I made a step-by-step video tutorial showing how to export continuous contract futures bar data from Sierra Chart to Zorro. You will find it here on YouTube:
How to set up Visual Studio C++ debugger for Zorro trading scripts (video tutorial)
0 commentsI made a step-by-step video tutorial showing how to set up Zorro to use the Visual Studio C++ debugger. You will find it here on YouTube:
Business Update: We are now Full Time!
0 commentsJust a quick update that I am now operating full time and am accepting new clients. Below is the video version. As always, I can be reached via email: andrew@vitaltrades.com. My YouTube channel is here: https://www.youtube.com/@vitaltrades My GitHub code repository can be found here: https://github.com/AndrewAMD Thanks, and I look forward to working with you! – Andrew …
Making a C++ Interactive Brokers TWS Client with a Custom Socket Implementation
2 commentI recently worked on an Interactive Brokers TWS API implementation in C++, and I wanted to share some thoughts on it while they are fresh in my mind. Intro The purpose of this post is to prove that IB’s TWS API has a socket implementation that is replaceable. I made an implementation that retains all …
Continue reading “Making a C++ Interactive Brokers TWS Client with a Custom Socket Implementation”
Adding Exact Fee and Credit Calculations to Zorro
0 commentsExecutive Summary I describe a way to add exact fees and credits to any Zorro backtest, using the new enterTrade() function. I will be needing this capability to detect the minimum capital requirements of my Don System by determining the exact Interactive Brokers commission fees incurred. Motivation Shortly after I published my success story, I …
Continue reading “Adding Exact Fee and Credit Calculations to Zorro”
Success Story 1: Stock Momentum Trading System
3 commentExecutive Summary I wrote a stock trading system. It trades NYSE and NASDAQ stocks long-only, using Zorro and IB. It appears to be profitable in backtests, and it passed a reality test suggested by Johann Christian Lotter. Licenses for sale. Disclaimers Before we begin, I have some obligatory reminders: Historical backtest performance does not imply …
Continue reading “Success Story 1: Stock Momentum Trading System”
Continuous Futures Data in Zorro 2: Parsing CSV to T6
2 commentIn this second part of my Continuous Futures mini-series, we will convert our Sierra Chart continuous futures CSV data to Zorro’s T6 format. Analysis of the CSV Data Let’s take a look at the first few lines of the file, to see what we are parsing: Date, Time, Open, High, Low, Close, Volume, NumberOfTrades, BidVolume, …
Continue reading “Continuous Futures Data in Zorro 2: Parsing CSV to T6”
Continuous Futures Data in Zorro 1: Data Acquisition
5 commentIn this mini-series, we will export continuous futures data from Sierra Chart as a CSV and import it to Zorro in T6 format. I will assume the reader has some basic knowledge of how futures work. For this post, I will focus on the data acquisition. Continuous Contracts in Brief First of all, a “continuous …
Continue reading “Continuous Futures Data in Zorro 1: Data Acquisition”
Get Historical Data from Darwinex REST API Using Zorro Script – Part 2: Parse Any JSON
0 commentsThis is part 2 of the Darwinex API series (part 1 is here). We will parse Darwinex’s historical data, which is in the JSON format. Normally, we would use Zorro’s dataParseJSON() function for such a task, but the function’s present incarnation does not appear to support the eccentric format that we have downloaded. (Perhaps someone …
Get Historical Data from Darwinex REST API Using Zorro Script – Part 1: HTTP Access
2 commentIn this lesson, we download historical data using Zorro. Zorro supports several data vendors out of the box, such as FXCM, Oanda, AlphaVantage, and Quandl, but today, we will investigate how to download data from any documented REST API. To demonstrate this, we will connect to the REST API by Darwinex. (This API is in beta, so …