Asset Lists and Account Lists

Any asset used in a script needs an entry in an asset list in the History folder (unless the asset is added by script). This entry determines all parameters and properties of the asset. The default asset list, AssetsFix.csv, also determines the assets that initially appear in the [Asset] scrollbox. Since any broker has his individual asset parameters, different asset lists can be used for different brokers and accounts. The asset list can be selected either by script through the assetList command, or automatically with an account list (see below). If no asset list is selected, the default list is used.

The parameters in the asset list are used for training and testing. In live trading, asset parameters are not read from the list, but taken directly from the broker API. However if parameters are not provided by the broker API, they are also taken from the asset list. Since broker API parameters are not always reliable, the SET_PATCH command can be used to override the API and enforce the asset list parameters.

The asset parameters need not be 100% precise. A backtest with an asset list for a different broker or account will normally also produce a useful result. But the parameters should not be totally off, especially not leverage and lot amount. If asset list parameters appear suspicious or deviate strongly from live parameters, a warning is issued at start of a trading session.

Asset lists are simple comma separated spreadsheet files (CSV files) that can be edited with Excel or with a text editor for adding new assets, or for modifying parameters. Every asset is represented by a line in the CSV file. New assets can be added either manually - by editing the file and entering a new line - or automatically from Log\Assets.csv as described below. For quickly adding a new currency pair to the asset scroll box, edit AssetsFix.csv with the script editor and copy the currency pair line over from the multi-currency list AssetsCur.csv. For adding a stock, copy a line from a stock list such as AssetsSP250.csv.

Asset lists can look like this:

Name	Price	Spread	Roll Long	Roll Short	PIP	PIP Cost	Mgn Cost	Mkt	Mult	Comm	Symbol	*AssetVar...*
AUD/USD	0.77311	0.00005	0.05	-0.07	0.0001	2.2	-3.0	0	25000	0.5	*	1
EUR/CHF	1.20104	0.00005	-0.023	0.01	0.0001	2	-3.0	0	20000	0.5	EUR.CHF	2
EURCHF2	1.20012	0.00007	-0.031	0.0	0.0001	0.1	-1.0	0	1000	0.6	FXCM_Real:EUR/CHF	3
EUR/USD	1.13795	0.00005	-0.025	-0.01	0.0001	1.8	-1.0	0	20000	0.5	*	4
USD/JPY	117.489	0.004	-0.04	0.0	0.01	1.7	-1.0	0	25000	0.5	*	5
SPX500	2081.43	0.25	0	0	1	0.09	-5.0	0	0.1	0.02	IBUS500-CFD-SMART
US30	17703.2	3	0	0	1	0.09	-5.0	0	0.1	0.02	IBUS30-CFD-SMART
NAS100	4654.34	0.5	0	0	1	0.9	-5.0	0	1	0.02	IBUST100-CFD-SMART
UK100	6869	1	0	0	1	0.9	-5.0	0	1	0.02	IBUK100-CFD-SMART-GBP
GER30	10767.8	1	0	0	1	0.9	-5.0	0	1	0.02	IBDE30-CFD-SMART-EUR
XAG/USD	15.863	0.013	0	0	0.01	0.009	-5.0	0	1	0.02	XAGUSD-CFD-SMART
XAU/USD	1156.25	0.07	0	0	0.01	0.009	-5.0	0	1	1.6	XAUUSD-CFD-SMART

The first line is the header line. A line is ignored when its Name begins with "#"; this way assets can be temporarily 'commented out'. Names should contain no special characters except for '_' and '/', but their assigned symbols can contain special characters except for blanks, commas, and semicolons. Zorro also accepts semicolon separated csv files with commas instead of decimal points, but not a mix of both in the same file. Excel uses your local separation character, so it is recommended to set up your PC regional settings that it's a comma and the decimal is a point, otherwise Excel cannot read standard csv files.

The asset parameters are to be set up as described below. In the description, a contract is 10,000 units for forex pairs, and a single unit for all other assets (brokers can have different individual contract sizes, see examples!). A lot is defined as the minimum tradeable number of units for forex pairs, and the minimum tradeable number of units or fraction of a unit for all other assets. Some parameters have a slightly different meaning when negative, f.i. a percentage instead of an absolute value. For most parameters exist an equivalent script variable, which is set in live trading from the broker API if available, and from the asset list otherwise.

Name	Name of the asset, f.i. "EUR/USD". Up to 15 characters, case sensitive, with no blanks and no special characters except for slash '/' and underline '_'. This name is used in the script and in the Asset scrollbox; it can be different to the symbol used by the broker. The asset is ignored when the name begins with a hash character "#".
Price	Ask price per unit, in counter currency units. Accessible with the InitialPrice variable. For non-forex assets the counter currency is usually the currency of the exchange place, such as USD for US stocks, or EUR for the DAX (GER30). For digital coins it's usually another coin, such as Bitcoin The Price parameter is normally for information only and not used in the backtest.
Spread	The current difference of ask and bid price, in counter currency units. Accessible with the Spread variable. Used for backtests with constant spread. If at 0, ask/bid spread must be determined by script.
RollLong RollShort	Rollover fee (Swap) in account currency units for holding overnight a long or short position per calendar day and per 10000 units for currencies, or per unit for all other assets. Accessible with the RollLong/Short variables. This is normally the interest that is daily added to or subtracted from the account for holding positions and borrowing margin. Some brokers have a three times higher rollover cost on Wednesdays or Fridays for compensating the weekend. When manually entering rollover fees, make sure to convert them to per-10000 for forex pairs. Zorro multiplies the fees with the trade duration in days for determining the total rollover cost of a trade. If rollover is unknown, it can be estimated from the current interest rate of the counter currency divided by 365 and multiplied with *asset price(1-1/leverage). If the broker charges a flat interest fee on margin loan, set RollLong/RollShort** to 0 and use the Interest variable.
PIP	Size of 1 pip in counter currency units; accessible with the PIP variable. Equivalent to the traditional smallest increment of the price. The usual pip size is 0.0001 for forex pairs with a single digit price, 0.01 for stocks and for forex pairs with a price between 10 and 200 (such as USD/JPY), and 1 for CFDs with a 4- or 5-digit price. Prices in the log are normally displayed with as many decimals as given by the pip size.
PipCost	Value of 1 pip profit or loss per lot, in units of the account currency. Accessible with the PipCost variable and internally used for calculating trade profits or losses. When the asset price rises or falls by x, the equivalent profit or loss in account currency is *x Lots * PIPCost / PIP. For assets with pip size 1 and one contract per lot, the pip cost is just the conversion factor from counter currency to account currency. For calculating it manually, multiply LotAmount with PIP; if the counter currency is different to the account currency, multiply the result with the counter currency exchange rate. Example 1: AUD/USD on a micro lot EUR account has PipCost of 1000 * 0.0001 * 0.9 (current USD price in EUR) = 0.09 EUR. Example 2: AAPL stock on a USD account has PipCost of 1 * 0.01 = 0.01 USD = 1 cent. Example 3: S&P500 E-Mini futures (ES) on a USD account have PipCost of 12.5 USD** (1 point = 25 cent price change of the underlying is equivalent to $12.50 profit/loss of an ES contract).
MarginCost	Margin required for purchasing and holding 1 lot of the asset, in units of the account currency or in percent. Depends on account leverage, account currency, and counter currency; if the broker has different values for initial, maintenance, and end-of-day margin, use the highest of them. Accessible with the MarginCost variables. Internally used for the conversion from trade Margin to Lot amount: the number of lots that can be purchased with a given trade margin is Margin / MarginCost. Also affects the Required Capital and the Annual Return in the performance report. From Zorro 2.30 on, negative MarginCost is interpreted as a percentage of the trade volume, and internally converted to a leverage accessible with the Leverage variable. For instance, a 25% end-of-day margin is entered as -25 and equivalent to leverage 4. MarginCost and Leverage can be converted to each other with the formula *MarginCost = Asset price / Leverage PipCost / PIP. When the broker uses a leverage or margin percentage, the margin per purchased lot depends on the current price of the asset. When the broker uses positive MarginCost, the margin is independent of the current asset price, therefore the broker will adapt MarginCost** from time to time when the price has moved far enough. This is typical for Forex/CFD brokers.
Market (Leverage)	For future use; Zorro versions prior to 2.29 had the leverage in this field.
Multiplier / LotAmount	Number of units for 1 lot of the asset; accessible with the LotAmount variable. Smallest amount that you can buy or sell with your broker without getting the order rejected or an "odd lot size" warning. For forex the LotAmount is normally 1000 on a micro lot account, 10000 on a mini lot account, and 100000 on standard lot accounts. Index CFDs or crypto currencies can have a LotAmount less than 1, such as 0.1 CFD contracts. For stocks and most other assets the lot amount is normally 1. Cryptocurrency broker APIs often support the SET_AMOUNT command. You can then set any desired lot amount in this field, such as 0.0001 Bitcoins. 10000 Lots are then equivalent to 1 Bitcoin. A negative value in this field is interpreted as a multiplier for options contracts, and accessible with the Multiplier variable. The LotAmount is then set to 1. For futures the LotAmount is normally identical to the options multiplier.
Commission	Roundturn commission in account currency units for opening and closing one contract, per 10000 units for currencies, per unit for other assets, per underlying unit for options, or as percent of the trade volume when negative. Accessible with the Commission variable. When manually entering the commission, double it if was single turn. For forex pairs make sure to convert it to per-10000. If an asset is a forex pair can be determined with the assetType function. A forex commission in pips is converted by *Commission = CommissionInPips 10000 * PIP. If the commission is a percentage of the trade value, enter the negative percent value, f.i. -0.25 for 0.25%. The commission is then automatically calculated from the percentage using the formula Commission = -Percent/100 * Price / LotAmount * PIPCost / PIP**.
*Symbol*	Up to 3 sources and symbols of the asset, separated by '!' exclamation marks. Leave this field empty or enter '*' when the symbol is identical to the asset name or is automatically converted by the broker plugin. Up to 128 characters, case sensitive, no blanks.
*AssetVar*	Up to 8 optional asset specific variables or strings, for evaluation in the script through AssetVar[0]..[7] or AssetStr[0]..[7]. They can contain multipliers, asset types, trading hours, portfolio weights, or similar parameters. Text strings must not exceed 7 characters.

Remarks:

Any live trading session generates a special asset list named Assets.csv in the Log folder. This list is updated with the actual parameters of all assets that are selected in the trading script. If parameters are not available through the broker API, they are taken from the asset list. This is a convenient way to simulate your current broker account: just connect to the broker with a script that selects all needed assets (f.i. the Download script), then copy the asset parameters line by line from Assets.csv to the used asset list. It's preferable to do this a Monday, Tuesday, or Thursday, as on weekends most assets have an unrealistic spread and no rollover fee, and on Wednesdays or Fridays often the rollover is three times as high for compensating the weekend.
!! Check the content of Assets.csv carefully before copying it over. Dependent on broker API and market hours, some parameters, like spread and rollover, can be way off. Other parameters can be just a copy from the current asset list if they were temporarily or permanently unavailable via API. Those parameters are then wrong when the current list is from a very different broker or an account with very different leverage. Some MT4 servers also return unreliable parameters for commodity CFDs like XAG/USD; sometimes they are per contract, sometimes per 10,000 lots.
If you get bad backtest results after creating an individual asset list, check first the transaction cost - spread. rollover, commission - in the performance report. The most frequent error in asset list creation is entering wrong rollover or commission parameters that result in extreme transaction costs.
Some broker APIs, such as TWS or FIX, do not provide asset parameters at all, except for price and spread. The other parameters must be calculated and entered manually in the asset list, as in the examples above. The values can be taken from the broker's website. If the broker uses a very complex structure of fees, margin, and commission, either calculate them in the script, or enter average or estimated values. An alternative way to get to the data is opening a position of the asset in a demo account. Commission and margin is then often displayed in the broker's trade platform.
Since the price of the account currency is not constant, PipCost and MarginCost are only valid for the time at which the asset list was created or downloaded. In live trading they are automatically updated from the broker API when available. In the backtest they could be updated by script. But this is normally not required, since the deviations in trade profit and margin value are negligible in comparison to bias and randomness that affect strategy performance results.
For backtesting or trading a certain asset, make sure that historical price data files for the tested period are available, and the asset it contained in the selected asset list. For simulating many different accounts, place several Asset...csv files in the History folder and call assetList with the desired asset file name in the script for simulating the corresponding account.
For simulating direct market access (DMA) with no broker interference, set the parameters in the following way: Spread to a realistic bid/ask spread; Commission, RollLong, RollShort, and MarginCost to 0; Leverage to 1; LotAmount to 1; and PipCost to PIP multiplied with the price of the assets or the counter currency in account currency units.
If a broker API returns asset prices in cent instead of dollars, Price, Spread, and PIP are 100 times higher than for a dollar-priced asset. Adapt the asset list accordingly and make sure that historical data also contains prices in cent. You can generate cent history with a simple script that imports dollar-based price history with dataLoad, multiplies all prices with 100, then stores it with dataSave. For options or futures with cent prices, use the Centage variable.

Parameter calculation examples (EUR account, EUR/USD at 1.15):

Broker website: Ticker EURUSD, Spread 0.3 pips, Margin 3.33%, LotSize 0.01 contracts, ContractSize 100000 EUR, PipValue 10 USD, SwapLong -5.70 USD, SwapShort -2.50 USD, OrderCommission 2.5 EUR. All parameters per 100000 EUR contract.

=> Asset list: Name EUR/USD, Price 1.15, Spread 0.00003 (= 0.3 pips * PIP), RollLong -0.4956 (= -5.70 * 10000/100000 / 1.15), RollShort -0.2174 (= -2.50 * 10000/100000 / 1.15), PIP 0.0001 (= 10 / 100000), PIPCost 0.087 (PIP * LotAmount / 1.15), MarginCost -3.33, LotAmount 1000 (= 0.01 * 100000), Commission 0.5 (= 2 * 2.5 * 10000/100000), Symbol EURUSD.

Broker website: Ticker USDJPY, Spread 0.4 pips, Leverage 30, PIP 0.01, PipValue/Lot 1000 JPY, MinLot 0.01. Variable swap, no commission.

=> Asset list: Name USD/JPY, Price 105, Spread 0.004 (= 0.4 pips * PIP), RollLong/Short -0.01 (some assumed value), PIP 0.01, PIPCost 0.083 (PipValue * MinLot / Price / 1.15), MarginCost -3.33 (-100/Leverage), LotAmount 1000 (PipValue / PIP), Commission 0, Symbol USDJPY.

Broker website: Ticker XAGUSD, Price 17.5, Spread 0.02 points, Margin 10%, LotSize 0.01 contracts, ContractSize 5000 XAG, TickValue 5 USD, SwapLong -3.50 USD, SwapShort -3.00 USD, OrderCommission 0.0025%. All parameters per 5000 XAG contract.

=> Asset list: Name XAG/USD, Price 17.5, Spread 0.02, RollLong -0.00061 (= -3.50 / 5000 / 1.15), RollShort -0.00052 (= -3.00 / 5000 / 1.15), PIP 0.01 (by tradition), PIPCost 0.435 (PIP * LotAmount / 1.15), MarginCost -10, LotAmount 50 (= 0.01 * 5000), Commission -0.005 (= -2 * 0.0025%), Symbol XAGUSD.

Broker website: Ticker DE30, Price 12567, Pip size 1, Avg Spread 0.5 pips, Leverage 1:100, LotSize 0.01 contracts, TickValue 1 EUR, SwapLong -3.0 %, SwapShort -6.0 %, Commission 5 / mio.

=> Asset list: Name GER30, Price 12567, Spread 0.5, RollLong -1.03 (= -3,0% / 100% * Price / 365), RollShort -2.06 (= -6.0% / 100% * Price / 365), PIP 1, PIPCost 1, MarginCost -1.0 (-100 / Leverage), LotAmount 0.01, Commission -0.00005 (= 5 / 1000000 * 100%), Symbol .DE30.

Included asset lists

No guarantee of completeness or correctness! The lists below are meant as templates for own asset lists:

AssetsFix.csv - The default asset list when no different list is specified in the script; determines the assets initially available in the scrollbox. Based on an Oanda™ 100:1 USD account with lot size 1000.

AssetsCur.csv - 35 currency pairs including all pairs of the 7 major currencies EUR, USD, AUD, GBP, CHF, NZD, CAD. For trading with a multitude of currencies. Based on a 100:1 EUR account.

AssetsArb.csv - 3 Forex pairs from different brokers as an example of broker arbitrage.

AssetsOanda.csv* - 15 Forex/CFD assets on an Oanda 100:1 USD account with lot size 1.

AssetsOandaEUR.csv* - 15 Forex/CFD assets on an Oanda 30:1 EUR account.

AssetsFXCM.csv* - 15 Forex/CFD assets on a FXCM 30:1 EUR account.

AssetsGP.csv* - 15 Forex/CFD assets on a Global Prime 100:1 USD account.

AssetsDarwinex.csv* - 15 Forex/CFD assets on a Darwinex 100:1 EUR account.

AssetsIB.csv* - Forex pairs, CFDs, and 40 major stocks on an Interactive Brokers™ USD account.

AssetsBittrex.csv* - Example cryptocurrencies on a Bittrex Bitcoin account.

AssetsSP30.csv* - Top 30 stocks from the S&P500 index, for downloading historical prices from the broker.

AssetsSP50.csv* - Top 50 stocks from the S&P500 index, with symbols for downloading historical prices from Stooq or Yahoo.

AssetsSP250.csv* - Top 250 stocks from the S&P500 index.

AssetsRussell2000.csv* - 2000 small cap stocks from the Russell 2000 index, prices from Yahoo.

AssetsCFD200.csv - 200 stock CFDs with 10:1 leverage for trading with IB.

AssetsZ8.csv - 20 stocks and ETFs for a Markowitz portfolio rotation strategy, prices from Stooq, trading with IB.

AssetsZ9.csv - 10 US sector ETFs and bonds for a momentum portfolio rotation strategy, prices from Stooq, trading with IB.

AssetsZ9E.csv - 10 European sector ETFs and bonds for a momentum portfolio rotation strategy, prices from Yahoo, trading with IB.

AssetsZ10.csv - 10 major cryptocurrencies, prices from Cryptocompare, trading with Binance.

* !! Broker-specific asset lists do not necessarily match your account with the same broker. Asset parameters and trading costs are often different in different countries and can change anytime. We do not permanently observe brokers or stock indices lists for updating the above asset lists. For making sure that your asset list is correct, get the recent parameters from the broker API or the broker's website, and compare with your asset list.

The account list

Account lists are supported with Zorro S. By default, only a Demo and a Real account is available with the [Account] scrollbox. Individual accounts, with user-defined parameters and separate brokers and price sources, can be added with an account list. It is stored in a spreadsheet file named Accounts.csv in the History folder. This file is a convenient way to manage many broker accounts with different logins, passwords, asset parameters, and special modes. The Accounts.csv file can be edited with Excel or with the script editor. Zorro must be restarted when the file was modified. It contains the account parameters in comma separated spreadsheet format (example):

Name	Server	AccountId	User	Pass	Assets	CCY	Real	NFA	Plugin
MT4_Generic	MT4	0	0	0	AssetsFix	USD	0	0	ZorroMT4.dll
FXCM_Demo	FXCM	0	D2345678900	1234	AssetsFix	EUR.€	0	0	FXCM
FXCM_Real	FXCM	0	27634523001	5678	AssetsFXCM	EUR.€	1	0	FXCM
FXCM_RO	FXCM	0	27634523001	5678	AssetsFXCM	EUR.€	3	0	FXCM
IB_TWS_1	IB	D456378	101	0	AssetsIB	EUR	1	14	IB
IB_Gateway	IB	U2319821	1	0	AssetsIB	EUR	1	14	IB
Oanda_V1	Oanda	0	987654321	2e3dc54e...	AssetsOanda	EUR	0	0	Oanda1.dll
Oanda_V20	Oanda	0	304-007-345602	5c3dc12d...	AssetsOanda	EUR	1	0	Oanda.dll
NxCore	NxCore	0	0	0	AssetsSP500	USD	0	0	NxCore.dll
Crypto	BitShark	BTC	0	0	AssetsCrypt	BTC.B8	1	0	Btrx.dll
ABC_Demo	ABC	0	4009876	n4qw4ert7	AssetsABC	CHF	0	0	ZorroMT41.dll
ABC_Real	ABC	0	3456789	ab234qrz2	AssetsABC	CHF	1	0	ZorroMT42.dll

An example file AccountsExample.csv is contained in the History folder as a template for creating your own Accounts.csv file. Every account in the scrollbox corresponds to a line in the file with the following parameters, separated with commas:

Name	Account name (no blanks) that appears in the account scrollbox. A line beginning with '#' is outcommented.
Server	Broker name, server URL, or some other info identifying the connection (no blanks). Sent to the API plugin with the SET_SERVER command before login.
AccountId	Account/subaccount identifier sent to the broker, or 0 when no subaccounts are used.
User	User ID for the login, or 0 for manually entering the user name.
Pass	Password for the login, or 0 for manually entering the password.
Assets	Name of the default asset list (see above) for this account, with no blanks and without the .csv extension. This is the list used for live trading and backtesting when the account is selected and no assetList function is called in the script.
CCY	Name of the account currency, f.i. EUR or USD. Sent to the API plugin with the SET_CCY command before any account request. Optionally an ANSI currency symbol and the number of digits to display for account values can be added after a decimal point. By default, the currency symbol is '$' and account values are displayed with 2 decimals when less than 100, and without decimals from 100 on.
Real	Real account (1), real account with no trading (3) or demo account (0). When at 3, all trades are opened in Phantom Mode and not sent to the broker.
NFA	Compliance of the account. Affects default state of NFA flag and Hedge mode: 0 for no restrictions, 2 for Hedge = 0 (no hedging), 14 or 15 for NFA = on (full NFA compliance).
Plugin	File name of the broker plugin in the Plugin folder, case sensitive (.dll extension can be omitted). The same plugin can used for several price sources by copying the plugin to a different name (see below). In the example, ZorroMT41.dll and ZorroMT42.dll are both copies of the ZorroMT4.dll. If the field is empty, the broker plugin is selected with the scrollbox.

The first line in the CSV file must be the header line. Names and strings must contain no blanks (check for blanks at the end that may be accidentally added!) and no special characters except for '-' and '_'. Zorro also accepts semicolon separated csv files with commas instead of decimal point, but not a mix of both in the same file. User names and passwords are stored in unencrypted text in the spreadsheet, so leave those parameters at 0 when other people have access to your PC.

In the above example, the account ABC_Real is prepared for trading simultaneously with ABC_Demo, one used as price source, the other for entering trades by setting Asset List / Symbol accordingly (see above). Since two broker connections cannot use simultaneously the same plugin, the Zorro user with the above account list has made two copies of the ZorroMT4.dll, and renamed them to ZorroMT41.dll and ZorroMT42.dll. The connected MTR4 client must also be duplicated this way, since MTR4 can also not handle two different accounts simultaneously.

When the AssetsFix.csv or Accounts.csv lists were changed, Zorro must be restarted for the changes to have an effect.

Remarks