Blog. StockSharp

Release notes 12/8/2022

2022-12-08T15:34:36Z

API (v5.0.108):
MoreLinq removed.

Release notes 12/8/2022

2022-12-08T14:11:22Z

ASTSBridge (v5.0.126):
MoreLinq removed.

Plaza (v5.0.129):
ss-238: plaza: update spectra stream scheme
cgate client lib log restored
MoreLinq removed.

IQFeed (v5.0.121):
MoreLinq removed.

TWIME (v5.0.126):
ASTS dialect supported.
IcebergX supported.
PostOnly supported (Book-or-cancel).
Twime FORTS. v5.6
Native -> Forts namespace renamed.
CopyMemory replaced by Buffer.MemoryCopy

Terminal (v5.0.130):
MoreLinq removed.

Designer (v5.0.132):
MoreLinq removed.

Hydra (v5.0.132):
Fix delete candles https://stocksharp.com/topic/24189/sdata-(hydra)-delete-data-function-not-working/
All panes with icons.
Data panes show icons.
MoreLinq removed.
hydra-18: fix error when opening exchange board pane

Installer (v5.0.113):
MoreLinq removed.
Remember install path.
Fix max height initial size and auto-save window position.
designer couldn't connect to installer

Release notes 11/11/2022

2022-11-11T21:09:45Z

Edu (v5.0.21):
remove extra references from projects
Ecng.Roslyn -> Ecng.Compilation.Roslyn

Shell (v5.0.22):
remove extra refs from csproj
remove extra references from projects
Ecng.Compilation.CodeDom

Release notes 11/11/2022

2022-11-11T21:06:01Z

API (v5.0.107):
IBoardMessageProvider, ISecurityMessageProvider.
BoardCodes

Release notes 11/11/2022

2022-11-11T21:06:00Z

ASTSBridge (v5.0.125):
Connectors depends from Messages ref only.

Plaza (v5.0.128):
Connectors depends from Messages ref only.

IQFeed (v5.0.120):
Connectors depends from Messages ref only.

TWIME (v5.0.125):
Connectors depends from Messages ref only.

SpbEX (v5.0.118):
Connectors depends from Messages ref only.

QuantFEED (v5.0.126):
Connectors depends from Messages ref only.

Installer (v5.0.112):
remove tmp net5 support
ICredentialsProvider moved to Configuration.
Removed obsolete.
Warning fix.
ss-170 show license info in installer

LicenseTool.Console (v5.0.85):
ICredentialsProvider moved to Configuration.

FTX (v5.0.24):
ss-188: connector fixes for updated RestSharp version
Connectors depends from Messages ref only.

Release notes 11/1/2022

2022-11-01T14:03:49Z

Edu (v5.0.20):
remove obsolete from props

Shell (v5.0.21):
remove obsolete from props

Release notes 11/1/2022

2022-11-01T13:58:24Z

IQFeed (v5.0.119):
remove obsolete from props

Hydra (v5.0.130):
ss-229 wrong export of market depth

TWAP. What is it and how does it work.

2022-10-26T10:32:00Z

Hello, Friends!
Today in the article we will consider such a popular algorithm as TWAP (Time-weighted average price).
TWAP is a time-weighted average price, which is defined as the average value of valuable stock assets, such as stocks, bonds, derivatives, futures, options, etc., for a selected period of time.
This algorithm is one of the simplest, in terms of executing the spread of transactions over a certain period of time and reducing the impact on the broader market.
This algorithm and the methodology itself for measuring the time-weighted average price are often used by large institutional investors, for the purpose of investing in stock assets, while not violating market volatility.
It is worth noting that when calculating TWAP, the volume is not used, which leads to pronounced positioning.

In the electronic options and orders market, TWAP is an algorithmic strategy for executing transactions, which has the goal of achieving an average execution cost that is close to the time-weighted average price for the period previously marked by the trader and/or investor.
Based on this, we can say that TWAP is often used to reduce to the possible minimum the impact of a large order on the state of the market, by dividing the order into smaller numbers of orders with execution in different time periods.

A trader divides a large order into parts - sets that he executes at intervals at a price close to the time-weighted average, respectively, reduces the degree of influence of a large order on the market price.

Let's take an example:
A trader wants to purchase 1000 shares of company N using the TWAP algorithm. When choosing a strategy, he decides to purchase 50 shares every 20 minutes, respectively, the execution time will be 6 hours and 40 minutes.
Calculate TWAP.

- We take the average price (AP) for the nth number of periods. Applied to daily prices with a large number of changes, the values of opening, maximum, minimum and closing are used during non-working hours to calculate the average price.
For intraday prices for liquid assets, where closing and opening are similar, the values of opening, maximum and minimum are used.
Thus , the calculation formula looks like this:

AP= (MinPrice+ClosePrice+MaxPrice)/3
TWAP = (AP_open + AP_close + AP_N) / N.

The formula is simple enough to use.
- After the TWAP value is received, the order price is compared to determine whether the security is overvalued or, on the contrary, undervalued.
In fact, if the price is significantly higher than TWAP, then we can talk about the overvaluation of the asset, and vice versa, if lower, it is undervalued.

Often a random size of orders or time intervals between transactions is used, because of this TWAP is often used to reduce possible slippage and signaling , especially in large transactions.
Since volume is most significant when opening and closing , and the uniform distribution of the order flow during the trading day is not optimal, TWAP is best used for assets with a large volume or for several trading sessions.

Consider a number of advantages of TWAP:

- Simplicity of the execution algorithm, which allows the trader to apply it manually on several exchanges at the same time.
- Reducing the risks of signal transmission and slippage risks by breaking large transactions into smaller ones.

The disadvantages of TWAP include:

- Linear execution model. This circumstance may cause a problem, trading according to a predictable pattern, a signal risk for orders may arise.
Simply put, the algorithm splits the order into equal amounts distributed throughout the day, while for securities with low small volume or volume changes during the day, this can lead to the execution of orders at suboptimal prices and potentially signal risk.

Despite the disadvantages of this algorithm, it does not lose popularity and is used quite often in trading .
Convenience and simplicity outweigh the disadvantages associated with its use.

Would you be interested to see such an algorithm in our platform?
Write in the comments.
Thanks for attention.

Release notes 10/16/2022

2022-10-16T18:05:02Z

API (v5.0.105):
common.props removed.

Release notes 10/16/2022

2022-10-16T17:47:30Z

IQFeed (v5.0.118):
net6.0

Installer (v5.0.110):
ErrorTrackLogListener moved to Studio.Core

Release notes 9/30/2022

2022-09-30T11:52:44Z

Edu (v5.0.19):
AssemblyInfo removed.
net6
lessons small fix
lessons small fix
lessons small fix
pbsr-4: build shell/lessons from source during release
lesson 02_marketdepths_trades: fix subscriptions
build & some warning fixes
lessons net5.0
truncate history

Shell (v5.0.20):
AssemblyInfo removed.
net6
ss-209: error in shell on strategy start
shell: fix config load errors
shell: json configs with migration
lessons small fix
lessons small fix
lessons small fix
lessons small fix
pbsr-4: build shell/lessons from source during release
fix Shell build
build & some warning fixes
shell net5.0 + compatibility fixes
truncate history

Different candles - one program!

2022-09-09T08:05:16Z

Candlesticks in stock trading are a constant and necessary attribute.
Today there are no traders who do not turn to candlestick charts and do not track market changes based on it.
The history of the "candle" display of market behavior is rooted in the past, in Japan of the 18th century, when a sequence of "candles" began to visually depict the price maximum and minimum for a certain period, as well as prices at the beginning and end of this period.
It makes no sense to describe the composition of the candle, since any trader knows these basics.
Speaking in the context of analysis, candlesticks are the basis of all fundamentals, an experienced trader can only look at the chart to determine the changing situation.
Sometimes a trader does not just determine the situation on the market, but is also able to predict changes , since the market tends, under similar conditions, to react equally to "stimuli".
As I wrote earlier, the abundance of trading tools only provide an opportunity to make deals, turning trading into an exclusively intuitive and speculative action.
Serious, not mass trading, requires a systematic approach, that is, you can't just take a terminal and start trading, initially you need to have knowledge .
This knowledge is based not only on the practical part - trading, but also includes a deep analysis of the market, its behavior on certain events.
Such reflections are clearly demonstrated by candles.
For most users, candles are the maximum and minimum for the period, but the variety of candles can surprise.
Each type of candle has its own meaning for the trader, and is able to provide him with a full amount of information on the desired asset or group of assets.
So, various candlesticks may be needed for analysis, but it is quite problematic to get market data for them.
Most programs and resources for downloading market data do not provide such information , and those that can provide do not allow you to get data on several types of candles at once .
The second problem is the need to convert data into the desired format for graphical representation of candlesticks and "visual" analysis.
Do not forget about the cost of such programs, which are rarely even "shareware".
As mentioned earlier, S#.Data solves these problems.
It allows not just to build candlesticks of various types, but also to save them, which is not a little important for further use.
Almost all sources do not directly broadcast market data on such candles, respectively, the problem for most programs becomes unsolvable, but S#.Data solves it by constructing such unique candles through other downloaded market data. For example from Ticks.

- For example, Volume Candlesticks, which display the volume of transactions for the selected period, and provide information about the activity of the instrument.

And it is just as easy to plot their schedule

- The program allows you to get Renko candles. The ranko chart clearly defines the main trend. Such a chart is useful in order to determine the key support and resistance levels, since it averages the main trend, small price fluctuations are not reflected, this allows you to focus on really significant movements.

Also, after receiving the market data, we build a graph.

- Equally important candles - Range candles. The peculiarity of this chart is that new candles are built depending not on the timeframe, but on the range that the price has passed . Accordingly, it is more convenient for the user to track price fluctuations.

And we also build a schedule.

- In addition to the candlesticks listed above, which are quite familiar to traders and their charts, Hydra allows you to get unique, but necessary data in the analysis.

So for example PnF candles (tic-tac-toe)

Or candlesticks Heiken Ashi Candles, used to track the market trend.

So S#.Data allows you not only to get ready-made market data, but also to build such data, the receipt of which is not possible. Moreover, it allows you to immediately build charts, combining all the stages for market analysis, reducing the financial and time costs of the trader.

That's it. See you in new articles.

Release notes 8/24/2022

2022-08-24T00:00:00Z

Yandex backup service uses IYandexDiskOAuthProvider.
ExecutionMessage. ExecutionType marked as obsolete.
Refs optimization.

StudioHelper. InitializeDatabaseCache
InstallerChannel. RunServerAsync method.
IInstallerChannelHandler replaced by Func.
Studio.Controls/Editors moved to Xaml/PropertyGrid
Studio.Community -> Studio.WebApi
Studio projs path reorg.

StudioHelper. InitializeDatabaseCache
InstallerChannel. RunServerAsync method.
IInstallerChannelHandler replaced by Func.
Studio.Community -> Studio.WebApi
Studio projs path reorg.
IAlertNotificationService. Notify -> NotifyAsync.

ExecutionMessage. ExecutionType marked as obsolete.

ExecutionMessage. ExecutionType marked as obsolete.
ss-221: connect/boardlookup race condition fix
ss-220: quanthouse add missing dlls + fix publisher

DatabaseConnectionWindow moved to Xaml.
InstallerChannel. RunServerAsync method.
IInstallerChannelHandler replaced by Func.
Studio.Controls/Editors moved to Xaml/PropertyGrid
Yandex backup service uses IYandexDiskOAuthProvider.
Studio.Community -> Studio.WebApi
Studio projs path reorg.
Fix first time strategies compilation.
ExecutionMessage. ExecutionType marked as obsolete.

Market analysis is the first step to profit.

2022-08-19T08:17:50Z

To date, stock trading has become an integral part of the modern world.
From the moment of the first trades to the present day, trading in financial markets has come a long way and has become more accessible and understandable for most users.

The abundance of markets, tools and means of trading have transformed this business from a privileged one into a "mass" one, and today no one will be surprised by a mobile application for trading on one of the many trading platforms.

Of course the availability and ease of use new software applications, have made it possible to carry out operations without interrupting work, but the number of such operations, for most users, is small, and is entertaining. Hence the losses, associated, in most cases, with the lack of data flow analysis, the search for patterns in market changes.

I must say that "mass" trading is manual or semi-manual, which cannot but affect the quality of transactions and the number of profitable transactions in general, forcing the user to rely only on intuition.

The situation with professional trading is completely different. The volume of this segment is steadily growing, the ability to work remotely, creating mobile offices, relatively small investments and an abundance of professional tools, has given rise to a whole generation of people who create their capital on the stock exchange.

The reverse side of professional trading can be called a different order of potential losses arising in the process of trading. The market offers a huge variety of tools for both earning and reducing trading costs, which recently can be considered the basis of additional income.
By earning $1, saving profits or cutting costs by another $1, the trader earns $2..
It is worth saying that a large selection of programs does not always have a positive effect, since the user often cannot decide on a choice, or chooses several programs, combining their functionality manually to create an overall picture of trading.

Agree, this arrangement is inconvenient, energy and time-consuming, but market analysis and reduction of time costs are the basis for increasing profitability and allows the user to devote more time to exploring new markets.
StockSharp company presented a product that has no analogues a few years ago, this is S#Data(Hydra).

What is the uniqueness of the product:

- the ability to stream historical data from dozens of markets, the list of which is constantly updated .

- the ability to save market data of various types of Candlesticks, Ticks, Level1, Level2, while the user gets the opportunity to create the necessary data types from already received.

- the analytical block, thanks to the already built-in functions, allows you to visualize the results of trading, and the ability to write your own functions in the language C# , allows the user to create their own models of market behavior./

Separate articles require a detailed description of the interaction of Hydra with other products from StockSharp, as well as the ability to record the received market data in formats for working with other analysis programs.

The implemented function of creating your own market data storage allows you not only to collect market data for a selected period, but also to set up continuous recording of data that can be broadcast online to all selected network machines via the "Server" mode.

Thus, the user becomes not just a consumer of historical data, but also an analyzer, and eventually a translator of data for other users.

The presence of a huge functionality collected in one product, which makes it possible to work with market data on one screen without resorting to other products, allows you to raise your trading to a higher level, and grow into the sphere of "professional" .

It is necessary to tell more about the functionality of the program separately, focusing on the most interesting functions.

One of the main things to say is that the S#.Data functionality is free, and all the user needs to start the path of a professional trader is to download the application via the S#.Installer platform.

That's all, see you in new articles.

Release notes 7/20/2022

2022-07-20T00:00:00Z

ss-183: quantfeed small fixes

Course for discounts!

2022-07-15T10:18:19Z

Good afternoon, Friends!

We choose a course for discounts!. All our products are available with a 20% discount for the next 7 days!

Do not miss the great opportunity to purchase programs with benefits!

Find out the details, write to us at lesson@stocksharp.com!

Start earning with us!

We have a new service - develop strategies for a fixed price!

2022-06-09T13:02:09Z

Guys!

We are pleased to inform you about a new service - development of trading strategies for a fixed price - $200 for all.

What does it mean?
You do not need to:
- discuss the cost of work
- bargain for the price or terms of operation of certain parts of the algorithm.

We will take your algorithm and make it for a fixed price, no matter what you have under the hood.

Do you want to know why and how? Then read on.

Everything is simple.
There are only a few simple conditions:

Development will be only for the Designer and only (the app is free, don't worry). It will be on diagram schema, not C# code.
Schema is the fastest and easiest way to create strategies. That is why that price! Be sure, your strategy will be as good as if it was programmed in C#.
But not everything can be done by schema. Let’s read the next paragraph.
We will only accept money if 100% are ready to complete your task. If your task is unclear or technically impossible for us (more difficult than doing in pure C#) - sorry, we will not accept any money from you, we will apologize for the time spent (free cup of coffee). But if we are ready to do it, we will inform you about it, then you pay, we will start working, and you will have a strategy that works in the Designer. How exactly? Let’s read another one paragraph.
The price includes a paid connector for 1 year. A subscription for only $7 per month after 1 year for successfully working strategy is not so much, is it? During the year, you will successfully trade your idea in real markets, and you may even want to improve it. You will have a diagram in your hands, where you can see your algorithm with your eyes. Would you like to contact us again? Same conditions! No special plans for returning customers!
The strategy must be for 1 trading instrument. Do you want 2 instruments? Then it will be $400. 3 and more - $1000. Not STARTING from $1000. Fixed - $1000.

How long to wait? No more than two weeks from the date of payment for 1 instrument and no more than a month for 2 or more instruments.

Do I need to pay extra after? Nothing! We charge by fixed price. You already know the conditions. This is the final price! About paid connectors explained above.

Wanna start? Send your specification to fix@stocksharp.ru and let's start working!

Release notes 4/30/2022

2022-04-30T00:00:00Z

Removed InitLegacySerializer

Removed obsolete code.

designer-52: templates do not load on first start
Paths. EnumerateConfigs extension.
Removed InitLegacySerializer
Paths. IsConfigExists extension.
designer-50: make template names in solution tree not editable

S#.API syllabus

2021-02-02T18:29:33Z

Syllabus:
0) Introduction to StockSharp. The basic concepts of StockSharp architecture.
0.1) S# platform installation using Nuget (applicable for 5.0 and higher versions).
0.2) S# platform installation on Linux (applicable for 5.0 and higher versions).
1) The first connection creating

Connection to the Terminal
Getting prices on the instrument (not DOM, not candles)
Getting depth-of-markets (DOM)
Getting ticks, own trades, orders
The order registration

2) The candles

Getting candles,
Creating candles from ticks
The types of candles

3) Working with historical data

Getting and saving trading objects,
Getting historical data from Finam
S#.Data (Hydra) How to start, which setting, how to store data.

4) The Indicators

Indicators from S#
Adding indicators on a chart
Custom indicators.

5) The Strategies

Creating a simple robot for testing
Creating a simple strategy
Strategies optimization.

6) Child strategies

Rule (Use of rules, suspension of rules, mutually exclusive rules)
Take profit and stop-loss
Quoting

7) RealTrading (multiple connections)

Multiple connections
Strat strategies on real market

8) More strategies. Arbitrage, trend-following strategies, etc

All training course samples, materials S#.Shell will be available through S#.Installer after purchase.

>>Buy a course<<

Release notes 3/25/2022

2022-03-25T00:00:00Z

Charting.Interfaces

DiagramSocket. CanConnectFrom
GetTypeId extension moved to Core.
CompositionType moved from Core to Designer.
Studio.Controls. Removed Xaml.Diagram dependency.
ProductIdAttribute.
Made IPC erros without stack trace.
ChartDiagramElement moved to Core.
BaseStrategyDiagramElement moved to Core.
BaseCompositionDiagramElement. IDiagramElement, ICompositionDiagramElement removed.
Diagram.Core has StockSharp.Diagram namespace.
InitServices extension.
IDoubleClickHandler
islr-15,16 designer schemes as products & installer integration
DiagramElement, DiagramStrategy moved to Core.
DiagramElement, DiagramStrategy. Removed UI dependency.
DiagramDebugger moved to Core
Diagram.Core