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Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin] #472103
04/08/18 12:45
04/08/18 12:45
Joined: Jul 2017
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Zheka Offline
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Zheka  Offline
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I am curious if the Realistic ticks mode indeed has a slippage of 5sec.
5 sec seem too many, 1 sec is probably closer to reality...

Re: 1.79 - Spread and marketVal() in test mode [Re: Zheka] #472107
04/08/18 16:43
04/08/18 16:43
Joined: Dec 2013
Posts: 568
Fuerth, DE
Sphin Offline OP
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Sphin  Offline OP
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Fuerth, DE
Good point. I don't think there is any slippage involved. If I read the log right it seems the trades are opened the or next second the threshold's break was found:

Quote:
2018-04-02 11:58:33.4425
AssetA: EURUSD_AT, PriceA: 1.23424, SpreadA: 0.00000, CommissionA: 0.00007
AssetB: EURUSD_FXCM, PriceB: 1.23382, SpreadB: 0.00001, CommissionB: 0.00007
Difference: 0.00042, Threshold: 0.00038
[EURUSD_AT::S1901] Short 1@1.23414 at 11:58:33
[EURUSD_FXCM::L1902] Long 1@1.23401 at 11:58:33
[...]
2018-04-02 13:24:36.8495
AssetA: EURUSD_AT, PriceA: 1.23296, SpreadA: 0.00000, CommissionA: 0.00007
AssetB: EURUSD_FXCM, PriceB: 1.23332, SpreadB: 0.00000, CommissionB: 0.00007
Difference: -0.00036, Threshold: 0.00035
[EURUSD_AT::L0501] Long 1@1.23303 at 13:24:37
[EURUSD_FXCM::S0502] Short 1@1.23313 at 13:24:37
[...]
2018-04-02 13:47:54.9835
AssetA: EURUSD_AT, PriceA: 1.23185, SpreadA: 0.00000, CommissionA: 0.00007
AssetB: EURUSD_FXCM, PriceB: 1.23232, SpreadB: 0.00003, CommissionB: 0.00007
Difference: -0.00047, Threshold: 0.00043
[EURUSD_AT::L2801] Long 1@1.23177 at 13:47:55
[EURUSD_FXCM::S2802] Short 1@1.23220 at 13:47:55
[...]

Slippage and Fill have default values, so there should be 5 sec slippage as you mentioned, maybe there is another treatment when trading on .t1?

Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin] #472131
04/10/18 07:33
04/10/18 07:33
Joined: Dec 2016
Posts: 71
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firecrest Offline
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Hi Sphine, It seems that Case 3 is the most realistic. However, it has only 4 trades per week. I am wondering if indices e.g. Ger30, SPX500.. would be a better assets for the broker arbitrage strategies.

Re: 1.79 - Spread and marketVal() in test mode [Re: firecrest] #472137
04/10/18 16:33
04/10/18 16:33
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Posts: 568
Fuerth, DE
Sphin Offline OP
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Hmm ... case 3 is not a simulation but recorded while trading on a demo account (therefore I wrote TRADE) and it reveals my actual problem: to find a simulation that matches trading circumstances. Those arbitrage effects often appear and disappear within one minute and therefore spread and timing at entry/exit are decisive.

Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin] #472141
04/10/18 22:16
04/10/18 22:16
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Zheka Offline
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If you look in the recorded ticks timestamps - then what's the actual time difference between signal generated and execution?

Re: 1.79 - Spread and marketVal() in test mode [Re: Zheka] #472144
04/11/18 11:38
04/11/18 11:38
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Halifax, NS
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kujo Offline
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I wonder what the reason is for spread difference between Trade and Test of ActiveTrades?

When it comes to TEST: Does marketVal() return correct values? Are they in line with your own calculation?

The same questions for TRADE: does spread that is returned by the broker is in line with your calculation based on ticks?

Last edited by kujo; 04/11/18 11:45.
Re: 1.79 - Spread and marketVal() in test mode [Re: kujo] #472145
04/11/18 16:03
04/11/18 16:03
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Posts: 568
Fuerth, DE
Sphin Offline OP
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Fuerth, DE
The time differences are marginal, these are the corresponding ticks from AT:

2018.04.02 11:58:33.441 1,23424
2018.04.02 13:24:36.848 1,23296
2018.04.02 13:47:54.982 1,23185

I don't know if marketVal() return the right values, if I regard the ticks from above again and verify them against the last bid price, I calculate the following:

2018.04.02 11:58:33.441 1,23424
2018.04.02 11:58:33.441 -1,23419
(2018.04.02 11:58:32.988 1,23425)
(2018.04.02 11:58:32.988 -1,23419)
=> calculated spread: 0.00005, spread by marketVal(): 0.00000

2018.04.02 13:24:36.848 1,23296
2018.04.02 13:24:36.848 -1,23291
(2018.04.02 13:24:35.364 -1,23291)
=> calculated spread: 0.00005, spread by marketVal(): 0.00000

2018.04.02 13:47:54.982 1,23185
2018.04.02 13:47:54.982 -1,2318
(2018.04.02 13:47:54.482 1,23186)
(2018.04.02 13:47:54.482 -1,23181)
=> calculated spread: 0.00005 (0.00004), spread by marketVal(): 0.00000

Ticks in parentheses are the ticks before because jcl meant the bid price before could be significant, but in no case I come to the values marketVal() returns. There can be 2 reasons: I calculate wrong or marketVal() calculates wrong.

Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin] #472150
04/12/18 13:22
04/12/18 13:22
Joined: Dec 2017
Posts: 129
Halifax, NS
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kujo Offline
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Hmm, it should be easy as 1,2,3. It looks like a bug. Have you written to support about marketVal()? How they explain zeros? Do you use the latest beta version?

Last edited by kujo; 04/12/18 13:23.
Re: 1.79 - Spread and marketVal() in test mode [Re: kujo] #472160
04/12/18 15:50
04/12/18 15:50
Joined: Dec 2013
Posts: 568
Fuerth, DE
Sphin Offline OP
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Sphin  Offline OP
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Fuerth, DE
Most of the info transfer between support and me concerning the marketVal() problem is documented here in the thread (it even started with a description of), therefore it's headlined with '1.79 Spread and marketVal() in test mode". 1.79 is just a bit outdated but it concerns to the actual beta. The latest results above (and the test of last week where the pics are from) are from 1.80.8/1.81.0.

Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin] #472201
04/16/18 02:14
04/16/18 02:14
Joined: Dec 2017
Posts: 129
Halifax, NS
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kujo Offline
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kujo  Offline
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Posts: 129
Halifax, NS
Sphin, if I have problems with Zorro, I write to Support. Usually, they confirm that it's a bug or provide explanation if it was designed so. In case of marketVal() I see a problem. So the next step is to contact Support. They either confirm a bug or explain this behaviour. If you have already contacted the Support, then what was their response?

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