New Zorro version 2.40.9

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Re: New Zorro version 2.40.1 [Re: jcl] #483800 07/28/21 10:45 07/28/21 10:45
Joined: Jul 2000 Posts: 27,982 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,982 Frankfurt	If you get different trades from different versions, first check the log. Determine which trades are different and how. You will then normally quickly see the reason. If something is unclear, post the details here.

Re: New Zorro version 2.40.1 [Re: jcl] #483805
07/28/21 16:17 07/28/21 16:17

Joined: Dec 2019
Posts: 53

ozgur

Junior Member

ozgur

Junior Member

Joined: Dec 2019
Posts: 53

I think Dataset functions are behaving differently compared to version 2.35. Is this expected?

Code:

Code

void run()
{
	
	if (is(INITRUN))
	{
		
		int handleID = 1;
		
		int len = dataParse(handleID, "ssss,i,f,f,f,f,f,f,f,f,f,f,f,f,f,f,f,f,i,i,i,i,i,i,i,i,i,i,i,i,i,i,i,i,i", "History\\Test.csv"); // Asset name 15 (4 * s - 1) character max 
		
		int i, j;
		
		for(i = 0; i < len; i++) {
			
			printf("Row %i: %s %i %i \n", i, dataStr(handleID, i, 1), dataInt(handleID, i, 5), dataInt(handleID, i, 38));
			
			for(j = 0; j < 8; j++) {
				
				printf("%f %f %i %i \n", dataVar(handleID, i, 6 + j), dataVar(handleID, i, 14 + j), dataInt(handleID, i, 22 + j), dataInt(handleID, i, 30 + j));
				
			}
			
		}
		
		// free data memory
		dataNew(handleID, 0, 0);
		
		printf("\n\n");
		
	}
}

Data: (Test.csv)

Code

Name,Apple,Orange1,Orange2,Orange3,Orange4,Orange5,Orange6,Orange7,Orange8,Melon1,Melon2,Melon3,Melon4,Melon5,Melon6,Melon7,Melon8,Grape1,Grape2,Grape3,Grape4,Grape5,Grape6,Grape7,Grape8,Plum1,Plum2,Plum3,Plum4,Plum5,Plum6,Plum7,Plum8,Berry
#AUD/CAD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#AUD/CHF,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#AUD/JPY,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#AUD/NZD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#AUD/USD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#CAD/CHF,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#CAD/JPY,4,10,20,40,80,,,,,0.125,0.125,0.125,0.125,,,,,,,,,,,,,500,250,100,50,,,,,1
#CHF/JPY,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#EUR/AUD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#EUR/CAD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#EUR/CHF,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#EUR/GBP,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#EUR/JPY,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#EUR/NZD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
EUR/USD,4,12.5,25,50,100,,,,,0.125,0.125,0.125,0.125,,,,,4,4,4,4,,,,,500,250,100,50,,,,,1
#GBP/AUD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#GBP/CAD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#GBP/CHF,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
GBP/JPY,4,10,20,40,80,,,,,0.125,0.125,0.125,0.125,,,,,8,8,8,8,,,,,500,250,100,50,,,,,1
#GBP/NZD,4,25,50,100,200,,,,,0.125,0.125,0.125,0.125,,,,,,,,,,,,,500,250,100,50,,,,,1
#GBP/USD,4,16,32,64,128,,,,,0.125,0.125,0.125,0.125,,,,,,,,,,,,,500,250,100,50,,,,,1
#NZD/CAD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#NZD/CHF,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#NZD/JPY,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#NZD/USD,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#USD/CAD,5,10,30,50,80,130,,,,0.125,0.125,0.125,0.125,0.125,,,,,,,,,,,,500,250,100,50,25,,,,1
#USD/CHF,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
#USD/JPY,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,

Result: (just part of it to give you an idea)

[Linked Image]

Re: New Zorro version 2.40.1 [Re: jcl] #483806 07/28/21 17:41 07/28/21 17:41
Joined: Feb 2021 Posts: 19 C CpOo Newbie
CpOo Newbie C Joined: Feb 2021 Posts: 19	Originally Posted by jcl If you get different trades from different versions, first check the log. Determine which trades are different and how. You will then normally quickly see the reason. If something is unclear, post the details here. No, I get exactly the same trades, same profit, annual growth rate, percent winning, MAE and so on... same report but the only difference between versions are those values and the (null) value in Simulation mode.

Re: New Zorro version 2.40.1 [Re: jcl] #483807 07/28/21 18:11 07/28/21 18:11
Joined: Jul 2000 Posts: 27,982 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,982 Frankfurt	Hmm, that sounds indeed strange. Can you contact support@opgroup.de and send them that script? They'll look into it. Ozgur: I believe the first field is 0, not 1. Indices start with 0. The other column numbers are probably also wrong. Can you check if it works when you fix the numbers? Datasets expect a date in field 0, so I don't know what happens when it is missing, but possibly the old version got then some phantom field and thus worked with the wrong numbers.

Re: New Zorro version 2.40.1 [Re: jcl] #483809 07/28/21 18:42 07/28/21 18:42
Joined: Feb 2021 Posts: 19 C CpOo Newbie
CpOo Newbie C Joined: Feb 2021 Posts: 19	Originally Posted by jcl Hmm, that sounds indeed strange. Can you contact support@opgroup.de and send them that script? They'll look into it. I am using your Alice3b.c script for testing, but I am seeing the problem with any script. I tested in 2 different computers before writing here. It only happens on Test mode. Trade mode reports are Ok. Last edited by CpOo; 07/28/21 22:14.

Re: New Zorro version 2.40.1 [Re: jcl] #483811 07/29/21 08:33 07/29/21 08:33
Joined: Jul 2000 Posts: 27,982 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,982 Frankfurt	Ah, ok. We'll check that and when it happens here too, it will be fixed. Since you found a bug in a release candidate, you're entitled for a 3 months free Zorro S subscription or support period - please contact Support for claiming the reward. Ozgur: You can also claim a free subscription. The problem was indeed the missing date field, but both versions did not react consistently when it's missing. This will be fixed so that datasets with no date are now officially supported. But you must then still change your field numbers. The first field is 0 and the next integer field is 3, since the first 3 fields are needed for the string.

Re: New Zorro version 2.40.1 [Re: jcl] #483813 07/29/21 12:09 07/29/21 12:09
Joined: Jul 2000 Posts: 27,982 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,982 Frankfurt	2.40.2 is now out. Changes: Sharpe ratio fixed and datasets with no date field supported.

Re: New Zorro version 2.40.2 [Re: jcl] #483836 08/01/21 16:27 08/01/21 16:27
Joined: May 2018 Posts: 134 S SBGuy Member
SBGuy Member S Joined: May 2018 Posts: 134	My 2-minute bar options strategy surfaced a problem on 2.40.2 This is the code I use to load the options chain for the upcoming bar inside tock, when in Test mode. The month() call is used to specify the T8 file name. As you can see from the attached screenshot, month() stays at 1 when the actual month changed to February. This continues for the entire simulation period, LOOKBACK or not, resulting in no trades. This code works fine in 2.35.6 and previous version going back at least couple of years. Looks like month() is acting weird inside of tock(), or maybe elsewhere too. Code if (!Live) { printf("\n[%d] TOCK -- [%s] Loading chain... ",utcHHMM, Asset); if(month()!=month(1) or Init) { sprintf(OptionFile,"%s\\%s_%d%02d_m1.t8", HistFolder, Asset, year(),month()); dataLoad(1,OptionFile,9); } if (!Init) { int Chain = contractUpdate(Asset,1,PUT\|CALL); if(Live \|\| DEBUG) printf("\n[%d] TOCK -- [%s] %d contracts loaded...\n\n",utcHHMM, OptionFile, Chain); } } Attached Files tock-chain-load.PNG (71 downloads)

Re: New Zorro version 2.40.2 [Re: jcl] #483837 08/01/21 17:09 08/01/21 17:09
Joined: May 2018 Posts: 134 S SBGuy Member
SBGuy Member S Joined: May 2018 Posts: 134	Another anomaly. Assets with not enough historical data used to throw a "Warning 055: GRUB first yyy bars missing" message during Init only. Now, v 2.40.2, throws up "Error 047: GRUB not enough ticks." during Init and every..... single.... bar. Even with a Verbose=1. As a result, the large amount of error messages printed to the console window makes the simulation time unnecessarily long. I could ignore(47), but that's probably not a good idea. I suggest we go back to the Warning 055message during Init, like before. Thanks! Last edited by SBGuy; 08/01/21 17:11.

Re: New Zorro version 2.40.2 [Re: jcl] #483838 08/01/21 20:03 08/01/21 20:03
Joined: Sep 2019 Posts: 63 Naperville K kzhao Junior Member
kzhao Junior Member K Joined: Sep 2019 Posts: 63 Naperville	I tested a couple of my strategies on 2.40.2. The SR in the result is always 0, while in 2.35 the SR has positive values.

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