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Re: About marketVol() function
[Re: jcl]
#469179
11/07/17 12:24
11/07/17 12:24
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Joined: Aug 2017
Posts: 58
pascalx
OP
Junior Member
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OP
Junior Member
Joined: Aug 2017
Posts: 58
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MT4 delivers no volume, and cannot deliver it since it's mainly a Forex and CFD trading program. Forex and CFD have no volume. You confuse that with the tick frequency.
You can see that it's really the tick frequency when you display marketVol() on EUR/USD live with an MT4 connection, and at the same time observe the ticks in the MT4 terminal. That's why the manual mentions "tick frequency" for MT4 marketVol, not "Volume". And no, there's no historical spread by MT4 either, at least as to my knowledge. Hi. Yes I might be mistaken on this matter. A quick google search indeed revealed that the functionality labeled as "volume" in MT4 returns a tick frequency. Still there appears to be spread information according to the MT4 manual, at least for live feeds. Why is that not bridged? I will ask a buddy who has great experience with MT4 and forward his assessment on this matter - if he has any. Do you have opinions about the other 3 issues I mentioned?
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Re: About marketVol() function
[Re: jcl]
#469233
11/09/17 10:08
11/09/17 10:08
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Joined: Aug 2017
Posts: 58
pascalx
OP
Junior Member
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OP
Junior Member
Joined: Aug 2017
Posts: 58
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I do not really understand the spread issue. All brokers deliver live spread and it's available in the "Spread" variable. marketVal is for an arbitrary additional parameter, not necessarily for spread.
As to retrieving more than 2 additional parameters from the broker - can you give me an example of which other parameters from which broker you would need? Ok the spread makes sense. I don't have an example for more than 2 additional parameters. It might be no practical issue, and just a theoretic one, considering we are asking that question and are not sure of the answer. Ideally we would not have to ask that question. Ok down to 2 issues/questions. Any opinions on points 1 and 4 ? 1. Cannot access/use optional asset data values with BarPeriod > 1 (e.g. when backtesting .t6 data) 2. Cannot retrieve volume and spread with MT4/MT5 (no issue)3. Limit of 2 optional asset data values. Cannot use 3 or more (no practical issue)4. marketVol/marketVal might not be what they pretend to be / user has to find out / adapt code to different use cases
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Re: About marketVol() function
[Re: AndrewAMD]
#469750
12/06/17 13:18
12/06/17 13:18
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Joined: Feb 2017
Posts: 1,731 Chicago
AndrewAMD
Serious User
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Serious User
Joined: Feb 2017
Posts: 1,731
Chicago
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* -1: Absolute-point-of-reference number of ticks. * 1: Absolute-point-of-reference number of lots traded. jcl, I should offer some clarification on how I expect this to work. Zorro should anticipate that the absolute point of reference volume should occasionally reset. For example, the DTC protocol defines volume as "volume for this session". If, in this case, the connection is lost and must restart, volume will probably return to zero. Pseudo-code: if (AbsVolume[0] < AbsVolume[1]) VolumeSinceLastBrokerAssetCall = 0;
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Re: About marketVol() function
[Re: jcl]
#469752
12/06/17 14:23
12/06/17 14:23
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Joined: Feb 2017
Posts: 1,731 Chicago
AndrewAMD
Serious User
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Serious User
Joined: Feb 2017
Posts: 1,731
Chicago
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jcl, I saw this in the beta trading.h headers:
#define GET_PRICETYPE 150 // type of prices returned by the API
#define SET_PRICETYPE 151
#define GET_VOLTYPE 152 // type of volume returned by the API
#define SET_VOLTYPE 153
As of this writing these are not documented - I look forward to it. I assume that if I supply absolute or relative volume from the plugin, Zorro will already know how to translate this into the appropriate volume. For example, if a user's historical volume is volume at that bar, and the plugin provides volume since the last brokerasset call, I expect Zorro to accumulate volume for every given bar. Are my expectations correct?
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