market closes. https://zorro-project.com/manual/en/fill.htm Maybe you wanted fill mode 0? www.vitaltrades.com - andrew@vitaltrades.com

Re: Zorro Gives Wrong Spread [Re: AndrewAMD] #488795 06/23/25 14:38 06/23/25 14:38
Joined: Apr 2023 Posts: 61 V vicknick OP Junior Member
vicknick OP Junior Member V Joined: Apr 2023 Posts: 61	But fill mode = 0 will gives entry at exact closing price, but I wanted to include the spread of 0.00001 when entry

Re: Zorro Gives Wrong Spread [Re: vicknick] #488799 06/24/25 16:51 06/24/25 16:51
Joined: Feb 2017 Posts: 1,812 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,812 Chicago	OK, what about your Slippage setting? www.vitaltrades.com - andrew@vitaltrades.com

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