No. The optimal parameters of a system normally depend on the system, not on the broker.

Only exception are special systems with high cost dependency. For instance, a high speed system that ceases working beyond a certain trade frequency because the trading costs exceed the profit. In that case the training result would be broker dependent.

Thanks jcl. OK, now I understand what you're saying, I think.

Let me rephrase to be sure: For "normal" BarPeriods that we would use with Zorro, say 1 (minute) or greater, all brokers' costs are a tiny, negligible part of a system's profitability, dwarfed by the price moves we're trying to catch, and hence variations between brokers don't really matter.

However, if we try to push the limits to BarPeriods, say, <1 and catch smaller price moves there will come a point where different brokers' costs will have an impact.

Is that correct?

Or are there "gotchas" that will come into play at even the higher BarPeriods and make brokers' costs non-negligible?

Also, referencing a question in another thread, is this at all affected by broker/account type? DD vs. ECN vs. ???

Thanks!

That is almost correct, except that broker costs can have not a tiny, but a large effect on profit. But not on training. Training does not care much about broker costs since it's based on relative profit, not absolute profit. - I would not trade automated with a DD broker.

Thanks jcl. I thought I almost understood...

If broker B's costs are 2x broker A's, wouldn't a given system function differently, trade differently, generate different optimization parameters, Optimal F's, etc.? I.e., train differently because the different cost structures will make it trade differently?

I'm also lost about not auto-trading with a DD broker - isn't that just another set of cost parameters? Or are you saying a DD broker's cost structures and/or historical trading-against-you patterns aren't consistent?

Thanks.

Could it be specified in the manual? Currently fxcm is DD for new accounts

This is sort of self explaining since as to my knowledge, FXCM DD accounts don't allow API trading anyway.

Their policy changes every 2 months, so it would be hard to keep the manual up to date with their account types. But general rules of thumb for selecting brokers and account types are here:

http://manual.zorro-project.com/brokers.htm

My acccount is FXCM DD and I am using Z12 over there. But maybe the account was not DD and then they shifted into DD and thats why I can keep running zorro on it.

I see the updates about fxcm API issues with mini accounts and the description on DD accounts. It wasnt there the time I read it. I should have checked before asking.

Thanks jcl. I've seen the brief description in the manual, and would appreciate your further insights. I understand the philosophical perspective of wanting to trade against the market vs. against the broker, but at a practical level wonder:

a) In a supposedly NDD situation, we'd never really know if the broker had side deals with a liquidity partner(s) and actually traded against us, would we?

b) Another way of saying that: We have no way to know that every client gets the same ticks, do we?

c) All that aside, isn't a DD broker just another set of costs? In what way that matters to automated trading is a DD broker different?

Thanks.

I'll weigh in with my two cents to give jcl a hand:

a) Some brokers will actually supply you with a receipt for each trade which includes the details of the liquidity provider that took your trade. One such broker here in Australia is Global Prime. I use them for some of my automated trading and can recommend them highly.

b) You could always run two accounts side by side and compare the ticks you receive. But maybe your broker is aware of this possibility and gives the same ticks to the same IP address.... I am being slightly facetious, but the best way around this issue is to trade with a broker within a regulated jurisdiction. I know that the brokers here in Australia generally value their licenses extremely highly and would make a lot of effort to play by the rules. If you have a concern, you can lodge a formal complaint with the regulator (ASIC, FOS here in Australia) and be assured that it will be followed up. Trading with an unregulated broker or in a questionable jurisdiction means that you have to take the broker's word that they are playing by the rules. You can always choose who you trade with.

c) Not really. A broker's price structure isn't dependent on whether or not it is DD. The two price structures I am aware of are fixed spread, and variable spread + commission. What works best will depend on your strategy, to an extent. I would avoid DD not because of the price structure, but because of the fundamental conflict of interest.

Thanks boatman!

At the fundamental/theory level, I agree with the DD conflict of interest. However, on the other hand, in my (admitidly limited) experience with regulators, their (real) main purpose is to protect the industry under the guise of protecting you...

I'm really trying to get nearer to the real, practical bottom line. For exactly the same trade at the same time, why is DD worse than NDD? Is DD worse because the broker will simply give you whatever price/spread/etc. at any time that takes your money, and no matter how different from the price/spread/etc. received from the liquidity providers and that given to other DD traders and/or NDD traders at the same time?

Thanks.