MT4 delivers no volume, and cannot deliver it since it's mainly a Forex and CFD trading program. Forex and CFD have no volume. You confuse that with the tick frequency.

You can see that it's really the tick frequency when you display marketVol() on EUR/USD live with an MT4 connection, and at the same time observe the ticks in the MT4 terminal. That's why the manual mentions "tick frequency" for MT4 marketVol, not "Volume". And no, there's no historical spread by MT4 either, at least as to my knowledge.

Hi. Yes I might be mistaken on this matter.

A quick google search indeed revealed that the functionality labeled as "volume" in MT4 returns a tick frequency.

Still there appears to be spread information according to the MT4 manual, at least for live feeds. Why is that not bridged?

I will ask a buddy who has great experience with MT4 and forward his assessment on this matter - if he has any.

Do you have opinions about the other 3 issues I mentioned?

I do not really understand the spread issue. All brokers deliver live spread and it's available in the "Spread" variable. marketVal is for an arbitrary additional parameter, not necessarily for spread.

As to retrieving more than 2 additional parameters from the broker - can you give me an example of which other parameters from which broker you would need?

Ok the spread makes sense. I don't have an example for more than 2 additional parameters. It might be no practical issue, and just a theoretic one, considering we are asking that question and are not sure of the answer. Ideally we would not have to ask that question.

Ok down to 2 issues/questions. Any opinions on points 1 and 4 ?

1. Cannot access/use optional asset data values with BarPeriod > 1 (e.g. when backtesting .t6 data)
2. Cannot retrieve volume and spread with MT4/MT5 (no issue)
3. Limit of 2 optional asset data values. Cannot use 3 or more (no practical issue)
4. marketVol/marketVal might not be what they pretend to be / user has to find out / adapt code to different use cases

To 1., I'm not sure that I understand the problem - can you give an example?

To 4., you can find the returned data by any specific API on the API page in the manual.

In the opening post of this topic I added a sample script that shows the problem. When looking into the actual t6 data (with ZHistory tool) then it becomes obvious that the given values are unexpected.


Yes. Unfortunately not all pages show this information.

The following do:
http://zorro-trader.com/manual/en/mt4plugin.htm
http://zorro-trader.com/manual/en/oanda.htm
http://zorro-trader.com/manual/en/fxcm.htm
http://zorro-trader.com/manual/en/ib.htm

And these do not:
http://zorro-trader.com/manual/en/ig.htm
http://zorro-trader.com/manual/en/ally.htm
http://zorro-trader.com/manual/en/dukascopy.htm
http://zorro-trader.com/manual/en/nxcore.htm

But as I said earlier this could easily be improved by providing functions that really return what they claim to return.

For example instead of a marketVol(int) function you could have a marketTickFrequency(int) and marketVolume() function that internally are aware if they return what they promise.

For example



Otherwise the user needs to implement and maintain such checks himself (if he needs them).

jcl,

I should offer some clarification on how I expect this to work.

Zorro should anticipate that the absolute point of reference volume should occasionally reset. For example, the DTC protocol defines volume as "volume for this session". If, in this case, the connection is lost and must restart, volume will probably return to zero.

Pseudo-code:
if (AbsVolume[0] < AbsVolume[1]) VolumeSinceLastBrokerAssetCall = 0;

Yes. The point of reference can be anything. It is normally of no importance, IB has not even documented it.

If the broker returns accumulated volume, you can convert it to volume per minute in this way:

VolumePerMinute = (marketVol(0)-marketVol(1))/BarPeriod;

jcl,

I saw this in the beta trading.h headers:
As of this writing these are not documented - I look forward to it.

I assume that if I supply absolute or relative volume from the plugin, Zorro will already know how to translate this into the appropriate volume.

For example, if a user's historical volume is volume at that bar, and the plugin provides volume since the last brokerasset call, I expect Zorro to accumulate volume for every given bar. Are my expectations correct?

No, the marketVol function just returns the volume. It does not modify it in any way.