Gamestudio Links
Zorro Links
Newest Posts
M1 Oversampling
by Petra. 04/24/24 10:34
Zorro FIX plugin - Experimental
by flink. 04/21/24 07:12
Data from CSV not parsed correctly
by EternallyCurious. 04/20/24 21:39
Scripts not found
by juergen_wue. 04/20/24 18:51
zorro 64bit command line support
by 7th_zorro. 04/20/24 10:06
StartWeek not working as it should
by jcl. 04/20/24 08:38
folder management functions
by VoroneTZ. 04/17/24 06:52
AUM Magazine
Latest Screens
The Bible Game
A psychological thriller game
SHADOW (2014)
DEAD TASTE
Who's Online Now
5 registered members (Petra, AndrewAMD, Quad, VoroneTZ, 1 invisible), 488 guests, and 3 spiders.
Key: Admin, Global Mod, Mod
Newest Members
Mega_Rod, EternallyCurious, howardR, 11honza11, ccorrea
19048 Registered Users
Previous Thread
Next Thread
Print Thread
Rating: 5
Page 3 of 3 1 2 3
Re: Backtesting with T1 data and variable spread [Re: jcl] #466813
07/03/17 17:04
07/03/17 17:04
Joined: Jun 2017
Posts: 78
B
BobbyT Offline
Junior Member
BobbyT  Offline
Junior Member
B

Joined: Jun 2017
Posts: 78
Hi JCL,

Thanks for the reply. I'm sorry but you will have to noobify that answer a little for me.

Cygwin does not return to the command line before Zorro opens. The above copy/paste from the Cygwin terminal is all that appears before Zorro starts. THere are no messages printed in Zorro (I added a tonne of print statements to see where it's hanging and there is nothing returned).

Is there something I can add to the python or zorro script to ensure their operation lines up properly?

Cheers,
BobbyT

Edit: just had another look; neither the bash script or the python script terminate properly. They both hang Cygwin. Maybe there's a dependency or plugin issue (?)

Last edited by BobbyT; 07/03/17 17:20.
Re: Backtesting with T1 data and variable spread [Re: BobbyT] #466817
07/03/17 19:44
07/03/17 19:44
Joined: May 2016
Posts: 180
Prague
pcz Offline OP
Member
pcz  Offline OP
Member

Joined: May 2016
Posts: 180
Prague
Originally Posted By: Smile
PCZ , hello.
when you finish your *.t1 and *s.t1 files, during backtesting, the sell / stop sell order,
which price will be trade? is it ask(in t1 file) - spread(in assets file) ?

the *s.t1 file, how to show its useful?


Not sure if I understand the question correctly but I'll try to reply anyway (hopefully on topic) - in the latest version the name of the produced asset file is e.g. EURUSD_2016.t1 and the name of a dummy file is the same but beginning with an exclamation mark (e.g. !EURUSD_2016.t1). The first file contains ask prices (which are normally used by Zorro) and the second one contains bid prices. One of the ways how to use these files is decribed here: http://statsmage.com/zorro-on-steroids-iii-backtesting-with-variable-spread/ - then the price which is used during backtesting is the ask price and the bid price is used only to calculate the spread.

Re: Backtesting with T1 data and variable spread [Re: pcz] #466818
07/03/17 20:02
07/03/17 20:02
Joined: May 2016
Posts: 180
Prague
pcz Offline OP
Member
pcz  Offline OP
Member

Joined: May 2016
Posts: 180
Prague
BobbyT: The produced files are indeed stored in different folder than Zorro/History so you don't accidentally overwrite some important history files.

The line reversion and file splitting are slow but when this part is done the Zorro conversion part should be very fast. I've just tried with a fresh install of Zorro 1.59 and everything works fine for me. The question is - are you using the latest version of the conversion scripts? I know the thread is a mess and I'm sorry for that. I would edit the first post but it's probably too old to do so. You can find links to the latest version here: http://statsmage.com/zorro-on-steroids-ii-data-conversion/ in the "Implementation" section. It's these two:

https://gitlab.com/panaczech/ZorroToolbox/blob/master/converter/convert.py
https://gitlab.com/panaczech/ZorroToolbox/blob/master/converter/ConvertData.c

There's no need for the bash script anymore. I'll try to keep the files in the repository updated in the future as well.

Re: Backtesting with T1 data and variable spread [Re: pcz] #466822
07/04/17 00:36
07/04/17 00:36
Joined: Jun 2017
Posts: 78
B
BobbyT Offline
Junior Member
BobbyT  Offline
Junior Member
B

Joined: Jun 2017
Posts: 78
Hi PCZ,

That makes sense about the file locations. I had just misunderstood where they were meant to be saved.

The python/zorro scripts were downloaded Friday night so unless they have been updated since then they should be the most recent ones.

Regardless of if I use the bash/zorro or python/zorro combination the following happens:

-The tick files are correctly converted to M1 files with the lines reversed
-Zorro is opened
-Then nothing, no messages in zorro, no further messages in Cygwin (beyond what I had previously posted)

CSV files can successfully be converted to t6 files via the zorro interface after Cygwin is forcefully closed.
So it seems that ConvertData.c (or converT6.c) does it's job and convert.py (or convert.sh) also does it's job. The problem seems to be with the calling of ConvertData.c from convert.x (although as I mentioned, Zorro is successfully started by convert.x).

Could it be a windows thing? I'm running from Cygwin to try and avoid any Windows nonsense.

Cheers,
BobbyT

Last edited by BobbyT; 07/04/17 00:36.
Re: Backtesting with T1 data and variable spread [Re: BobbyT] #466831
07/04/17 09:52
07/04/17 09:52
Joined: May 2016
Posts: 180
Prague
pcz Offline OP
Member
pcz  Offline OP
Member

Joined: May 2016
Posts: 180
Prague
BobbyT: In your example you tried to convert AUDCHF which is not in Zorro's asset list by default. Did you include it in the asset list file? When the asset is missing the conversion fails but the Cygwin shouldn't hang anyway.

Re: Backtesting with T1 data and variable spread [Re: pcz] #466839
07/04/17 15:45
07/04/17 15:45
Joined: Jun 2017
Posts: 78
B
BobbyT Offline
Junior Member
BobbyT  Offline
Junior Member
B

Joined: Jun 2017
Posts: 78
Hi PCZ,

I had previously copied AssetsCurr to AssetsFix (minus USDMXN) and updated the broker information via the download script through FXCM. Zorro had also successfully downloaded AUDCHF data from FXCM following the updates to AssetsFix.

Dukas has more data available than FXCM though so that's why I'm here.

Cheers,
BobbyT

Last edited by BobbyT; 07/04/17 15:46.
Re: Backtesting with T1 data and variable spread [Re: BobbyT] #466915
07/07/17 14:22
07/07/17 14:22
Joined: Jun 2017
Posts: 78
B
BobbyT Offline
Junior Member
BobbyT  Offline
Junior Member
B

Joined: Jun 2017
Posts: 78
Update: To anyone that is trying or had tried to get this to work, pcz is using Zorro S. Zorro S has a string of command line functions/options which are not available on Zorro F.

I will try an make a Zorro F compatible version over the next week. Stay tuned for any further updates.

Cheers,
BobbyT

Last edited by BobbyT; 07/07/17 14:22.
Page 3 of 3 1 2 3

Moderated by  Petra 

Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1