Anyone have thoughts on this?

I don't know that I'd ever trade with a DD broker (esp. after jcl's admonition! ), but I would appreciate expanding my understanding with specific, practical examples of what DD brokers do that makes them problematic for algo trading...

Thanks.

The only reason I can talk about with any certainty is that with a DD broker, there is a conflict of interest. Unfortunately I can't talk about differences in execution as that would simply be speculation. Do you need more of a reason than a conflict of interest?

Thanks boatman. Separating the issues:

Broker selection: Yes, conflict of interest is a significant negative. Of course, this pre-supposes that none of the NDD brokers are colluding with the liquidity providers...

Education: There don't seem to be that many "levers" a broker has (given that costs are specified) - perhaps only price & spread & tick frequency & timing? - so I was wondering if there are any documented examples of how a DD broker misuses these levers in comparison to what comes from an NDD broker(s)? Perhaps someone else has examples...

Thanks.

Hi jcl. This thread sidetracked into a DD vs. NDD discussion, but I'd like to return to the original reTraining focus and clear up my remaining misunderstandings.

a) I understand the point that correct History needs to be in place for the reTraining to be good. In terms of my VPS, that seems from what I experienced to mean that a vanilla install isn't good enough, especially if the install happens in 1 year and the reTrain happens in the next year. (I.e., my reTrain successfully downloaded 2016 prices but failed trying to download 2015 prices.) It seems the solution to this History concern is to add a step before reTraining: Download and install (reinstall if updated) all Zorro History zip's (and any other history) needed by the strategy. This would ensure that all available History is present (to be "topped off" by the reTrain); and also that the latest History is available incorporating any fixes for errors that have been discovered. Does this process make sense to you?

b) I'm still having trouble wrapping my head around broker's costs differences not mattering to reTraining. It seems to me that different costs would lead to different trades and hence to different optimizations = different parameters. A specific question from my situation: I develop on one machine & Trade on a VPS, on which I've only done a vanilla install, and updated History (per above ). My development machine has my AssetsFix.csv. The VPS has your vanilla AssetsFix.csv. If I reTrain on the VPS, it will use your AssetsFix.csv - is this correct/OK?

c) If the only thing needed from the broker connection for reTraining is "topping off" History, then reTraining can be done anytime - like, say, Sunday as soon as the broker comes back up - correct?

Thanks!

I try to answer, based on my experience,

a) if you are not sure that the data you have downloaded by yourself from the broker are correct and gap free, the process you have described make sense.

b) I am not sure if training will generate different parameters based on the assetfix you are using. For sure different assetfix will drive to different test results.
I experienced different test results not only with different assetfix but even with different margin setting and the same assetfix.
In old z12 version <1.4 this behavior was very relevant. Not as important with the new version. I do not know why... before trading I test the z12 with 50, 100, 1000 margin setting and I compare the results. With my broker, higher margin generates better test results.

c)I re-train the z12 during normal trading hours just after having updated the assetfix with the download script. Spread and margin requirements are different in low liquidity markets on my broker, but this is broker dependent, I guess.

HtH

Thanks MatPed!

I hope jcl will also add his thoughts/confirmations.

Thanks.

a) Yes, you must not train a system without having correct, gap-free and recent historical prices. The files from the download page won't do. They are correct, but not recent.

b) You normally do not train a system for a particular broker. Only exceptions are systems that depend on certain broker parameters, f.i. a system that exploits rollover. Or a system that trades in different ways dependent on leverage.

c) Since training a system does not require a broker connection, you can train it on Sunday, on Christmas, or at any day you want.