The problem is I am trying to act as a market maker only to benefit from zero commission. The strategy is built on that. I'm sending post-only orders through the broker plugin to the exchange that either get rejected because they would act as taker orders or the plugin waits for the order to get filled. It will repost rejected orders or wait until a maximum timeout has passed and then return 0 if the order wasn't filled in time.

So the plugin has to "work" to get fills, which can take some time. E.g. on 1 min bars, I can't wait longer than that for an order to get filled. If I send two separate orders the process must happen twice within the bar duration, increasing the chance that orders are missed, or at least making the order process more complicated.




Thank you, that is good to know. But the same probably does not apply to the array of balances Zorro uses to draw the equity curve. Can you tell me how this is handled? Based on my experience it looks like this value is adjusted with spread/commission/slippage immediately upon the enterLong() call, before I can modify any values of the trade struct.

Yes, the equity curve is adjusted at opening trades and at any tick. It is the sum of open and closed profit.

If needed, you can adjust the equity by adding or subtracting from Balance.

Thank you, I will try again soon, maybe I'll have more luck this time

But if the broker plugin outputs balance and equity, this would be unnecessary I believe.

That might be true. I don't know if Zorro uses that return value from the plugin to generate the equtiy curve in the chart or if it uses something internal like ProfitTotal or similar.

That depends on which plugin and which SET_PATCH configuration you use.

The plugin does return the Account balance and if Zorro indeed uses the change of that value to draw the equity curve then that could explain why mine looked bogus. There were some other positions open in the account that were much larger in size than the 1 Lot test trades I did

Returned live parameters from the broker plugin, for account, trades, assets, override anything. Unless you disable them with SET_PATCH.

Hmm...
https://github.com/vitakot/ftx_zorro_plugin/blob/main/src/ftx.cpp#L231
If account.m_totalAccountValue is actually the account equity, then the plugin was written incorrectly.

Emphasis added:
https://zorro-project.com/manual/en/brokerplugin.htm

Yes, I think you are right, but it doesn't matter for my case because I still don't think Zorro really uses those values beyond printing it to the Zorro window and making it available in the Balance variable.

I found the variables that I was mostly looking for:
g->w.vWin and g->w.vLoss keep a tally of closed profits/losses and the difference between them is drawn as the equity in the chart and to the Zorro status section during the session. I have to modify those based on the result of the trade I'm cancelling/entering
g->w.numWin and g->w.numLoss are the number of won/lost trades, also a running tally. For some reason all trades are added to the losers upon cancelTrade, so I had to correct that manually.

Those are at least the important metrics but there are many more to take care off.

I think this is something Zorro should support natively. Is this really such a crazy use case? I don't see why trades should be split up into multiples if it's not necessary. Especially because many brokers (like IB) charge minimum order fees or flat fees, thereby increasing the overall commission if the order is split up. It's probably not too hard to implement in Zorro as an alternative order type that is activated by some flag. The normal trade logic can be left untouched, just adding it as an alternative.