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#475409 - 12/06/18 22:25 New Zorro v1.99.2
Zheka Offline
Senior Member

Registered: 07/03/17
Posts: 340
JCL,

In the new beta:

- contractUpdate(Asset,0,CALL|PUT) does not load prices from IB (but it does from a file in Trade mode- finally!)
- contractRecord() is just skipped.
These 2 do not leave any traces in the logs. The chain is fine.

- contractPrice() works for SPY, but not for FOPs because the exchange in the symbol string is wrongly specified as SMART by IB plugin while it should be GLOBEX (at least with ES and FX).

IB plugin has been changed. What are the changes?

I also recall that TickTime used to work with IB. It no longer does, MaxRequests does not work either. Would be great to have it implemented for IB.

Thank you.

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#475416 - 12/07/18 12:29 Re: New Zorro v1.99.2 [Re: Zheka]
jcl Online

Chief Engineer

Registered: 07/22/00
Posts: 26655
Loc: Frankfurt
Thank you for the feedback. TickTime and MaxRequests are unrelated to IB, they work with all brokers. contractUpdate() won't load prices from IB, it's for loading options chains. Without contractUpdate(), contractPrice() and contractRecord() won't work either. The FOP exchange is returned from the broker by contractUpdate(), so when it was traded on GLOBEX, contractPrice() uses GLOBEX. I know no changes with the IB plugin.

If you encounter a problem with a beta version, please describe it, possibly with a code example, in a way so that we can see what problem you had.

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#475430 - 12/07/18 16:10 Re: New Zorro v1.99.2 [Re: jcl]
Zheka Offline
Senior Member

Registered: 07/03/17
Posts: 340
Sorry, I meant contractUpdate(Asset,0,CALL|PUT) is not loading a chain from IB.

All other points stand and were tested with contractUpdate() passed into a non-zero Handle and so loading a custom chain (which works as of 1.99.2).

IB plugin file in 1.99.2 has a date 12/2/2018, in v.1.98.4 it is dated 10/2x/2018. Given that there is now support for GET_GREEKS and - probably - SET_COMBO_LEGS, I thought that there are changes to IB plugin.

Prior to v1.99.2, there was never a problem with contactPrice() for ES with a contract selected from a custom chain; probably because exchange was taken from the symbol string for the Future (which is reasonable because the venue is 1 and the same).

As for MaxRequests, the manual states:
Quote:
"Automatically set up by broker plugins that support the GET_MAXREQUESTS command"
This command is not listed as supported on IB Plugin page(and it indeed returns 0), so there should be no limitation.

But looking at -diag file, it is clear that the brokerAsset calls are not influenced by the MaxRequests setting in the script.

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#475434 - 12/07/18 18:33 Re: New Zorro v1.99.2 [Re: Zheka]
jcl Online

Chief Engineer

Registered: 07/22/00
Posts: 26655
Loc: Frankfurt
Ok, but if contractUpdate is not loading a chain from IB, can you let us know how you achieved that, with which asset, and preferably with some code? There are many working examples of contractUpdate in the manual.

You know your script, but we don't. So, if something does not work in the beta version, it's a bit difficult for us to guess what in your code might have caused the problem. Same for MaxRequests and generally for anything that does "not work" - since it normally works anywhere else, we need a bit more details about that problem and how or when it happens.




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#475450 - Yesterday at 16:12 Re: New Zorro v1.99.2 [Re: jcl]
Zheka Offline
Senior Member

Registered: 07/03/17
Posts: 340
In v.1.99.3 MaxRequests now works.

The reason for contractUpdate() not loading a chain in Trade mode was its placement in INITRUN.
This used to work up until v.196 (at least), but now I see a note in the manual that it should be called after Lookback. Nice to know...

So, now the problem is with getting FOPs to work with custom chains.
Again, I could retrieve prices for ES FOPs selected from a custom chain up until v.1.99 without any problem, but now contractPrice() only works if a chain has been downloaded from IB.

This reminds of the earlier issue with FOP symbol name, which also at first required a live chain download (or else was missing), but then was changed to extract the name from the Future symbol string and with addition of g->sContractSymbol could be even set directly.

Why can't we get back to extracting Exchange from the Future symbol string?
So that Zorro/IB plugin do not default to SMART?

OR what's the suggested way to use a custom chain in Trade mode for FOPs with exchange different from SMART?

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#475465 - 55 minutes 9 seconds ago Re: New Zorro v1.99.2 [Re: Zheka]
jcl Online

Chief Engineer

Registered: 07/22/00
Posts: 26655
Loc: Frankfurt
Good to know that the bugs have fixed themselves, but with the exchange it's not so easy. If the chain was not loaded from the broker, the exchange is unknown. So we must add some means for separately entering the exchange. We'll do that in one of the next updates.

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