The problem is not with exact amounts.

The problem is identifying which trades will be subjected to rolling costs.

Zorro currently applies rolls to trades longer than 12-hours, - and that's what I suggest to improve.

I suggest to implement a "close-to-reality" mechanism, where rolls are charged on trades open at 17:00ET, and 3x on Wed (which is the industry norm), - regardless of their duration and as many times as needed.



Last edited by Zheka; 09/02/21 09:26.