Forum. StockSharp

Problems registering security for level 1 price updates

2017-10-29T22:07:59Z

I have a windows service that hosts a web api interface. The service connects to an interactive broker TWS. A call to the web api must register the security to receive level 1 price updates. The code to do this is:

if (_connector.RegisteredSecurities.Count(s => s.Id == securityId) == 0) { var onSecurityChanged = new Action(s => { if (s.Id != securityId) return; if (s.BestBid != null && s.BestAsk != null) waitHandle.Set(); });

_connector.SecurityChanged += onSecurityChanged;

_connector.RegisterSecurity(security); waitHandle.WaitOne(30000);

_connector.SecurityChanged -= onSecurityChanged; }

if ((security.BestBid == null) || (security.BestAsk == null)) { throw new InvalidOperationException("Unable to obtain quotes"); }

The problem is the security does not get registered. Even on a second or third pass. The RegisteredSecurities collection stays empty.

I have tested it with securities with the following ids: "SPZ7@GLOBEX", "SPXW 171215C02580000@SMART"

Any help would be greatly appreciated

Regards

Johan Kirsten

Problems with lookup of security

2017-10-30T22:07:51Z

I have a windows service that hosts a web api interface. The service connects to an interactive broker TWS. A call to the web api must lookup the security and return the Id. The code to do this is: var criteria = new SecurityLookupMessage() { Class = "", ExpiryDate = DateTimeOffset.Parse(expiryDate), OptionType = optionType == null ? default(OptionTypes?) : (OptionTypes)Enum.Parse(typeof(OptionTypes), optionType), Strike = strike, UnderlyingSecurityCode = underlyingSecurityCode, SecurityType = securityType == null ? default(SecurityTypes?) : (SecurityTypes)Enum.Parse(typeof(SecurityTypes), securityType), };

                    var security = _connector.Securities.FirstOrDefault(s =>
                        (s.UnderlyingSecurityId.StartsWith(criteria.UnderlyingSecurityCode)) &&
                        (s.Board?.Code == boardCode) &&
                        (s.Class == @class) &&
                        (s.Type == criteria.SecurityType) &&
                        (s.ExpiryDate == criteria.ExpiryDate) &&
                        (s.OptionType == criteria.OptionType) &&
                        (s.Strike == criteria.Strike));

                    if (security == null)
                    {
                        var onNewSecurity = new Action<Security>(s =>
                        {
                            if ((!s.UnderlyingSecurityId.StartsWith(criteria.UnderlyingSecurityCode)) ||
                                (s.Type != criteria.SecurityType) ||
                                (s.Board?.Code != boardCode) ||
                                (s.Class != @class) || 
                                (s.ExpiryDate != criteria.ExpiryDate) ||
                                (s.OptionType != criteria.OptionType) ||
                                (s.Strike != criteria.Strike) )
                                return;

                            waitHandle.Set();
                        });

                        _connector.NewSecurity += onNewSecurity;

                        _connector.LookupSecurities(criteria);

                        waitHandle.WaitOne(30000);

                        _connector.NewSecurity -= onNewSecurity;

                        security = _connector.Securities.FirstOrDefault(s =>
                            (s.UnderlyingSecurityId.StartsWith(criteria.UnderlyingSecurityCode)) &&
                            (s.Board?.Code == boardCode) &&
                            (s.Class == @class) &&
                            (s.Type == criteria.SecurityType) &&
                            (s.ExpiryDate == criteria.ExpiryDate) &&
                            (s.OptionType == criteria.OptionType) &&
                            (s.Strike == criteria.Strike));
                    }

If I search for "SPZ7@GLOBEX" and then "SPXW 171215C02580000@SMART" it works fine. But if I first search for "SPXW 171215C02580000@SMART", then it cannot find "SPZ7@GLOBEX". It is like the option prohibits the searching of the future. Also, sometimes if I search for the option first, then it only finds "SPXW 171215C02580000@ALL" and "SPXW 171215C02580000@CBOE", but then if I search again no search returns "SPXW 171215C02580000@SMART". It is like the incomplete loaded results prohibit the later loading of extra results.

Charting to build custom chart

2017-08-08T16:34:53Z

I looked at your charting sample and i am interested in building point and figure charts, can you please guide how can i do it , is it possible to override chart.draw to do custom drawing?

Candle.IsBullishOrBearish() never returns false (i.e. is never Bearish!)

2017-02-05T22:35:35Z

I noticed that the above method never returns 'false' and so cannot indicate bearish signals. The source code is as follows:

```

///

/// Whether the candle is bullish or bearish. ///

/// The candle which should be checked for the trend. /// if bullish, , if bearish, - neither one nor the other. public static bool? IsBullishOrBearish(this Candle candle) { if (candle == null) throw new ArgumentNullException(nameof(candle));

		var isWhiteOrBlack = candle.IsWhiteOrBlack();

		switch (isWhiteOrBlack)
		{
			case true:
				if (candle.GetBottomShadow() >= candle.GetBody())
					return true;
				break;
			case false:
				if (candle.GetTopShadow() >= candle.GetBody())
					return true;
				break;
		}

		return null;
	}


I'm guessing that the second case should return 'false' .   It looks to me like the top case is looking for an inverted hammer (bullish),  whereas the bottom case is looking for a shooting star (bearish).   However shouldn't it also be looking at the other shadows in each case since we want a short shadow opposite the long shadows for both inverted hammer and shooting start right??    Am I missing something?

StockSharp with VisualStudio 2010 and Windows Forms Application

2017-04-24T20:14:32Z

Hello,

We are building a trading application using StockSharp APIs for strategy and backtesting. Our application is built using Visual Studio 2010, .NET 4.0. When trying to add reference to S# libraries to VS 2010 project, it shows the following errors.

Please let us know how these errors can be overcome. Also our application is built as a Windows FOrms Application and not WPF application. All the videos and sample code point to VS 2015 and WPF application. We would like to know it StockSharp can be used for projects built using VS2010 and specifically Windows Forms.

Thank you.

Following erros are seen when trying to build VS 2010 project after adding reference to S# libraries

C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Design, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "StockSharp.Algo" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Design, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "StockSharp.Quik" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Design, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "StockSharp.BusinessEntities" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Design, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "Ecng.Xaml" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "StockSharp.Logging" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "Ecng.Xaml" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "StockSharp.Algo" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "StockSharp.Quik" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "Ecng.Serialization" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "Ecng.ComponentModel" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" which the referenced assembly "StockSharp.BusinessEntities" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.ServiceModel.Activation, Version=4.0.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35" which the referenced assembly "StockSharp.Algo" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.ServiceModel.Activation, Version=4.0.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35" which the referenced assembly "StockSharp.Quik" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.ServiceModel.Activation, Version=4.0.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35" which the referenced assembly "StockSharp.BusinessEntities" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web.Extensions, Version=4.0.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35" which the referenced assembly "StockSharp.Algo" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web.Extensions, Version=4.0.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35" which the referenced assembly "StockSharp.Quik" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(1605,5): warning MSB3253: The currently targeted framework ".NETFramework,Version=v4.0,Profile=Client" does not include "System.Web.Extensions, Version=4.0.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35" which the referenced assembly "StockSharp.BusinessEntities" depends on. This caused the referenced assembly to not resolve. To fix this, either (1) change the targeted framework for this project, or (2) remove the referenced assembly from the project. ========== Build: 0 succeeded or up-to-date, 1 failed, 0 skipped ==========

Can't get data into Hydra

2017-03-12T22:40:05Z

Hi,

At the bottom line of S#.Data (Hydra) - release 4.3.22 I'm getting an error message which begins with:

11:09:43 System.ServiceModel.EndpointNotFoundException: Could not connect to net.tcp://localhost:8000/. The connection attempt lasted for a time span of 00:00:02.0038758. TCP error code 10061: No connection could be made because the target machine actively refused it 127.0.0.1:8000. ---> System.Net.Sockets.SocketException: No connection could be made because the target machine actively refused it 127.0.0.1:8000

I've got an LMAX demo account but am unable to get any data into Hydra or Designer

Any thoughts?

Thanks, Merlin

Cannot generate Bars from TrueFX Level 1 Data

2017-02-19T08:00:01Z

When I look at the "Level 1" Screen I'm able to load the data for a particular symbol and time interval.

However, when I try to load the data for the same symbol and time interval in the "Candles" window and I select Build From: Level 1, it says "No Data"

Why cant I generate bars from TrueFX data?

problem with lmax

2017-01-19T08:33:48Z

please see the attached image for lmax connecting errors Can you please advice on a solution.

Cant get S#Designer to Access Data

2017-01-10T01:13:55Z

Hi,

I downloaded the past year of 5 minute bars for SPFB.BR from Finam directly into S#designer. I see the data was saved to the location in screenshot 1.jpg. I then tried to backtest the "Sample Candles" strategy over the data (see 2.jpg and 3.jpg), but got the error message in 4.jpg.

It seems S#Designer cannot find the data in the folder I stored it in, but the data is there.

Any idea what the issue is?

Thanks

Barchart Integration

2017-01-12T02:08:58Z

Hi,

Is it possible to download historical Options data from Barchart into Designer or Hydra?

I ask because I'm currently using a demo of Barcharts API and they do not seem sure if Barnhart's API is integrated with Stocksharp.

What exactly should I ask Barchart for if this is currently possible?

Backtesting and Optimization

2016-09-28T21:43:43Z

Hello everyone, couple questions regarding Backtesting and Optimization in StockSharp.

How does Stocksharp calculate fills exactly when backtesting? I have .CSV files of Bid/Ask data showing every change in Bid/Ask price. Can Stocksharp use this Bid/Ask data fill orders when backtesting? Or will it Fill on "Last" prices?
Can level2 data be used when backtesting in Stocksharp?
Does Stocksharp have Optimization tools? Such as Brute Force Optimization and Genetic Optimization?

Cheers

S# Data (Hydra) CSV Import

2017-01-10T02:42:58Z

Hello,

I've been having from trouble importing the CSV format shown in attached 1.csv into S# Data (Hydra).

Would really appreciate if you posted a version of attached 2.jpg that shows the exact settings I'd use to import the CSV.

Note: -1.csv is Level 1 Quote data. -The last 3 digits in 1.csv's "Time" Column are milliseconds.

Cheers

S# Data (Hydra) error

2017-01-09T21:58:30Z

Hello,

I'm getting an error message when i try to download data from Yahoo into S# Data (Hydra). The Log messages are attached. Any idea what the issue is?

thanks

Optimization Speed

2016-10-26T20:09:38Z

Hello,

What is the fastest way to run an Optimization (and backtest) in S#Designer?

I ask because the instructions shown here http://stocksharp.com/forum/6939/Brute-Force-Optimization-in-SDesigner-/#m37163 seem to require S#Designer to read market data from a .CSV file for each Optimization (rather then importing the data from the .CSV once and converting it to a format machines can read/process faster then a classical .CSV)

Perhaps there is a way to use S#Data to convert the .CSV data to a format S#Designer can use to speed up Optimizations (and backtests)?

Cheers

Possible to Calculate Option Greeks in S#.Designer?

2016-09-30T00:14:01Z

Hello everyone,

Is it possible to calculate Option Greeks in S#.Designer?

I ask because I added an "Indicator" block and scrolled through the indicators available, but did not see any Options related Indicators (such as Black Scholes, Delta, Vega and so on).

Regards

Brute Force Optimization in S#.Designer ?

2016-09-30T23:27:37Z

Hello everyone,

How does one do Brute Force Optimization in S#.Designer?

I can't seem to find any buttons/info related to it when I look through S#.Designer's GUI.

Thanks

Ecng DLLs

2016-01-27T20:03:41Z

I'm not familiar with Ecng and I see they are heavily referenced. (Ecng.Collections, Ecng.Serialization, etc.) Who owns them? Are they open source? Is the source code posted somewhere?

Thank you.

StockSharp

2015-03-25T18:25:40Z

I am a fairly adequate programmer but unable to get StockSharp to build:

For instance I try to build project Xaml I get:

Error 120 'Could not load file or assembly 'ActiproSoftware.Editors.Wpf, Version=11.2.555.0, Culture=neutral, PublicKeyToken=36ff2196ab5654b9' or one of its dependencies. Operation is not supported. (Exception from HRESULT: 0x80131515)' C\StockSharp-master\Xaml\LC Xaml

The assembly is there and its identical to the one which gets downloaded when I install the exe so its not environmental.

Angus

How to change DisplayName of a StatisticParameterGrid?

2014-12-20T11:12:28Z

Hi everybody,

I wonder if someone has ever changed a DisplayName inside a StatisticParameterGrid. Actually I'm trying to show the StatisticsParameter on the user interface in English. The problem is that the items are Russian only and that particular property (<IStatisticsParameter> DisplayName) has no setter so i cannot overwrite them 'on the fly'.

This is what i was trying to do (TicksParameterGrid is the name of my StatisticParameterGrid):

TicksParameterGrid.Parameters[0].DisplayName = "newName";

Can anyone help me? thanks!

HistoryEmulationConnector -> Ignoring consecutive orders

2014-11-08T14:32:29Z

Hey Guys,

I'm testing out a simple strategy basically based on moving averages interconnection.

History Emulation Connector is used to simulate connection with Quik.

The main problem at the moments:

Once I shoot 2 consecutive orders with almost no delay between them, the system registers both of them, but the HistoryEmulationConnector fires "NewMyTrades" event only for the second order, completely ignoring the first one (orders #4 and #5 in the attached log).

Please find attached log generated by Stock# LogManager.

Thank you very much for your help in advance.

Best Regards.