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bar aggregation problem + Download from FXCM problem #470739
02/05/18 06:46
02/05/18 06:46
Joined: Jan 2018
Posts: 29
L
luisd Offline OP
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luisd  Offline OP
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L

Joined: Jan 2018
Posts: 29
problem #1 - bad bar aggregation
- Zorro 1.66
- downloaded the EURUSD data from FXCM using Zorro's Download script.
- aggregated to Period = 60
- bars are close but not the same as FXCM bars. Clearly not the same
- see picture.
- surprising bad bug for an algo-trading software
- suspect: 1min offset bug due to Zorro timestamp the end of the bar while FXCM timestamps the start of the bar -- only a suspect
- installed Zorro 1.74
- could not re-test because...
problem #2
the Download from FXCM only worked once
- the login isnt successful - red light.
- FXCM demo account works with Trading Station.

Attached Files zorro bar aggregation fails.png
Re: bar aggregation problem + Download from FXCM problem [Re: luisd] #470749
02/05/18 12:25
02/05/18 12:25
Joined: Jul 2017
Posts: 783
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Zheka Offline
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Zheka  Offline
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Hi,
the bar aggregation bug ("1-min offset")has been fixed in v1.74.6-8.
Another reason for the difference might be Zorro's using Ask prices.

Re: bar aggregation problem + Download from FXCM problem [Re: Zheka] #470751
02/05/18 13:36
02/05/18 13:36
Joined: Jan 2018
Posts: 29
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luisd Offline OP
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luisd  Offline OP
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Joined: Jan 2018
Posts: 29
Hello

I installed Zorro 1.74 - and reloaded FXCM data

the problem is still there: Zorro uses the first 1Min bar of the next hour to close the current hour.

Basically the 1min offset problem. see attched

Attached Files Zorro bar aggregation 3-of-3.png
Re: bar aggregation problem + Download from FXCM problem [Re: luisd] #470755
02/05/18 16:38
02/05/18 16:38
Joined: Jul 2017
Posts: 783
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Zheka Offline
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Zheka  Offline
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I looked at IB's data and can confirm that there is a problem.

It is then with Zorro/FXCM plug-in incorrect timestamping of data (should be end-of-bar).

Re: bar aggregation problem + Download from FXCM problem [Re: Zheka] #470757
02/05/18 17:54
02/05/18 17:54
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,977
Frankfurt
There has been recently a report of such a problem, but it could not be reproduced - bars are fine. Still, if you find a wrong bar, just contact Support with the log and the details and they will check it.

Re: bar aggregation problem + Download from FXCM problem [Re: Zheka] #470762
02/05/18 19:01
02/05/18 19:01
Joined: Dec 2017
Posts: 129
Halifax, NS
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kujo Offline
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kujo  Offline
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Posts: 129
Halifax, NS
Originally Posted By: Zheka
I looked at IB's data and can confirm that there is a problem.

It is then with Zorro/FXCM plug-in incorrect timestamping of data (should be end-of-bar).




You mean that FXCM timestamps are the start of the bar but Zorro thinks it's the end of the bar?

Re: bar aggregation problem + Download from FXCM problem [Re: jcl] #470763
02/05/18 19:07
02/05/18 19:07
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Zheka Offline
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Zheka  Offline
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JCL,
I just checked it with a generic MT4 plug-in: downloaded M1 bars have "start-of-the-bar" time stamps.

Re: bar aggregation problem + Download from FXCM problem [Re: Zheka] #470764
02/05/18 19:10
02/05/18 19:10
Joined: Jul 2017
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Zheka Offline
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Zheka  Offline
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Quote:
You mean that FXCM timestamps are the start of the bar but Zorro thinks it's the end of the bar?
Yes.
This has been fixed for IB a month or so ago; but now turns out this also is a problem for FXCM and MT4.

Re: bar aggregation problem + Download from FXCM problem [Re: Zheka] #470765
02/05/18 19:28
02/05/18 19:28
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline
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kujo  Offline
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Joined: Dec 2017
Posts: 129
Halifax, NS
It seems that MT4's timestamps are bar open time
https://book.mql4.com/functions/datetime

Re: bar aggregation problem + Download from FXCM problem [Re: kujo] #470770
02/06/18 00:53
02/06/18 00:53
Joined: Jul 2017
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Zheka Offline
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Zheka  Offline
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They probably are, but an MT4 plug-in/Zorro should be storing the data uniformly regardless of a source, sticking to its stated convention.

Last edited by Zheka; 02/06/18 00:54.
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