Precise AssetMarketStart/End

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Re: Precise AssetMarketStart/End [Re: Spirit] #485532 03/19/22 17:54 03/19/22 17:54
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	Originally Posted by Spirit I don't think they are deprecated.. I suggested to deprecate them. Actually, BR_LEISURE seems to work with AssetMarketStart/End.

Re: Precise AssetMarketStart/End [Re: Zheka] #485583 03/26/22 13:18 03/26/22 13:18
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	I was mistaken: BR_LEISURE does not work with AssetMarketStart/End out of the box. The problem with setting StartMarket=AssetMarketStart is with BarZone -which is set once per script. So, AssetMarketTimes need to be translated from AssetMarketZone to BarZone; doing this correctly in the general case isn't trivial. Please make our lives simpler - make BR_LEISURE work with the new AssetMarketxxx variables. Thank you.

Re: Precise AssetMarketStart/End [Re: Zheka] #485634 04/04/22 12:04 04/04/22 12:04
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	It would be very helpful if a snippet of code showing correct usage of AssetMarketXXX with BR_ASSET+BR_LEISURE with 2+ assets be added to the Tips+Tricks/ manual.

Re: Precise AssetMarketStart/End [Re: Zheka] #485636 04/05/22 13:45 04/05/22 13:45
Joined: Jul 2000 Posts: 27,986 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,986 Frankfurt	"For using asset-dependent market hours with BR_MARKET or BR_LEISURE, copy the AssetMarket... variables to StartMarket, EndMarket, BarZone after selecting the asset." (from the BarMode description) As to your suggestion to print local time to the log, instead of UTC, that raises the question which local time. When you set BarZone to different asset zones as above suggested, any bar could have a different local time. I think this would cause more confusion than help.

Re: Precise AssetMarketStart/End [Re: jcl] #485638 04/05/22 14:25 04/05/22 14:25
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	Originally Posted by jcl "For using asset-dependent market hours with BR_MARKET or BR_LEISURE, copy the AssetMarket... variables to StartMarket, EndMarket, BarZone after selecting the asset." (from the BarMode description) Setting BarZone AFTER selecting asset generates Error 030 - check order of settings (as BarZone affects generation of bars). Originally Posted by jcl As to your suggestion to print local time to the log, instead of UTC, that raises the question which local time. When you set BarZone to different asset zones as above suggested, any bar could have a different local time. The very first used BarZone - which is prior to asset() and which affects generation of bars - should be the time zone of the log....UTC times ARE causing confusion.

Re: Precise AssetMarketStart/End [Re: Zheka] #485661 04/10/22 16:20 04/10/22 16:20
Joined: Apr 2008 Posts: 586 Austria Petra Support
Petra Support Joined: Apr 2008 Posts: 586 Austria	Variables that affect bar loading must be set before loading bars, setting them afterwars wont work obviously. You can probably set BarZone when you only want to use BR_LEISURE because it has no effect on loading bars. But you must then set it back afterwards for avoiding error 030. I think it is not really needed, because when BR_ASSET is set, you normally wont get trade signals anyway. It would probably make sense when you explain what your strategy is doing and which flags or zones you need for which purpose, then it can be better understood what the problem is.

Re: Precise AssetMarketStart/End [Re: Zheka] #485665
04/11/22 10:34 04/11/22 10:34

Joined: Jul 2017
Posts: 784

Zheka

OP
User

Zheka

OP
User

Joined: Jul 2017
Posts: 784

Setting BarZone back to the very first value (ET) at the end of the script fixes Error 030 but does not really change internal Zorro 'market hours' - they are still in the ET timezone, and therefore trades for GDAXI are allowed from 930 to 1600 ET, not WET.

Code

function run() {
	
	set(LOGFILE);
	NumYears=1;
		
   BarPeriod=15;
	
	BarZone=ET;
	
	Verbose=3;
	
	StartWeek=71800;
	EndWeek=51701;
		
BarMode = BR_WEEKEND+BR_ASSET+BR_LEISURE;

MaxLong=-1;

	asset("EUR/USD");	  
	  
	  AssetMarketZone=ET;
	
		AssetMarketStart = 1800;
		AssetMarketEnd = 1701;
		
		BarZone=AssetMarketZone;
	
		StartMarket=AssetMarketStart;
		EndMarket=AssetMarketEnd; 	
				
	  vars prcI= series(priceC(0));
	
	   printf("# cls1=%.5f,Assmark1end=%i, market=%i, susp=%i",prcI[0],AssetMarketEnd,market(ET,0),suspended());
             
           //tradeSys1();
	
	asset("GDAXI");	
		
	AssetMarketZone=WET;
	
	AssetMarketStart = 0930;
	AssetMarketEnd = 1601;	
	 
	BarZone=AssetMarketZone;
	
	StartMarket=AssetMarketStart;
	EndMarket=AssetMarketEnd; 
	
	vars prc= series(priceC(0));
	
	printf("# cls2=%.2f,mark2end=%i, market=%i, susp=%i",prc[0],AssetMarketEnd,market(WET,0),suspended());
	
		
	LifeTime=8;
	if (prc[0]>prc[1]) enterLong();
	
	BarZone=ET;
}

Re: Precise AssetMarketStart/End [Re: Zheka] #485676 04/13/22 11:35 04/13/22 11:35
Joined: Jul 2000 Posts: 27,986 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,986 Frankfurt	That code looks ok. It should suppress enterLong outside AssetMarketStart/End in the AssetMarketZone. Can you show the log?

Re: Precise AssetMarketStart/End [Re: Zheka] #485694
04/14/22 12:05 04/14/22 12:05

Joined: Jul 2017
Posts: 784

Zheka

OP
User

Zheka

OP
User

Joined: Jul 2017
Posts: 784

Both entry and expiry occur outside of market hrs (930-1601 WET).

Code

[size:8pt][638: Tue 22-01-11 [u]16:30[/u]] -35.54 +2.60 1/9  cls1=1.13620,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)
[GDAXI::L63007][u] Expired[/u] 1@15939.90: +2.48 Bid 15939.28 at 16:45:00
Opn 15917.40 Cls 15939.90 Spr 0.63 Slp 0.00 Rol -0.00 Com 0.07 Lif 9 Net 1

[639: Tue 22-01-11 16:45] -35.66 0 1/9  cls1=1.13663,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
[GDAXI::L63907] Long 1@15969.90 x at 16:45:00
Com 0.0747  Mrg 1.12  Net 0

[640: Tue 22-01-11 17:00] -36.86 -1.20 1/10  cls1=1.13620,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)

[641: Tue 22-01-11 17:15] -35.16 +0.50 2/9  cls1=1.13569,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)

[642: Tue 22-01-11 17:30] -38.09 -2.43 1/10  cls1=1.13573,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)

[643: Tue 22-01-11 17:45] -36.21 -0.56 1/10  cls1=1.13536,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)

[644: Tue 22-01-11 18:00] -35.75 -0.0894 1/10  cls1=1.13542,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)

[645: Tue 22-01-11 18:15] -36.45 -0.79 1/10  cls1=1.13561,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)

[646: Tue 22-01-11 18:30] -35.75 -0.0894 1/10  cls1=1.13575,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)

[647: Tue 22-01-11 18:45] -35.39 +0.26 2/9  cls1=1.13644,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)
[GDAXI::L63907] Expired 1@15974.40: +0.38 Bid 15973.78 at 19:00:00
Opn 15969.90 Cls 15974.40 Spr 0.63 Slp 0.00 Rol -0.00 Com 0.07 Lif 9 Net 1

[648: Tue 22-01-11 19:00] -35.28 0 2/9  cls1=1.13666,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
[GDAXI::L64807] Long 1@15978.40 x at 19:00:00
Com 0.0748  Mrg 1.12  Net 0

[649: Tue 22-01-11 19:15] -36.60 -1.32 2/10  cls1=1.13727,MarkStart=1800,Assmark1end=1701, market=1, susp=0 cls2=15914.40,mark2end=1601, market=0, susp=0
(GDAXI::L) Skipped (Max = -1)[/size]

Re: Precise AssetMarketStart/End [Re: Zheka] #485695 04/14/22 12:49 04/14/22 12:49
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	Hmm..There seem to be a problem with series shifting with BR_ASSET altogether (in v 2.47.0 and 2.47.4): Code function run() { set(LOGFILE); NumYears=1; BarPeriod=15; BarZone=ET; Verbose=3; StartWeek=71800; EndWeek=51701; BarMode = BR_WEEKEND+BR_ASSET; asset("SPY"); vars prcI= series(priceC(0)); printf("# cls1=%.5f,Mark1Start=%i,mark1end=%i, market=%i, susp=%i",prcI[0],AssetMarketStart,AssetMarketEnd,market(ET,0),suspended()); } produces: Quote [87: Tue 22-01-04 20:30] 477.88/478.32\477.71/478.25 -0.03 cls1=478.25000,Mark1Start=730,mark1end=1601, market=1, susp=0 [88: Tue 22-01-04 20:45] 478.26/478.48\477.91/478.38 -0.03 cls1=478.38000,Mark1Start=730,mark1end=1601, market=1, susp=0 [89: Tue 22-01-04 21:00c] 478.38/478.96\477.44/477.51 -0.03 cls1=477.51001,Mark1Start=730,mark1end=1601, market=0, susp=8 [90: Tue 22-01-04 21:15c] 477.51/477.65\477.25/477.34 -0.03 cls1=477.34000,Mark1Start=730,mark1end=1601, market=0, susp=8 [91: Tue 22-01-04 21:30c] 477.35/477.58\477.25/477.41 -0.03 cls1=477.41000,Mark1Start=730,mark1end=1601, market=0, susp=8 [92: Tue 22-01-04 21:45c] 477.42/477.48\477.28/477.48 -0.03 cls1=477.48001,Mark1Start=730,mark1end=1601, market=0, susp=8 [93: Tue 22-01-04 22:00c] 477.48/477.48\477.35/477.42 -0.03 cls1=477.42001,Mark1Start=730,mark1end=1601, market=0, susp=8 Update: it works for FX and IND, but not for SPY Last edited by Zheka; 04/14/22 13:26.

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