Posted By: marr
Broker/Bridge Recommendation for Zorro - 07/25/19 05:26
Hi guys, what broker/bridge would you recommend when working with zorro and trading it with real account? I currently use IB for backtesting and live paper account and It is not good for data source and the zorro gives bad estimates of PnL for around 10x.
Posted By: SnoopySniff
Re: Broker/Bridge Recommendation for Zorro - 07/25/19 12:12
Hi marr,
you need to check the assetList you are using with your script. When these values are not up to date or not as providet from your broker you can have very bad results. What you can do is to look for the assets.csv in the log folder. I am reciting the zorro help:
"Any live trading session generates a special asset list named Assets.csv in the Log folder. This list is updated with the actual parameters of all assets that are selected in the trading script, as long as they are available through the broker API. This is a convenient way to simulate your current broker account: just connect to the broker with a script that selects all needed assets (f.i. the Download script), then copy Assets.csv to the History folder under the name of the asset list that you are using for testing. It's preferable to do this a Monday, Tuesday, or Thursday, as on weekends most assets have an unrealistic spread and no rollover fee, and on Wednesdays or Fridays often the rollover is three times as high for compensating the weekend.
!! Check the content of Assets.csv before copying it over. Dependent on broker API and market hours, some parameters, especially spread and rollover, might be wrong. If parameters are temporarily or permanently unavailable, they are replaced either by default values or by the content of the current asset list. They can be wrong by a large margin when the current list is from a different broker and/or different leverage. Some MTR4 brokers also return different values for rollover of commodity CFDs like XAG/USD; sometimes per lot, sometimes per 10,000 lots."
Posted By: marr
Re: Broker/Bridge Recommendation for Zorro - 07/25/19 13:27
Ya, I copied the values directly from the Logs/Assets.csv after running live then rerun again with the new assetlist values, still theres a huge difference between zorro and TWS values
Posted By: jcl
Re: Broker/Bridge Recommendation for Zorro - 07/25/19 13:40
You must fix your asset list manually. IB does not provide asset parameters at all, so copying values won't work.
Posted By: marr
Re: Broker/Bridge Recommendation for Zorro - 07/25/19 14:04
where do I look for reference/info to make the values as close as possible showing info from TWS and Zorro? I wanted to reduce the inaccuracy from 10x off to more reasonable
Posted By: SBGuy
Re: Broker/Bridge Recommendation for Zorro - 07/25/19 17:35
Unless you're trading small dollars, where trade commisions and expenses are a meaninful percentage of the trade value, I find the following settings for stocks are good enough.
Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol
AAPL,0,0.01,0,0,0.01,0.01,0,1,1,0.01,
The values you get from Log\\Assets.csv after live trade are mostly junk when the broker doesn't provide actual data - as jcl mentioned above.