Community. StockSharp

Release notes 12/30/2022

2022-12-30T17:44:05Z

API (v5.0.110):
Strategy. AllowTrading is virtual, read-only and depends from indicators IsFormed state.
HistoryEmulationConnector creates simulated Portfolio itself.

Release notes 12/30/2022

2022-12-30T17:44:04Z

Installer (v5.0.115):
Installer. Open installer folder
InstallerUITitle moved to WebApiExtension

Release notes 12/28/2022

2022-12-28T22:46:46Z

Designer (v5.0.134):
Designer supported report generation.
Algo.Compilation moved from Xaml.
CodeReference evaluate full path if not specified.
CodeExtensions. Compile method filter out invalid refs.
Strategy. AllowTrading is virtual, read-only and depends from indicators IsFormed state.
InstallerUITitle moved to WebApiExtension

Hydra (v5.0.134):
Algo.Compilation moved from Xaml.
Show splash window till end of loading.
NewAnalyticsStrategy moved to Algo.Strategies.
CodeReference evaluate full path if not specified.
CodeExtensions. Compile method filter out invalid refs.
ServicesRegistry. TryDriveCache

Moving average - TOC

2022-12-10T17:21:44Z

Gap Patterns - TOC

2022-11-26T11:16:08Z

Point-and-Figure diagram - TOC

2022-11-29T14:06:28Z

Release notes 12/12/2022

2022-12-12T20:35:55Z

Terminal (v5.0.131):
Fix doc urls.

Designer (v5.0.133):
Fix doc urls.

Hydra (v5.0.133):
DataType. IsTFCandles property
Fix doc urls.

Installer (v5.0.114):
Removed dependency from Studio.Controls.
Removed obsolete.
OrdinalIgnoreCase -> InvariantCultureIgnoreCase
Product page display links to doc and web site.
Help button.

LicenseTool.Console (v5.0.87):
Reduce webapi calls for license.

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

[help] not able to import securities in hydra

2022-11-21T21:43:39Z

hi,
in hydra i am not able to import securities. it's my first contact with this program and i think is a great project. Any help, please?
i have tried to import securities with sources: iex and yahoo, but not success.

21:35:46.689| |IEX |Moved into state Stopping.
21:35:46.689|Error |Connector |System.ArgumentNullException: Value cannot be null. (Parameter 'token')
at #=z4LbsmGpm$4fqxSQfVg7okLYyeSCwSXchpg==..ctor(SecureString #=zBS3KVh4=)
at StockSharp.IEX.IEXMessageAdapter.#=z9LplqHQ_aKIn()
at StockSharp.IEX.IEXMessageAdapter.OnSendInMessage(Message message)
at StockSharp.Messages.MessageAdapter.SendInMessage(Message message)
21:35:46.689| |IEX |Moved into state Stopped.
21:37:21.158| |Connector |Connect
21:37:21.158| |Connector |Security @ is subscribing for SecurityLookup,T(L)=2022/11/21 21:37:21.158,Sec=@,TransId=77828250,SecId=@,Name=,SecType=,ExpDate=
21:37:21.158| |Basket |Connecting 'IEX: Key='''.
21:37:21.158|Error |IEX |System.ArgumentNullException: Value cannot be null. (Parameter 'token')
at #=z4LbsmGpm$4fqxSQfVg7okLYyeSCwSXchpg==..ctor(SecureString #=zBS3KVh4=)
at StockSharp.IEX.IEXMessageAdapter.#=z9LplqHQ_aKIn()
at StockSharp.IEX.IEXMessageAdapter.OnSendInMessage(Message message)
at StockSharp.Messages.MessageAdapter.SendInMessage(Message message)
21:37:21.158|Error |Basket |Connection error for IEX: Key='': System.ArgumentNullException: Value cannot be null. (Parameter 'token')
at #=z4LbsmGpm$4fqxSQfVg7okLYyeSCwSXchpg==..ctor(SecureString #=zBS3KVh4=)
at StockSharp.IEX.IEXMessageAdapter.#=z9LplqHQ_aKIn()
at StockSharp.IEX.IEXMessageAdapter.OnSendInMessage(Message message)
at StockSharp.Messages.MessageAdapter.SendInMessage(Message message)
21:37:21.159|Error |Connector |System.ArgumentNullException: Value cannot be null. (Parameter 'token')
at #=z4LbsmGpm$4fqxSQfVg7okLYyeSCwSXchpg==..ctor(SecureString #=zBS3KVh4=)
at StockSharp.IEX.IEXMessageAdapter.#=z9LplqHQ_aKIn()
at StockSharp.IEX.IEXMessageAdapter.OnSendInMessage(Message message)
at StockSharp.Messages.MessageAdapter.SendInMessage(Message message)

S#.DATA (Hydra) Upper Data Limit

2022-11-27T11:12:13Z

Is there an upper data limit of how much S#.DATA should be used for? is 500MB too much? is GB too much? Is 5TB too much?

What are the typically sizes of data storage used by professionals who use S#?

S#.DATA (Hydra) Delete Data Function not working

2022-11-27T11:09:54Z

I have about 500MB of 1minute TF Candles. When i use the DELTETE data function by selecting "ALL" and TF Candles - it works for a long time (15 seconds) but no data in disk actually gets removed. The storage folder is the exact same size before and after. I can also verify by pulling up any candle chart - they are still there. If i manually empty the storage folder then the data is gone and then candles no longer work. Screenshot shows how the function is used.

qusetions:
i. is this the correct behavior of the DELETE DATA function
ii. if not, how should this tool be used?

How to compare MFI data in S# Designer

2022-11-23T18:03:45Z

Hi, I want to test a simple strategy that says:
Sell if MFI is above 70
Buy if MFI is below 30
What I have done so far is shown in the screenshot
Here's what I don't understand:
In the comparison object, the values to compare are only "Value 1" , "operator", "Value 2".
I am expecting to see something like "MFI", ">", "70".
How exactly do I design a logic that says "If the MFI is greater than 70, sell"
With the comparison object in my screenshot, doing this seems impossible because I cannot select "MFI" for "Value 1".

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.