Community. StockSharp

Interactive Brokers Connection

2019-07-20T21:45:35Z

Hello
I can't connect to my TWS with S# Data Hydra.
The settings are good in S# Data and TWS
I see in the TWS that the connection stays in red status (disconnected) , never get stable green (attached image), and disapears after few seconds
This is happening when I click the Verify button, or when I try to Download securities

The S# message is :
BasketMessageAdapter 7/20/2019 8:17:18 PM Info Connecting 'Interactive Brokers: Address = 127.0.0.1:7496'.
BasketMessageAdapter 7/20/2019 8:17:18 PM Info Connected to 'Interactive Brokers: Address = 127.0.0.1:7496'.
BasketMessageAdapter 7/20/2019 8:17:18 PM Info Disconnecting 'Interactive Brokers: Address = 127.0.0.1:7496'.
BasketMessageAdapter 7/20/2019 8:17:18 PM Info Disconnected from 'Interactive Brokers: Address = 127.0.0.1:7496'.
Interactive Brokers 7/20/2019 8:17:18 PM Error "System.IO.IOException: Unable to write data to the transport connection: Une connexion établie a été abandonnée par un logiciel de votre ordinateur hôte. ---> System.Net.Sockets.SocketException: Une connexion établie a été abandonnée par un logiciel de votre ordinateur hôte
at System.Net.Sockets.NetworkStream.Write(Byte[] buffer, Int32 offset, Int32 size)
--- End of inner exception stack trace ---
at System.Net.Sockets.NetworkStream.Write(Byte[] buffer, Int32 offset, Int32 size)
at Ecng.Serialization.BinaryHelper.Write(Stream stream, Object value)
at #=zlDmaKW5ClIzB8hXkjI2SKLW_qXpQNgUOvA==.#=zt_oMV3s=()
at StockSharp.InteractiveBrokers.InteractiveBrokersMessageAdapter.OnSendInMessage(Message message)
at StockSharp.Messages.MessageAdapter.SendInMessage(Message message)"

I have tried to disable my Comodo antivurus, without success

Thanks for your help
Eric

ProtectiveStrategy.IsTrailing: Cannot get a license

2019-07-09T13:13:45Z

я постояно вижу в логах ошибку |Cannot get a license.
И теперь я понял что это из за того, что я пытаюсь выставить поле у стоплос стратегии под названием ProtectiveStrategy.IsTrailing = true
И только что понял почеуму у меня не работает Trailing, так как нет лицензии получается.

Но ведь я зарегистрировался, как сказано в условиях получаения S#.API, и этого как бы должно быть достаточно наверное.

Если действительно нужна лицензия, то как её получить и сколько она будет стоить?

Get Consumer Key and Secret Key

2019-07-08T14:02:55Z

I need to check Demo code available on GIT. How I can get Consumer Key and Secret Key? Please help me with this.

Interactive Brokers connector: unable to download data for AMZN, MSFT

2019-06-18T12:29:47Z

Hello,

I am unable to download market data for AMZN & MSFT using IB connector, I always end up with this error (either Hydra or Designer):
"No security definition has been found for the request Number XXXXX Code 200"

However, it works great for other stocks like DELL & VMW.

Any ideas?

Can you please explain about this code line?

2019-06-17T07:03:10Z

Hello Stocksharp team.

Can you please explain in detail what's the meaning of this line?

https://github.com/Stock...ing/SmaStrategy.cs#L109

Here what "Position", "Volume" means for?

As long as I understand, position means this one?
https://www.investopedia...rms/o/open-position.asp

Thanks

I sent BTC for a licence, but nothing happend, please help!

2019-06-06T19:16:33Z

Hi,

I paid for a licence, I sent the money to the requested address, but I don't have the product. Please help!

c# API to calculate parabolic sar

2019-05-31T15:47:46Z

Hi,
I'm trying to use the parabolic sar class in the S# library inside my C# program. My understanding is I need to populate the SAR object with values using the process() method like this:

Code

ParabolicSar psar = new ParabolicSar
{
Acceleration = SARSeed,
AccelerationStep = 0.02M,
AccelerationMax = 0.2M
};
for(int i = 0; i < iBars; i++)
{
TimeFrameCandle candle = new TimeFrameCandle()
{
ClosePrice = (decimal)closeArr[i],
HighPrice = (decimal)highArr[i],
LowPrice = (decimal)lowArr[i],
OpenPrice = (decimal)openArr[i],
};
psar.Process(candle);
}

var sarValue = psar.GetValue(shift);

But I am getting no values and the container is empty. How can I fill it with data to get the correct PSAR value at a specific candle instance. Your help is appreciated.

Thank you

Questions related to order operation

2019-05-20T06:00:18Z

1. When exchange rejects the order, what event we'll get?

2. How to get the latency of new order registration or cancel a placed order?

3. Is it possible to place a single order that contains multiple pairs of trade? (securities)
e.g:
- ETH/USDT, SELL 0.001 at 270$
- BTC/USDT, SELL 0.000001 at 8000$
- ...
Put them all in one order.

Indicator painter and errors in charting in designer

2019-05-18T14:06:29Z

I'm trying to use a custom indicator in designer and use the indicatorPainter to display it. I assume it can be done, but the helps are not real clear. I have the indicator returning a SingleIndicatorValue<ValuesClass> where ValuesClass is a class that contain the multiple values to chart (values for 6 lines)
In the strategy, I have
ChartElementForIndicatorPainter = new ChartIndicatorElement();
ChartElementForIndicatorPainter.IndicatorPainter = new ValuesClassIndicatorPainter();
This is as far as the help gets me. It doesn't even say where this should go. I added it to the strategy initialization.

In the OnStarted method I add it to the chart
chart.AddElement(area, ChartElementForIndicatorPainter);

But then in the "OnProcess" method, when I call
NewIndicator?.Invoke(indicatorReturn);
It gives me 2 errors.

S#.Designer 5/18/2019 8:54:21 PM +10:00 Error System.InvalidOperationException: The element was already attached to chart before.
at StockSharp.Xaml.Charting.ChartArea.#=z7NgDDY12SFSN.OnAdding(IChartElement #=zqJpzaMY=)
at Ecng.Collections.BaseCollection`2.Add(TItem item)
at System.Windows.Threading.ExceptionWrapper.InternalRealCall(Delegate callback, Object args, Int32 numArgs)
at System.Windows.Threading.ExceptionWrapper.TryCatchWhen(Object source, Delegate callback, Object args, Int32 numArgs, Delegate catchHandler)

HistoryEmulationConnector 12/11/2018 4:40:00 AM +00:00 Error System.InvalidCastException: Can't convert Signaller.Indicators.ValuesClass of type 'Signaller.Indicators.ValuesClass to type 'System.Decimal'. ---> System.ArgumentException: Can't convert Signaller.Indicators.ValuesClass of type 'Signaller.Indicators.ValuesClass to type 'System.Decimal'.
Parameter name: value
at Ecng.Common.Converter.To(Object value, Type destinationType)
--- End of inner exception stack trace ---
at Ecng.Common.Converter.To(Object value, Type destinationType)
at Ecng.Common.Converter.To[T](Object value)
at StockSharp.Xaml.Charting.IndicatorPainters.BaseChartIndicatorPainter.#=z83WVYsU=(ReadOnlyCollection`1 #=zf3x5daU=, Int32 #=zyjj9yeM=)
at StockSharp.Xaml.Charting.IndicatorPainters.BaseChartIndicatorPainter.#=zaW8q4VLX7QUBLKN88WpP1wU=.#=zCjI32oDyepDrpW8skQ==(Int32 #=zojXel4E=)
at System.Linq.Enumerable.WhereSelectEnumerableIterator`2.MoveNext()
at System.Linq.Enumerable.<CastIterator>d__97`1.MoveNext()
at System.Linq.Enumerable.<CastIterator>d__97`1.MoveNext()
at System.Linq.Enumerable.Any[TSource](IEnumerable`1 source)
at Ecng.Collections.CollectionHelper.IsEmpty[T](IEnumerable`1 source)
at #=z0DJIOHexY32No9PMDP1u_SU0nCszuBgy288gF$JeKlZt1P1_rnibJ8_nsYN8.#=zywKyUNA=[TX1](IEnumerableEx`1 #=zodDz6VA=)
at StockSharp.Xaml.Charting.IndicatorPainters.BaseChartIndicatorPainter.Draw(ChartDrawData data)
at #=zFL$1bzvYBLQbE9N2Sc32mMXoihonASmdP0sTsIJdrx0tOTDOI_QGtou5$cbR.#=zrbrG0UoScFKf(ChartDrawData #=z7f$H9xY=)
at #=zFL$1bzvYBLQbE9N2Sc32mMXoihonASmdP0sTsIJdrx0tOTDOI_QGtou5$cbR.#=zywKyUNA=(ChartDrawData #=z7f$H9xY=)
at StockSharp.Xaml.Charting.Chart.#=zosvLqDQVWtH9.#=zywKyUNA=(ChartDrawData #=z7f$H9xY=)
at StockSharp.Xaml.Charting.ChartPanel.Draw(ChartDrawData data)
at StockSharp.Xaml.Diagram.Elements.ChartDiagramElement.#=zIVzy6y9XB8CEwFcScKoYbYU=(IChart #=zs6cBqJg=)
at System.Action`1.Invoke(T obj)
at StockSharp.Algo.Connector.OnProcessMessage(Message message)
at StockSharp.Algo.Testing.HistoryEmulationConnector.OnProcessMessage(Message message)

In debugging it externally, it never hits the breakpoints of the indicatorpainter, though I don't know if it ever would anyways. It obviously is not using the painter if it is trying to change the class into a decimal.

Is it possible to use the indicator painter with the designer? How do you hook it up? The helps are pretty sparse about this.

showing custom strategies in charting area

2019-05-12T07:08:08Z

Hello,
I've created a custom strategy and indicator following the help files. However, when I try to display it (the value should be around .1) it only shows the bitcoin price on the y axis and doesn't seem to draw anything. The number seems to be passing to the chart because if I hold the mouse over the connection, it shows the value. I have this in the code so it seems like it should work.

[DiagramExternal]
public event Action<IIndicatorValue> NewMirocanaIndicator;

var indicatorReturn = _NewMI.Process(candle);
NewMirocanaIndicator?.Invoke(indicatorReturn);

What do I need to do to show this correctly?

Unable to connect to FXCM with Terminal

2019-05-02T22:44:00Z

I cannot connect to FXCM with the terminal.

I select FXCM and try to verify and get an Unexpected DisConnection Exception.

Purchased Education but no access details

2019-05-02T23:19:19Z

I purchased the complete education but have not received details to access the content.

Api used in console application

2019-04-28T12:41:18Z

Hello! I want to use the api for backtesting in an C# console application. I want to make and wrapper to it, in order to use it as application.login ; application.addItem ; etc. Is that possible? Can i see some examples?

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!

IG account

2019-04-30T00:27:30Z

Is it possible to link S# Designer with IG account and retrieve data from the broker?

Vanguard account

2019-04-26T18:01:29Z

Can algo trading be done from a Vanguard or etrade account?

Strategy testing with Candles from csv file

2017-04-24T19:58:21Z

We want to perform strategy backtesting on history data stored in txt file. As we understand from the samples, the txt file should be converted to S# format before we can run strategy and testing on them. Please update if this understanding is correct.

We need sample code how we can covert txt file to S# format through code. What are the classes we should look at?

Or alternatively, can we run strategy on history data stored in txt file directly? Please share sample code if this is possible.

Regards
Shubha

how does quoting work?

2019-04-26T04:50:42Z

Could you point me to more information related to how quoting works, or answer some questions?
If I wanted to send an order for a large volume, can it break up the volume into smaller sequential orders until the total volume is used, or does it just place 1 order for the whole thing?
Can it adjust order volume based on the order book? For instance, very small orders out front with bigger orders trailing?
Can it place multiple orders in different positions in the order book?

Thanks