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#472213 - 04/16/18 18:24 Re: 1.79 - Spread and marketVal() in test mode [Re: kujo]
Sphin Offline
User

Registered: 12/11/13
Posts: 567
Loc: Fuerth, DE
If I have problems with Zorro, esp. with a new feature and with a beta version (both is true in this case) I report it here in the beta area of the forum. I'm quite sure it will be read and if support needs more info (code, prices) they will apply for it as it has been already happened during this thread and/or the other one of mine.

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#472219 - 04/16/18 23:29 Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin]
kujo Offline
Member

Registered: 12/03/17
Posts: 129
Loc: Halifax, NS
I see and it's up to you. Personally, I find it more effective to write directly to Support with such kind of issues. Anyways, keep us posted and good luck!

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#472222 - 04/17/18 08:28 Re: 1.79 - Spread and marketVal() in test mode [Re: kujo]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26655
Loc: Frankfurt
Writing to Support is a bit faster, as I do not read the forum any day. But yes, I herewith apply for the code and data. We'd like to check why the marketval is zero.

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#472233 - 04/17/18 19:57 Re: 1.79 - Spread and marketVal() in test mode [Re: jcl]
Sphin Offline
User

Registered: 12/11/13
Posts: 567
Loc: Fuerth, DE
I sent it to support. This might bring an explanation for different FXCM prices but concerning the main problem, the difference of both test scenarios to trading on demo accounts, I can't point to more that there is obviously a difference, so that testing the strategy has only little to do with trading it. But I fear I cannot provide any idea why it is as it is.

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#472234 - 04/17/18 21:26 Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin]
Zheka Online
Senior Member

Registered: 07/03/17
Posts: 344
Such latency- and liquidity-sensitive strategies cannot be properly evaluated in the usual way, without "level 2" data, nor on a demo account.

You have to trade it live with small(but somewhat realistic) amounts to gauge actual fills, compare/calibrate it to you demo-account fills and/or testing results and then decide...

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#472235 - 04/17/18 22:21 Re: 1.79 - Spread and marketVal() in test mode [Re: Zheka]
Sphin Offline
User

Registered: 12/11/13
Posts: 567
Loc: Fuerth, DE
This is what I meant with 'systemic ones', I also fear that it might be difficult to impossible to get a realistic simulation.
BTW: I have noticed that Zorro nearly always crashes when the stop button is clicked while trading broker arbitrages. Maybe someone can look at this sometime.

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#472266 - 04/18/18 15:25 Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin]
Sphin Offline
User

Registered: 12/11/13
Posts: 567
Loc: Fuerth, DE
Support wrote to me that the sequence of storing bid and ask in the code for recording ticks was wrong. So I will try it with changed settings again and be back with new results.

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#472467 - 04/29/18 13:27 Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin]
Sphin Offline
User

Registered: 12/11/13
Posts: 567
Loc: Fuerth, DE
The new way recording ticks improved the test results so they seem to be more realistic but the differences between test and live runs are still there and although there are meanwhile similar (but not identical) test results using recorded and downloaded FXCM prices their differences to 'reality' are significant, they are even more significant if using real accounts instead of demos. Probably because real accounts behave more nervous esp. in shorter time frames. So I finish my efforts to simulate broker arbitrage, it is too much time consuming with only little use and turn my attention towards live trading.

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#472497 - 05/01/18 01:30 Re: 1.79 - Spread and marketVal() in test mode [Re: Sphin]
kujo Offline
Member

Registered: 12/03/17
Posts: 129
Loc: Halifax, NS
Could you please share ticks recording script?

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#472501 - 05/01/18 11:29 Re: 1.79 - Spread and marketVal() in test mode [Re: kujo]
Sphin Offline
User

Registered: 12/11/13
Posts: 567
Loc: Fuerth, DE
Code:
void tick()
{
	T1* Bid = dataAppendRow(1,2);
	Bid->time = wdate();
	Bid->fVal = -(priceClose()-Spread);
	T1* Ask = dataAppendRow(1,2);
	Ask->time = wdate();
	Ask->fVal = priceClose();
}


void click()
{
	dataSort(1);
	dataSave(1,strf("History\%s_2018.t1",strx(Asset,"/","")));
	quit("Done!");
}

void run()
{
	BarPeriod = 1;
	LookBack = 0;
	panelSet(-1,-1,"Save");
}


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