Blog. StockSharp

Urgently! Black Friday!

2019-11-29T16:36:05Z

The whole world is covered by the holiday of discounts - Black Friday!
Therefore we want to make a unique offer for you :
A case of 10 any crypto connectors today costs only $ 1500!
Want an even better offer? Not a problem! Now, if you buy all connectors, you pay only $ 1900!
Well, just a stunning offer! Did you want to become the owner of our source code programs? Then this is exactly for you! We give 33% discount on all products with source codes!

Agree, it is very profitable.
But we decided to go further. We know that it is not always possible to do everything in one day, so-our Black Friday lasts a week! Yes, Yes, until next Friday!
Do not miss this offer! After all, Black Friday once a year! Any questions? feel free to write to us in the email info@stocksharp.com.

The remote manager module

2019-01-17T18:12:06Z

Hello dear friends! Today we are announcing a new software module from StockSharp - a remote manager.
As the name implies, it is intended for remote control of applications based on S#.API, for example, created on the basis of our other program S#.Shell

The module allows you to remotely connect to S#.Shell or your own robots using the FIX protocol monitor and control them.
Let's see how it looks like

connection to the server:
displaying strategies available on the server
adding and monitoring strategies on the server
sending custom commands

The module will be useful to all algorithmic traders who have several bots, especially if they are located on a remote server.
With the help of our module, you can configure, manage and control your robots from one program from your computer.

The core things:

the remote manager separately costs only199$
S#.Shell and the remote manager costs 590$
The complete training course includes: video-lessons, S#.Shell, the remote manager, 6 month support, the extended license and costs only 990$

Designer - create a strategy based on MACD. Start with simple.

2019-05-06T18:15:06Z

Creating a strategy in the Designer program.

Let’s discuss an example of creating a trading strategy in a program based on the MACD indicator values.
The indicator’s goal is as follows:

1. If the MACD indicator histogram crosses the zero line from top to bottom, this is a sell signal.
2. The transition of the histogram from the negative to the positive zone is a buy signal.

Therefore, it is necessary to create conditions under which a trade will be made, namely, if the indicator value on the next candle changes its sign, then the signal is sent to make a trade.
To create a strategy, we need:

- Run the program.

- Select the Variable, Candles and Chart Panel blocks, connect them.

- Select an instrument with which we will test the strategy.

- Plot a candle chart.

- Select the Indicator and Chart Panel blocks. Connect the Indicator and Candles blocks.

- Plot a chart of the MACD indicator.

- Select the Variable block and assign it a numeric value of 0 for further comparison with the indicator value.

- Select the Comparison block and set the test condition in the properties: execution during the test, with the MACD indicator value greater than 0.

- Add two Variable blocks and Comparison block. One of the variables is set to -1 in the block properties. It will indicate the transition of the MACD curve value from negative to positive area. The second Variable value is set to 0 in the properties, that will indicate the initial indicator value.

- Set the condition in the Comparison block that will be fulfilled if the initial indicator value for the time frame is greater than the current one.

- Connect the Variable blocks via a trigger socket with the Comparison blocks, as shown in the figure.
Select the Logical Condition and Variable cubes.

- The execution condition of two comparisons will be checked in the Logical Condition cube. Set the AND condition in the properties of the Logical Condition cube and connect the cubes as shown in the figure.

- Set the value equal to -1 in the Variable cube and connect it with the Logical Condition cube via a trigger socket, and through the output connect to the input of the cube with a value of 0. This will allow overwriting the checkbox value when conditions are met, indicating within what range of values the MACD indicator curve is.

- Select the Open Position block, select the Buy direction in the settings and connect data and trigger with the socket, as shown in the figure.

- Select two Variable blocks in which to set the volume and portfolio for trading. Connect them with the corresponding sockets of the Open Position block.

- Similarly, create a routine for the Sales execution.

-The strategy is ready, let’s run it.

FAQ on FIX Protocol. Limit orders FOK and IOC (FAK).

2019-11-15T18:04:12Z

Earlier, we said that the FIX Protocol not only increased the speed of traders in the market, but also provided an opportunity for market participants to use limit orders, which reduced the risks of trading. Let's take a closer look at two types of limit orders.
Let's start with the FOK order.
Literally, its name stands for - 'Fill Or Kill'. The essence of this order is that it is executed immediately and in full at the stated price, or will not be executed at all, which eliminates the possibility of slippage. Thus, if your order cannot be executed in full, then the order is simply rejected, if the order can be executed in full, then the order is executed in full at the specified price. [nerd] This type of order is very convenient for scalping or arbitrage strategies, as they eliminate the risk of slippage. In fact, we can say that the "Edward – Scissorhands" arbitrage strategy from StockSharp eliminates risks. Below is an example of the rejection of the FOK order in the CME system, due to the fact that the order size is 20, and the book contains only 19, so the order can not be executed completely, and the system cancels it.

The next type of limit orders are IOC orders.
The name 'Immediate OR Cancel' means that the order is executed in whole or in part at the set price, otherwise the order will be canceled. For example, if the order size is 100 units, only 50 units can be sold at the set price. If we use an order of type FOK, the system will cancel it, as it can not be fully executed. When using the IOC limit order, the order will be executed for 50 units, and the remaining ones will be canceled. IOC also has another name FAK, which stands for 'Fill And Kill', executed and discarded the remainder.[nerd]
For example, an IOC order will be partially executed (in the CME system, its name is FAK). If we buy 15, and the book contains only 10, then we buy 10, and the remaining 5 are rejected, so this order can be called partially executable:

Limit orders when working through the FIX Protocol allow the trader to reduce risks, and in some cases, especially when working with arbitrage strategies to reduce them to zero. Our company provides a range of programs to work in the market through FIX connect, such as: designer trading strategies Designer, trading program Terminal. We also provide a full range of connectors for connection to trades, including FIX. Flexible system of discounts and reliability of connection, makes us one of leaders in the market. The full range of connectors and software can be found on our website.

S#.Data (Hydra) - manual and examples of use

2016-12-01T23:17:40Z

Intro

Hydra is a program for downloading and storage of market data. This article will explain how to download the history from Google Finance, Gain Capital broker and IQFeed service.

To begin we tell a little bit about the program interface. After the first start you will see the main window, which prompts you to select the data sources.

Pay attention to the description of each source, if the following is written next to it:

Source is designed to get history data … - then it means the ability to download historical data,

and if the following is written:

Source is designed to get market-data .. - then it means the ability to connect to the real-time data source and one's own history collection. Looking ahead, a similar process is often cheaper than a simple data purchase from a data vendor.

Now select the number of sources and try to get the market data. As such, we propose to use: Google (as a source of historical data), OECTrader (as a source of real-time data, which the broker gives you when opening an account), IQFeed (as a source of real-time data with the maximum number of concurrent subscriptions).

Click the check-boxes in the selected sources.

After you click OK, the program prompts you to enable additional features.

They are well documented in the program itself, so we will not go into a description of each of them.

In order to move forward it will be enough just to click OK without selecting anything in this window. If necessary, you can always restore this setting via the ADD -> Tools button and select the required.

After all the previous procedure, we have got added sources in the left pane, all of which must now be set up.

Google Finance

This is done simply by pressing the pen button,

that opens the settings window.

Quickly go over each of them to get a full understanding. So:

Start date – the date from which Hydra will receive market data
Time Offset – In this case, 1 means that the today data will not be downloaded. This is necessary in order not to download half a day, when the trading have not yet been completed.
Weekend – weekends ignored when checkbox is selected.
Time interval – Hydra downloads data in parts. This parameter allows to specify how large data part will be used. With a value of 30, the program will download data packages for 30 days.
Header, work from, work until, work interval – settings for the program itself, the time interval during which the program should download data (from and to)
Data directory – a directory in which the downloaded data will be stored, you can leave the default, or choose any other. We recommend to create a separate directory for each source, in order to not overwrite the data.
Format - the format of the stored data. BIN supported – Hydra’s special format allows to get a unique compression ratio (2 bytes per tick, 7 bytes per order book) or well-known CSV (it is normal volume)
Max.errors - the maximum number of errors in the source.
Dependency - specifies the added task that must be completed before the current (in this case, it may be either IQFeed, or OEC Trader)
Logging level - the level of logging.

Let's leave all the default data and choose the securities on which the data will be downloaded. Let's say we choose 5 tickers included in the S&P500 index, for example: MMM, AFL, GOOG, AAPl, T.

For this purpose, all these tools you need to add:

Since Google source does not support the automatic addition of the tools you should to add them to the database manually

Then repeat the procedure for each security and move them to the Selected section

Then simply connect the source and press Start.

After the end of the downloading you have to get the following results

OpenECry (Gain Futures)

The market data source for the Gain Capital clients, which a broker gives you for free when opening an account. The source key settings in many ways similar to the settings that we have made in Google with the only difference that now you should enter your account username/password to access the data stream and select the correct address from which the data will come. Preset 3 possibilities: the test server (to which we connect and which is intended for developers), the simulator (server for demo accounts), the real server (the server that has the connection to the real market and real accounts). If you have an opened account, then your choice is the real server.

The CandleFromDate parameter is needed to specify the starting date from which you want to download the history in the form of candles.

Once it has been done, we add instruments by which we want to get data, because OEC supports automatic downloading and searching of instruments. We do it through the Download Securities button, and then adding them through the instrument code. Our selection ESZ6 (mini S&P) and NQZ6 (mini Nasdaq).

After adding you should get the same as shown in the picture.

Now turn your attention to the bottom part of the window. At the beginning of this article, we talked about the fact that Hydra supports downloading and storing a plurality of market data types, settings about what data to download can be done using the appropriate panel:

On Ticks - means that ticks will be downloaded
On Market Depth - means that order books will be downloaded
Candles has additional setting, by clicking the button you can select the candles types which will be downloaded, that's how it looks:

On Level 1 - means that the best bid/ask will be downloaded, as well as some fields of the ticker basic statistics.

Now just click the Start button, and Hydra will start to receive data and store them locally. In this case, both historical and real-time market data will be received.

Thus, you can collect and store the market data yourself, and then use them for testing your own strategies.

IQFeed

IQFeed provides as OpenECry, intraday data. But, in contrast to the OEC, IQFeed supports a very wide range of parallel subscriptions, as well as a much greater depth of history, both for candles and tick data.

The source settings similar to OpenEcry:

The CandleFromDate parameter is needed to specify the starting date from which you want to download the history in the form of candles.

The TicksFromDate parameter is needed to specify the starting date from which you want to download the history in the form of ticks.

All other steps are similar to those described above.

Data viewing

Now, after all the manipulations, you need to understand, and how to work with these data, and what the program can do else. Recall that data is stored in the directory where you downloaded them, but how to see what is a result.

For this we refer to the OEC Trader source from which a lot of data has been downloaded, select it and click the right mouse button.

Thereafter, we can choose in the menu the way to work with the instrument. Let's choose Market Depths and then in the window that opens, click the magnifying glass.
As a result, we will get a similar picture

Next, similarly we select Level 1, and then Candles 1 min, but in the window with candles we do not choose the magnifying glass, and Chart button. The results are shown in the figures below

That's the way you can view the data and work with them directly from the program.

We hope our product will help you in trading and development of profitable trading systems.

3th crowdfunding - CoinCap and TradeOgre are available!

2019-02-21T15:56:54Z

Hello all! We continue work on our 3rd crowdfunding project and today we inform you about delivery the next 2 crypto connectors: CoinCap and TradeOgre.
Everyone who has taken part in fund-raising can get them here.

For others we would like to remind that our campaign is unlimited by time and content, so only you decide which connector will be provided. We develop any connector to any exchange for only $300!
Just now you can get and use connectors to Digifinex, BitBank, Quoinex, Zaif, CoinCap, and TradeOgre.
We are not losing optimism about cryptocurrency and invite you to join the campaign today.
To increase your interest just before the February ends ordering any new cryptoconnector you'll get any 3 ones from the 3rd round for free!
Join the campagn and order the connector you can

>>Here<<

Downloading the US market data via Hydra

2016-12-01T23:45:37Z

In our today's article, we will talk about where to go for free or for a relatively small amount of money to download historical data on the US market, as well as about a universal way to download, store, analyze and use in your own algorithms all types of market data.

First, let's concern the main sources of market data on US securities with a brief description of them. In general, there are three types of sources:

1. Sources of historical data, such as exchanges, which provide trading history on their own sites (of course, we do not consider direct connections, which are of type 2).
2. Sources of market data, such as broker terminals, through which it is possible to download also some history, but the main interest is what is happening right now.
3. Multifunctional sources that combine the type 1 and type 2, and usually presented by specialized services.

The first type of sources includes sites such as Google and Yahoo Finance:

The apparent advantage of these services is their full free, but on the other hand, it is impossible to download intraday market data, as well as impossible to get anything other than candles. By this we mean the data such as Level1, Order Log, Market Depth, etc.
This practically eliminates the possibility of using the data for testing strategies involving the intraday trading. On the other hand, if your strategy assumes a medium-term trade, for example, based on the Turtle approach, or you practice portfolio investments without too frequent portfolio shake-up, then use of data from these sources to be very reasonable and appropriate.

The sources of market data as already described above, are, primarily, broker terminals or other connections to the broker, which every practitioner trader has. For example: Fusion/Blackwood, Rithmic, Gain Capital, OEC Trader, Sterling, etc.

Benefits from the use of this source can be seen almost immediately. First, it is free (of course excluding those fees that you pay to the broker). Second, it is large amount of data that can be obtained: some types of candles, ticks, Level1, DOM etc. On the downside, there are the lack of deep history and the need to collect the necessary data using cunning way, when it is nothing to do without specialized software.
With this approach your capabilities for testing are greatly enhanced. There is a possibility to create not only intraday strategies, but also high-frequency algorithms based on historical regularities found.

Multifunctional sources are mostly specialized services that provide a real-time market data as well as any requested history, for example IQFeed.

The main advantage of this source is its versatility and fullness of the data, i.e. at any time it is possible to get any desired data by the user’s request such as ticks, candles, order books etc. The downside of this approach is the payment for this service, the price of which starts from $50 per month for the basic version. If there is a desire to get a few more, it is necessary to connect the additional functions which, as you already understood, will cost money too. But like the previous option, you will need a special program to collect and store the data. Since, at the end of your subscription, you will lose all data. Plus, though the depth of history is more than at the previous method, but it is still limited. Especially for tick data.

Now we can proceed to the most interesting, but how do we get the history optimally and do not spend a lot of money. In our opinion, the common approach is as follows:
- to download the daily candles from a free source, and to test your strategy preliminary on these data;
- to download intraday data through your broker, and to test the strategy in more detail;
- the purchase of a subscription to a paid service, and downloading the data array of interest.

In order to realize suchlike a specialized software will be necessary to download the required data from the required service for you first, and then it will continue to collect the data from your broker in a common format. Thus, the unity of data will not be lost and this data can be easily used for further analysis.

For such tasks we have created the S#.Data (Hydra) program (to read the instruction manual and have a look at examples of use here). This is a free program available for download. Hydra provides a variety of functions, but its main task is to download and store the data.

Hydra supports downloading not only candles of any timeframe, but also ticks, order log, level 1, order books on a variety of instruments. The program can not only download but also store the data incoming from the broker, for example from OEC Trader, Sterling, etc.

Hydra stores data in the CSV or BIN formats (super compact storage format – 7 bytes per 1 order book image or 2 bytes per tick). The data are located locally, like files, and they can be accessed from any programming language, that eventually allows the user to store and use a vast array of market data on a home computer, a server or in the cloud (AWS supported).

Summing up the article, we hope that the techniques outlined in it will allow you to get the market data for adequate means and become a bit closer to the professional participants.
They have long been doing just that.

Good luck on the market!

How to download market data to the Designer?

2019-04-25T12:35:50Z

In order to download market data to the Designer program for testing a trading strategy, you need to do the following:

1.Run the program.

2. Select the Market Data section in the top menu and click on it.

3. In the window that appears, select the Download Securities button in the Securities panel, in the menu that appears, tick the All option and select the storage. Then click the OK button .

4. In the list of downloaded securities, select the one we need.

5. Choose a period for which we need market data, and candles that we need.

6. Select the path to storage where our market data will be stored, for this, we click the “+” button.

7. In the menu that appears, select the full path to store the downloaded market data.

8. Click the Start button
9. In the window that appears, select the market data source.

10. In the window that appears, click the “+” button and select the source we need from the drop-down list.

11. Click the OK button.

Market data downloaded to your storage. Enjoy using.

We create Knowledge Base for Designer! Join us!

2019-04-25T12:58:15Z

Dear friends!
To make it convenient for you to use StockSharp programs, we started to create a knowledge base for the Designer program.

What do we want? We want you to always find answers to your questions! And if you do not find it, you could tell us, well, we would add your question to the list and find the answer to it!
The main objective of our project is to create a comfortable environment for all users so that your and our knowledge will help our large community.

The first topic was the issue of downloading market data to the program.
Looking forward to your feedback! Let's make the program more convenient together.
Thanks in advance.

Great news from Futures Online (ex OpenECry)!

2019-04-16T16:13:04Z

Hey!

We're glad to inform you we received accreditation from Futures Online (OpenECry) broker. Now we are in the list of all officially supported programs:

To get access, click on the link https://myaccount.gainfutures.com/Software/ThirdParty.

Please, download Night builds version from here - https://stocksharp.com/products/download.

If you have any questions, write us in comments below. We are waiting for your opinion on further improvement.

Thank.

The new cryptoconnectors of the third round!

2019-01-24T15:17:47Z

Hello everybody!
Perhaps you have already forgotten, but we continue our final cryptocrowdfunding.
So now we announce the delivery of the next connectors and starting development of the new ones.
From this day becomes available the connectors to Digifinex and BitBank
Everyone who has taken part in fund-raising on it can get them here.

Also, this day we starts the development of cryptoconnectors to TradeOgre and CoinCap.
You can join to our campaign and get the new connectors

>>Here<<

The ready-to-use connectors you can buy on our special page Pricing

Happy New Year!!!

2018-12-30T16:05:12Z

Hello dear friends!
Well, that’s the end of 2018, we would like to thank you for being with us. We hope that this year has been successful for you, and perhaps a modicum of this success, including our merit.
Today, let's remember what we managed to do in 2018, thanks to your support and interest in the platform.
In the past year, we completed many landmark projects:

Cryptoconnectors crowdfunding (the frist and the second rounds). Now our platform supports 50+ different connections.
In the second round, we released several ready-to-use trading algorithms for cryptocurrency:synthetic arbitrage, pump dtector and carrier.
Next was the third crowdfunding, in which we moved away from the crypto and created connectors for MetaTrader 4 и MetaTrader 5. Now you can trade forex through your favorite broker.
We can not forget S#.Shell upgrade and release of absolutely new training course. By the way Christmas offer is still going!!!
And at the end of the year, we launched the final crypto crowdfunding round to create connectors for any crypto exchanges you want. And already made first delivery!

Of course, this is not the whole list of what we managed to do; there were both individual solutions and regular updates of our Terminal, Designer products.
All this work was carried out in the interests of the users, that is mean, yours. We hope that you are satisfied with the results and continue to use our solutions in the future in 2019!
We wish you a Happy New 2019 Year

New crypto algorithms

2018-03-12T14:07:14Z

Hello, dear friend!

As you already know, we launched the second stage of crowdfunding for the crypto connectors on March 1st. This time, we did everything in a new way, including with regard to algorithms.

We will now provide algorithms without black boxes. All participants will be given strategies with source codes. To be the best in the market, unique settings are required for algorithms. Sometimes this is not possible without changing the code. We will be fully open to the supplied automation.

In this article, we describe the algorithms set up especially for you. This is our technical assignment. We specifically provide complete information BEFORE you choose to participate.

Synthetic arbitrage

This idea is similar to our main crypto robot, Edward. Synthetic arbitrage is built on a long combination of BTC/ETH/LTC//ETH/BTC. Connectors to exchanges, where there are similar coins, are set for the strategy, and then it independently chooses the convergence-divergence on the found pairs to track the arbitrage situation.

Edward-Crypto News
For those who use Edward-Crypto (напиши нам по указанным ниже контактам, если хочешь получить и эту стратегию). За счет значительно продвинутой модели торговли у существующего Эдварда, для него синтетический арбитраж будет возможен с опцией автопоиска нужных пар. Н(write to us at the contacts specified below if you want to get this strategy). Due to the significantly advanced trade model of the existing Edward, synthetic arbitrage will be possible for it with the option of auto-searching for the necessary pairs. For example, BTC/*/LTC/*/LTC/ETH/BTС. The program will automatically select an effective coin as pairs to search for arbitrage divergence. This option will be available only to users of Edward-Crypto!

Pump detector

This is a special automation, tracking the growth of cheap coins with cosmic returns in a few hours. The robot can either monitor and generate a signal or actively enter the position and exit it after a certain movement to take profit. The robot will track all coins on all available connections. Of course, we are talking about very cheap alts, where you can increase your deposits 10 times a day. The main advantage of the algorithm is to get out in time, but the robot, of course, will be faster than our hands.

Carrier

It's very simple - the transfer of money from one exchange to another by the robot. Auto selection of the cheapest coin for transferring, for example, BTC positions through intermediate conversion to cheaper cryptocurrency, i.e. Vertcoin, Ripple, etc.

Modularity
The key point behind all of the strategies being developed is modularity! All of our strategies are run in unlimited quantities within the same program. Edward-Crypto will also act with new strategies, all in one bundle. The Converter will work, for example, in a pair with arbitrage strategies, watching for an increase in positions on certain exchanges.

We hope that this ambitious change in the second round will be even more interesting for you!

Have any questions? E-mail us at info@stocksharp.com and we will be happy to answer any of your questions.
Do not put off the decision, just now one algorithm can be obtained for only 1000$, then the minimum investment will be doubled!!!

Are you ready?

Cyber Christmas!!!

2018-12-25T15:58:34Z

Hello dear friends! In addition to previously announced discounts on our absolutely new training course we decide to extend it on our other products!
Let's start Cyber Christmas!!!

If during the year you did not have time to take part in our crowdfunding programs, or simply also want to get HFT connectors, cryptocurrency or MetaTrader ones, then this news is for you !!!
Starting today, until the end of 2018, you have a chance to get it all with a discount of 20%!!!. And when you buy several products, the discount will be even greater!!!

You can take advantage of discounts right now on the pages:

>>Connectors<<
>>The Training course<<

We present the absolutely new StockSharp training course! And making gifts!

2018-12-21T12:33:36Z

Hello, dear friends!
Today we have great news! We completely updated our training course
The video that we posted here is a full first lesson. And we invite you to watch it.
As you can see, we completely re-recorded the video lectures for the platform of 2018, made them simpler and more accessible to a wide range of algorithmic traders.
We hope that our video confirms this.

Updating the course, we could not leave aside the materials for the lessons. We also tried to improve them, each code contains the necessary number of comments, which allows us to understand the essence of the program even without a video!
Further, more, with the updated course, we give a new S#.Shell, which allow you to create your own robots faster and simpler.

Well, the main thing
- until the new year, we offer our newest course with a 20% discount!
- for those who previously acquired our previous course, we give a discount of 30%! Pls, send an e-mail on lesson@stocksharp.com to get it.

You can take advantage of discounts
>>Just now<<

The 3rd round! First delivery!

2018-12-18T19:03:51Z

Hello dear friends

As we announced at the last week, we provide the first crypto connectors from the 3rd round.

Our users have selected Quoinex and Zaif as first ones. Starting from this moment these connectors are available for all our products and the participants can get them here!

Also, if you want to get them as well, then we freeze the price for 2 days special for you. So the fee will be the 300$ only

At the same time, today we start developing the next three connectors: Digifinex, Idax, BitBank. The delivery will be 1 week later.

To know more about our campaign and join it you can
>>Here!<<

The first exchanges from the third round!

2018-12-11T17:19:17Z

Hello dear friends, on Thursday last week we have started our 3rd, unlimited crowdfunding round!
And currently, there are 2 exchanges under development: Quoinex and Zaif.
During the next week, we will deliver ready-to-use connectors to our customers.
If you want to get these too, then take part in our campaign now, after delivery it will cost 400$ per connector.
Just now you can get it for only 300$ per connector.

Except you can get any connector to any exchange you want. We will create and provide it to you for 300$ too!
To know more about our campaign and participate in it you can
>>Here!<<

S#.UI - StockSharp Graphic Framework

2018-11-15T16:25:45Z

In this paper, I will show how to use graphic components included in S#.API, in order to create a fully-featured application of the S#.Shell:

You will learn how to make a professional-level program with connection settings, output of securities, prices, and charts (and all this is saved and loaded upon restart). And the complexity of creating such an application is not a few months, but just a few hours (it is no joke! read to the end). This is the main advantage of the graphic framework, which I called by analogy S#.UI (this name is unofficial, I think it up myself).
I will not use complex constructs and design patterns that are understandable only to professional programmers. On the contrary, the paper's purpose is to show that the learning curve on creating your trading applications using S#.API is very short.
You will also be interested if you work in a company and make your own unique software (for example, you work in proprietary trading or a brokerage company). In this paper, you will be able to learn the practice of creating such systems (especially if you have just taken up your duties).

What You Need

1) Visual Studio 2017 (Community, free version), in which we will program.
2) Free connection to test exchange trading, I will use QUIK.

Creating Project

We create a new WPF application in Visual Studio.

After that we need to add the S#.API libraries, and how to do this is described here. I prefer installing with Nuget.
Since all S#.API graphic elements are based on DevExpress, and DevExpress libraries are included in S#.API, it would be foolish not to use them. All information about DevExpress graphic elements can be found in Google.
Let's go to the MainWindow.xaml window editor.

We replace Window with DXWindow, we will need it to use different color schemes.

Visual Studio will prompt us to add the necessary libraries.
We split the window into three parts, there will be a bar with buttons of connection setting and connection at the top. The window with logs will be below. All other panels are in the middle. The easiest way is to split the window in this way using LayoutControl from DevExpress.
We will add the elements we need to the resulting three parts.

Configuring Connection to Connector

We add two buttons, one button to configure connection and the second button to connect. To do this, we use the SimpleButton button from DevExpress. The buttons will be located at the top of application. We will place pictures familiar with Terminal and Designer on each button.

We will see such an image in the upper right corner of the screen form.

We double-click each button to create button click event handlers.
In MainWindow code it is necessary to declare the connector, as well as the file location and name where the connector settings will be stored.

We will open the connector configuration window in the connector settings button click event handler and save it to a file.

We will check in the constructor whether there is a directory and a file with the connector settings and, if there is one, we will load it into the connector.

Most S#.API objects have Save and Load methods, with which it is possible to save and load this object from an XML file.
We connect the connector in the connection button click event handler method.

Now we can run the program and test it.

Setting Dark Theme

I prefer a dark theme. Therefore, we make the program theme dark at once. To do this in the App.xaml file

We replace Application with charting:ExtendedBaseApplication. Visual Studio will prompt us to add the necessary libraries. And in the file App.xaml.cs delete ": Application". The code will be the following.

We write ApplicationThemeHelper.ApplicationThemeName = Theme.VS2017DarkName in the MainWindow constructor;
Full code at the moment:

Run to check the dark theme.

Creating Security Panel

We add the XAML folder where we will store all the created controls.
We add our first UserControll to the folder, let's call it SecurityGridControl.

We add one SecurityPicker element to it. In which the available securities will be displayed. Similar to the main window, we will use LayoutControl from DevExpress.

We go to the main window constructor and change the central part to the tab view. We place created control with SecurityPicker in one of the tabs.

Now we have the security panel, we need to set it a data source, in our case it is a connector. It was possible to write SecurityPanel.SecPicker.SecurityProvider = Connector in MainWindow constructor.
But we will not place code in the MainWindow that is not related to it. Therefore, I will create the Instance static variable, and assign it the MainWindow value in the MainWindow constructor.

Now we can call the MainWindow properties anywhere in our program using MainWindow.Instance.XXX code.
In the SecurityGridControl constructor, we specify Connector as a data source.

We run the program to check.

Adding Logging

The operation of the program, connector or robot must be monitored. For this purpose, S#.API has a special LogManager class. This class receives messages from sources and sends them to listeners. In our case, the sources will be Connector, strategies, etc., and listeners will be a file and log panel.
In the MainWindow code, we declare the LogManager object and the location where it will be stored.

In the MainWindow constructor, we create LogManager, set in it Connector as the source, and a file as the listener.

Similar to the security panel, we create a log panel, add another UserControl to the XAML folder. We call it MonitorControl. We add the Monitor element to it.

In the MonitorControl constructor, we set Monitor as a listener in LogManager.

We add the created MonitorControl to the bottom of MainWindow.

We run the program to check.

Creating Portfolio Panel

Similar to the security panel, we create a log panel, add another UserControl to the XAML folder. We call it PortfolioGridControl. We add the PortfolioGrid element to it.

In PortfolioGridControl constructor, we need to subscribe to new portfolio appearance events and event of new position appearance at Connector.

Thus, when a new portfolio appears, it will be displayed in the portfolio panel, and when a new position appears in the portfolio panel, the portfolio will update the position.
We add the created PortfolioGridControl panel to the central part of MainWindow.

We run the program to check.

We have a tab with portfolios.

Creating Order Panel

The order panel in S#.API has the ability to register orders, cancel orders and reregister them.
Similar to the security panel, we create an order panel, add another UserControl to the XAML folder. We call it OrderGridControl. We add the OrderGrid element to it.

OrderGrid has the OrderRegistering event, the OrderReRegistering event, and the OrderCanceling event.
Let's create their handlers.

In the order registration event handler, we create an OrderWindow window where we need to specify data sources for securities, portfolios, and market data. For all cases, this will be the Connector.
After that, we call OrderWindow using ShowModal method, if the OK button was clicked in this window, we register the order via the connector using the RegisterOrder method.

We do the same in the order reregistration event handler. Only in this case the event receives the Order object - this is the order that needs to be reregistered. Therefore, in OrderWindow, we specify Order = order.ReRegisterClone(newVolume: order.Balance) to fill in the fields of the OrderWindow window.
After that, we call OrderWindow using ShowModal method, if the OK button was clicked in this window, we will reregister the order via connector using the ReRegisterClone method. We pass to it old order, which should be cancelled, and the new one, which should be registered.

In the order canceling event handler, it is enough to call the CancelOrder method and pass to it the order that need to be canceled.

In order for Orders to be displayed in the OrderGrid, it is necessary in the OrderGridControl constructor to subscribe to new order appearance events and to a registration error event and pass these events to the OrderGrid.

We add the created OrderGridControl panel to the central part of MainWindow.

We run the program to check.

Creating Panel of Own Trades

Similar to the security panel, we create a panel of own trades, add another UserControl to the XAML folder. We call it MyTradeGridControl. We add the MyTradeGrid element to it.

In the MyTradeGridControl constructor, we need to subscribe to the new own trade appearance events and pass it to MyTradeGrid.

We add the created OrderGridControl panel to the central part of MainWindow.

We run the program to check.

Creating Order Book Panel

Similar to the previous panels, we create an order book panel, add another UserControl to the XAML folder. We call it MarketDepthControl.
In MainWindow we have already used LayoutControl, in this control we will also use LayoutControl. We split the panel into two parts horizontally.

We add SecurityPicker to the left side, we use it when we created the security panel.

Let's split the right part into vertical parts. There will be an order book on the top right.

In MarketDepthControl, we need to set some MaxHeight value, otherwise the application will not start.
Below the order book we will place the elements of specifying a portfolio, price, and order volume.

Here it is worth noting the Label property of LayoutItem, it allows to set the text over the element. And also the SpinEdit element from DevExpress, in which it is convenient to set numerical values. These elements look like this.

Even below, we will place the buttons to buy, sell.

Full code.

In the MarketDepthControl constructor, we set the security source for SecurityPicker and the portfolio source for PortfolioComboBox, in our case it will be Connector.

We create a security selection event handler in SecurityPicker. We check in it whether the selected security is not equal to zero. If it is not equal to zero, we save the received security to a local variable, we will need it when updating the order book. After that, we clear and register the received security in Connector to receive an order book using the RegisterMarketDepth method. Using the GetMarketDepth method, we get the current order book on security to update the MarketDepthControl.

To keep the order book updated in the MarketDepthControl constructor, we will subscribe to the MarketDepthChanged order book change event at the connector. In the handler of this event, we will check which security the received order book belongs to, and if it belongs to the security selected in SecurityPicker, we update MarketDepthControl with it.

We add the created MarketDepthControl panel to the central part of MainWindow.

At this stage, we can run the program and check the order book update operation.
We create a buy and sell buttons click event handler. In each handler we create an Order, in which we specify the security selected in SecurityPicker, the portfolio selected in PortfolioComboBox, the volume and price from the corresponding SpinEdit. We register the order in Connector using the RegisterOrder method.

Both handlers differ only by the order direction.
Let's make that the SpinEditPrice value is changed to the selected quote price when selecting a quote in the order book. To do this, we will create a handler for the SelectionChanged event at MarketDepthControl. In which we will update SpinEditPrice value by the price of the selected quote if the selected quote is not equal to zero

We run the program to check.

Saving Market Data

To save portfolios, securities, platforms, we need the CsvEntityRegistry class. We need to pass the entities storage location to it and call the Init method to load them.

To save candles, trades, etc., we will need StorageRegistry.

We will also need the SnapshotRegistry snapshot storages registry.

All this we pass to Connector when it is created.

Here I also specified that Connector will reconnect when the connection is broken, and also specified how many history days should be downloaded.
The Connector.LookupAll(); string queries the available data.

After starting the application, we will see that new folders have appeared in the Date folder.

And when reconnecting the security and portfolio panels will already be filled.

Creating Strategy Panel

I will create the strategy panel just like all previous panels.
We add another UserControl to the XAML folder. We call it StrategyControl. We split the screen form into two parts using the LayoutControl.
There will be a tab with a candle chart on the left side.

As well as a tab with strategy statistics,

Here I use StatisticParameterGrid to display strategy statistics and EquityCurveChart to display profit and loss chart.
In StatisticParameterGrid, we need to set some MaxHeight value, otherwise the application will not start.
The strategy properties in PropertyGridEx will be configured on the right side.

As well as strategy start and stop buttons.

Full code.

In the StrategyControl constructor, we set Connector as a data source for PropertyGridEx, we carried out similar actions in almost every control.

We need to somehow pass the strategy to our control. To do this, in StrategyControl I will create a BindStraregy method that will receive a strategy, save a link to it in the local variable, and also set a strategy in PropertyGridEx and StatisticParameterGrid.
Using the SetChart method, we pass the Chart candle chart to the strategy, after that, the Chart can be obtained in the strategy using the GetChart method. We also set the Connector for the strategy.

When working with the profit and loss chart, it is necessary to take into account that the strategy may start and stop several times, so every time the strategy starts, the chart should be cleared. To do this, let's create the ResetEquityCurveChart method, in which we will first clear EquityCurveChart. After that we need to create graphic elements for EquityCurveChart, for them we can set a name, color and line type.

Then, we subscribe to the PnL change event of the strategy and in this event handler we draw a new value on the EquityCurveChart profit loss chart.

Full method code.

We will call this method in the Start button click event handler. And also we will reset the strategy state and run it.

We will stop the strategy in the Stop button click event handler.

We add the created StrategyControl panel to the central part of MainWindow.

Creating Strategy

For example, let's consider creating a simple strategy with candles. Which will buy if the candle is growing (green), and sell if the candle is falling (red).
Let's create another folder in the project and store all our strategies in it. We create a new class in this folder and call it SimpleStrategy. All S# strategies must be inherited from the base class Strategy.

Since our strategy uses candles, we will create a public property CandleSeries, and set its default value in our strategy constructor.

Here I specified that candles in CandleSeries will be TimeFrameCandle with time span of 15 seconds (TimeSpan.FromSeconds(15)). We can specify the candle creating mode for CandleSeries - BuildCandlesMode. I specified that candles will be built (MarketDataBuildModes.Build), by default they will be built from ticks, but we can specify other data types as well.
Since we made the CandleSeries a public property, the CandleSeries can be additionally configured from the PropertyGridEx described in the previous paragraph.
All strategies have methods that can be overridden, we will need to override the OnStarted method. Which is called before the launch of the strategy and allows to preset its starting state.

Here we set the security for CandleSeries, which is specified in the PropertyGridEx. After that, we create a rule for processing the completed candle. See the documentation for details on working with rules. In the rule we specify the method that will process each completed candle, in our case it is the ProcessCandle method, it will be described later. After everything is set, we subscribe to the appearance of candles on the CandleSeries in connector using the SubscribeCandles method.
In our case, the ProcessCandle method contains the main strategy logic.

First of all, we need to determine whether the candle is real-time or historical, if the candle is historical, we ignore it. Not all strategies require this, for example, for strategies based on order books, this is not required, since order books are always real-time. There is no general way to determine whether a candle is real-time or historical, and in each strategy this problem will have to be solved independently depending on the strategy requirements. In this case, I will simply compare the candle closing time with the connector time, and if it does not exceed a certain lag, then I consider the candle real-time.

Next, we consider what candle it is and what the strategy current position. If the candle is growing, then at a position equal to 0, we will open a position with a market order for the volume set by us in PropertyGridEx. If the candle is growing and the position is less than 0, we reverse the position.

We do opposite actions for a falling candle.

At the moment, our strategy is ready to work. It should be passed to SimpleStrategyControl, which we created in the previous paragraph using the BindStraregy method. We do this in the MainWindow constructor immediately after the MainWindow components are initialized.

We run the program to check.

The strategy works, trades are made, but there are no candles and trades on the chart yet.

Adding Candles and Trades to Chart from Strategy

In the paragraph about the strategy panel, we passed the Chart candle chart to the strategy using the SetChart method. In the OnStarted strategy method, we check whether the strategy has a chart set, and if it is set, then we initialize the chart, as well as subscribe to the events of new own trade appearance and candle change.

InitChart chart initialization method.

Here we save the link to Chart in a local variable. We clear the chart. We also create chart elements for candles and trades and pass them to the chart.
The chart.GuiSync(()=>{ ... }); construct is necessary in order to initialize the chart in the main thread.
CandleSeriesProcessing is a method for drawing candles on a chart.

Here we get a candle from the CandleSeriesProcessing event of the connector, create ChartDrawData to display it on the chart. We specify the time data.Group(candle.OpenTime), specify that the candle should be added to the candle element of the chart .Add(_chartCandleElement, candle);. And we specify that the chart should draw new data.
We perform similar actions for trades.

We run the program to check.

Short conclusion

It is not necessary to spend a lot of time to create a complex and professional-looking application. In a few hours we created the fully-featured application with the ability to configure, display and trade directly.
Do not be afraid to try and create your own programs. I hope this paper will help you get used to this business.

MetaTrader 5 connector is available now!

2018-11-09T15:51:51Z

Hello dear friends! Today, we are completing the delivery of products within 3rd crowdfunding round and present connector to MT5.
Now the StockSharp platform allows trading by robots both through the most popular forex terminal MetaTrader 4 and through the 5th version of this product.

Participation in the project is still possible by the same prices until November 12!

We invite everyone who has not participated in the project to get the lifetime license for only 500$. Since November 12 1000$!
Project participants, we invite you to get the connector here!

S#.Matlab supports cryptocurrencies now!

2018-11-07T17:21:24Z

Hello, everybody!
Today we announce another not very big, but important update in one of our products: S#.Matlab!
We have added support for cryptocurrencies!

Now anyone can easily launch strategies written in MatLab on the cryptocurrency market!
Recall that the concept is very simple:
1. We write strategy in MatLab environment, perform complex calculations, use many non-trivial functions and approaches.
2. We connect S#.Matlab through which we send commands to execute the strategy in the real market and get market information in our own script.
3. Profit!

And so that we apply special promo-offer which allows you only until November 12 to get any our connector (S#.Matlab and Crypto too) with a special discount in 20%

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