Hello,

the Zorro project seems like the best thing that ever happenned to the retail trading community, honestly! I have two questions though:

1/ can I use Delta information (contracts sold/bought) in strategy testing in Zorro? Lets assume I have the Delta data and can export them to a format Zorro can read.
2/ can I use a non-fixed stop/profit size. Some people use something like stopLoss = x * f(volatility(1), volatility(2) ... ) - is it possible to have a formula for setings exits like this with 'x' being a parameter to optimize?

Best regards,
Daniel

1. I haven't worked with the options parts of Zorro myself, but you can find related functions here:
https://manual.zorro-project.com/contract.htm
and a small tutorial here:
https://zorro-project.com/manual/en/tutorial_options.htm

2. Another tutorial which shows (among other things) how to optimize a stop loss based on ATR.
https://manual.zorro-project.com/tutorial_var.htm

Hello Dalla,

thanks a lot for your answers. By Delta, I meant the market delta, i.e. the number of contracts executed on the bid vs on the offer during the bar's period. Can that be used in Zorro?

Best regards,
Daniel

You can build pretty much anything if it's not already implemented. If you have the data, I can't see why you wouldn't be able to implement it.

Thank you.

Extra information such as the ask/bid delta can be stored in the fVal field of the T8 struct. You can then access it in the backtest through marketVal().