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Re: New Zorro version 2.40.2 [Re: jcl] #483842 08/02/21 08:34 08/02/21 08:34
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	Some comments: - Wrong month: Maybe it's some setting of your script? Find out with a simple script like this: void tock() { printf("\n%02d",month()); } void run() { asset("EUR/USD"); } Then add your settings at the begin of the run function until the month becomes wrong again. Please let us know what it was. - Too many errors 047: Yes, this will be limited to 2 or 3 errors. - SR is 0 with 2.40.2: Please post or send that script.

Re: New Zorro version 2.40.2 [Re: jcl] #483844 08/03/21 00:49 08/03/21 00:49
Joined: May 2018 Posts: 134 S SBGuy Member
SBGuy Member S Joined: May 2018 Posts: 134	hi jcl, It looks like the problem is not the month() function, but rather the month(1) offset at the 1st bar of a new month. As you can see from the log snippet below, the first bar on 21-02-01 shows: month(0)=2 and month(1)=2. You agree that it should be: month(0)=2 and month(1)=1? Code function tock() .... printf("\n[%d] TOCK -- [%s] month()=%d month(1)=%d... ",utcHHMM, Asset,month(),month(1)); if(month()!=month(1) or Init) { sprintf(OptionFile,"%s\\%s_%d%02d_m1.t8", HistFolder, Asset, year(),month()); printf("T8: %s\n",OptionFile); } ..................Log entry................ [974: Fri 21-01-29 20:58] 3730.72/3734.22\3727.72/3727.72 -0.01 [2058] TOCK -- [SPX] month(0)=1 month(1)=1... [975: Mon 21-02-01 14:30] 3727.72/3727.72\3703.61/3707.86 -0.01 [1430] TOCK -- [SPX] month(0)=2 month(1)=2...

Re: New Zorro version 2.40.2 [Re: jcl] #483845 08/03/21 09:12 08/03/21 09:12
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	Afraid not, but I now see the reason of the problem. Inside a tick or tock function, month(0) is the current time. month(1) is the end of the previous bar. Depending on when the function runs, both can be identical. So your comparison is not good, even if it may have worked sometimes. For correctly finding a month change, either compare month(0) != month(1) in the run function, or compare month(0) in the tock function with month(0) of the previous tock.

Re: New Zorro version 2.40.2 [Re: jcl] #483846 08/03/21 09:37 08/03/21 09:37
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	2.40.3 is now out. Changes: Multiple 047 error messages suppressed, and fixes for the other reported issues.

Re: New Zorro version 2.40.2 [Re: jcl] #483847 08/03/21 12:32 08/03/21 12:32
Joined: May 2018 Posts: 134 S SBGuy Member
SBGuy Member S Joined: May 2018 Posts: 134	hi jcl, I hear what you're saying. But I still believe there is a problem in 2.40 when tock was moved to execute after tick, which makes sense conceptually. Take a look at these log clippings and you'll see the problem. In v2.35, tock is executed before run(), and tock() has the same time stamp and BarNum as the upcoming run() , which make sense. In v2.40, tock is executed before run(), and tock() has the new BarNum, BUT..... old timestamp of the previous bar. This probably causes month(1) to equal month(0). I also did do as you suggested and check for month change in run(). But because of this problem, I am only able to detect a month change in bar 2 of the new month. FYI, this the formula I used for the timestamp printed in the log. int utcHHMM = hour()*100+minute(); Code ..................... v 2.35 and before ......................... [1430] Bar[975] TOCK -- [SPX] [975: Mon 21-02-01 14:30] 3727.72/3727.72\3703.61/3707.86 -0.01 [1430] Bar[975] run() -- price=3707.86 [1432] Bar[976] TOCK -- [SPX] [976: Mon 21-02-01 14:32] 3751.48/3753.72\3751.48/3753.72 -0.01 [1432] Bar[976] run() -- price=3753.72 ................... v2.40 ............................................ [974: Fri 21-01-29 20:58] 3730.72/3734.22\3727.72/3727.72 -0.01 [2058] Bar[974] run() -- price=3727.72 [2058] Bar[975] TOCK -- [SPX] <------------------------ bad time stamp for Bar 975. it should be 1430 [975: Mon 21-02-01 14:30] 3727.72/3727.72\3703.61/3707.86 -0.01 [1430] Bar[975] run() -- price=3707.86 [1430] Bar[976] TOCK -- [SPX] <--------------------------- bar time stamp for Bar 976. it should be 1432 [976: Mon 21-02-01 14:32] 3751.48/3753.72\3751.48/3753.72 -0.01 [1432] Bar[976] run() -- price=3753.72 Last edited by SBGuy; 08/03/21 12:33.

Re: New Zorro version 2.40.2 [Re: jcl] #483850 08/04/21 07:09 08/04/21 07:09
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	The tock timestamp is _not_ the end of the next bar. It is simply the current time. In 2.40 tock is run by the internal state machine in the backtest, so that tock timestamps are always synchronized to the ticks. In 2.35, tock timestamps were unsynchronized. Whether to detect month changes in run or in tock depends on what for you're using it. If your script must react immediately on a new month, even in the middle of a bar, then you must check the change of month(0) inside tock or tick. That's easy with a static variable.

Re: New Zorro version 2.40.2 [Re: jcl] #483852 08/04/21 09:01 08/04/21 09:01
Joined: Feb 2021 Posts: 19 C CpOo Newbie
CpOo Newbie C Joined: Feb 2021 Posts: 19	Originally Posted by jcl 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. Thanks!

Re: New Zorro version 2.40.2 [Re: jcl] #483855
08/04/21 15:26 08/04/21 15:26

Joined: May 2018
Posts: 134

SBGuy

Member

SBGuy

Member

Joined: May 2018
Posts: 134

hi jcl,

My understanding in 2.40 is that execution order is now: tick, TOCK, TMF, run.... instead of TOCK, tick, TMF, run as in 2.35.

My observation from this log snippet below is that a contractUpdate() in Bar 976 tock, will load the options chain from time 1430, which is Bar 975. The TMF that executes before run will used the options chain from 1430. This problem may not be that big using 2 minutes bars, but will be a big problem longer bars.

So... in short, my original month detection problem has evolved to a potential tick/tock/run timing problem.

See the log below.

In v2.35 all the bars have the same time stamp, i.e. tick, tock, run associated with Bar 976 have a timestamp of 1432, which makes sense.
In v2.40 tick, tock in Bar 976 have a time of 1430, and run has a time of 1432... doesn't look right to me.

Thanks for looking closer at this.

Code


................... v2.35 ......................... TOCK, tick, TMF, run

[1430] Bar[975] TOCK -- [SPX] LastMonth[1] RunMonth[1] NewMonth[0]... USE NEW T8: C:\Zorro\History\SPX-Options\\SPX_202102_m1.t8
[1430] Bar[975] tick -- [SPX] LastMonth[1] RunMonth[1] NewMonth[0]... 
[975: Mon 21-02-01 14:30] 3727.72/3727.72\3703.61/3707.86 -0.01
[1430] Bar[975] run() -- price=3707.86

[1432] Bar[976] TOCK -- [SPX] LastMonth[1] RunMonth[2] NewMonth[1]... USE NEW T8: C:\Zorro\History\SPX-Options\\SPX_202102_m1.t8
[1432] Bar[976] tick -- [SPX] LastMonth[1] RunMonth[2] NewMonth[1]... 
[976: Mon 21-02-01 14:32] 3751.48/3753.72\3751.48/3753.72 -0.01
[1432] Bar[976] run() -- price=3753.72

.................. v2.40 ......................... tick, TOCK, TMF, run

[2058] Bar[975] tick -- [SPX] LastMonth[1] RunMonth[1] NewMonth[0]... 
[2058] Bar[975] TOCK -- [SPX] LastMonth[1] RunMonth[1] NewMonth[0]... 
[975: Mon 21-02-01 14:30] 3727.72/3727.72\3703.61/3707.86 -0.01
[1430] Bar[975] run() -- price=3707.86

[1430] Bar[976] tick -- [SPX] LastMonth[1] RunMonth[2] NewMonth[1]... 
[1430] Bar[976] TOCK -- [SPX] LastMonth[1] RunMonth[2] NewMonth[1]... USE NEW T8: C:\Zorro\History\SPX-Options\\SPX_202102_m1.t8
[976: Mon 21-02-01 14:32] 3751.48/3753.72\3751.48/3753.72 -0.01
[1432] Bar[976] run() -- price=3753.72

The test script

Code

#include <stdio.h>
#include <default.c>

#define TICKER			"SPX"

string HistFolder[200];
string OptionFile[200];

bool NewMonth;
int LastMonth, RunMonth;

void main()
{	
	sprintf(HistFolder,"C:\\Zorro\\History\\%s-Options\\",TICKER);		
}


function tick()	
{
	int utcHHMM = hour()*100+minute();
	printf("\n[%d] Bar[%d] tick -- [%s] LastMonth[%d] RunMonth[%d] NewMonth[%d]... ",utcHHMM, Bar, Asset,LastMonth, RunMonth, NewMonth);	
}

function tock()	
{
	int myHour = lhour(ET);
	int myMins = minute();
	int HHMM = myHour*100+myMins;
	
	int utcHHMM = hour()*100+minute();

	printf("\n[%d] Bar[%d] TOCK -- [%s] LastMonth[%d] RunMonth[%d] NewMonth[%d]... ",utcHHMM, Bar, Asset,LastMonth, RunMonth, NewMonth);
	if(month(0)!=LastMonth) {		
		sprintf(OptionFile,"%s\\%s_%d%02d_m1.t8", HistFolder, Asset, year(),month());
		printf("USE NEW T8: %s\n",OptionFile);
		//contractUpdate().....
	}
}


void run() 
{
	NewMonth = month(0)!=month(1);
	RunMonth = month(0);
	LastMonth = month(1);
	
	int utcHHMM = hour()*100+minute();

	Verbose = 3;	//7|DIAG;

	StartDate = 20210301;
	EndDate = 	20210303;	
		
	static char HistoryPath[100];
	strcpy(HistoryPath,strf("%s\\*_mm.t6",HistFolder));
	History = HistoryPath;		

	BarPeriod = 2;		
	LookBack = 115*30;	// 115 1-hour bar look back
	
	BarZone = ET;
	StartMarket = 0930;			//ET Time
	EndMarket = 1600;				//ET Time
	BarMode = BR_WEEKEND+BR_MARKET+BR_SLEEP;
	TickTime = 1*60*1000;
	TockTime = 1*60*1000;
	set(PRELOAD);
	set(LOGFILE);
	
	asset("SPX");
	printf("\n[%d] Bar[%d] run() -- price=%.2f\n", utcHHMM, Bar, priceClose());
	
}

Re: New Zorro version 2.40.2 [Re: jcl] #483858 08/05/21 13:51 08/05/21 13:51
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	Hmm. If bar N ends with time t1, and bar N+1 ends with time t2, then I would normally expect for all the ticks and tocks of bar N+1 timestamps that start with t1 and end with t2. Won't you agree?

Re: New Zorro version 2.40.2 [Re: jcl] #483861
08/05/21 17:09 08/05/21 17:09

Joined: May 2018
Posts: 134

SBGuy

Member

SBGuy

Member

Joined: May 2018
Posts: 134

I'm not sure I know enough about the internals of Zorro to opine on your question.

But let me ask you this in the context of my specific application, using the details of the log entries below:

If contractUpdate() is called in Bar 976 TOCK, or tick, which has a timestamp of 1430, which contract chain do you think will be loaded?
(a) the chain for time of 1430 (the tick/tock timestamp)
(b) the chain for time of 1432 (the Bar 976 time)

Code

.................. v2.40 ......................... tick, TOCK, TMF, run

[2058] Bar[975] tick -- [SPX] LastMonth[1] RunMonth[1] NewMonth[0]... 
[2058] Bar[975] TOCK -- [SPX] LastMonth[1] RunMonth[1] NewMonth[0]... 
[975: Mon 21-02-01 14:30] 3727.72/3727.72\3703.61/3707.86 -0.01
[1430] Bar[975] run() -- price=3707.86

[1430] Bar[976] tick -- [SPX] LastMonth[1] RunMonth[2] NewMonth[1]... 
[1430] Bar[976] TOCK -- [SPX] LastMonth[1] RunMonth[2] NewMonth[1]... USE NEW T8: C:\Zorro\History\SPX-Options\\SPX_202102_m1.t8
[976: Mon 21-02-01 14:32] 3751.48/3753.72\3751.48/3753.72 -0.01
[1432] Bar[976] run() -- price=3753.72

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