Forum. StockSharp

what's the match rules for tick backtest engine?

2020-05-04T13:20:01Z

I want to backtest hft maker strategy tick by tick.

For example,
The current quote is:
Sell: 101 Volume: 80
Buy: 100 Volume: 30

I put buy order at price 100 with volume 10. Does the backtest engine consider the pending orders?
What time is it when my order matched? Sell trade reach 100 or cross 100 or between them?

After loading many options instruments, Hydra will not start

2020-05-08T19:51:00Z

Hi,

I added options for NYSE:OXY. I believe there were over 1,500 instruments. Immediately, Hydra stopped responding. The window presents as dimmed and the title bar displays (Not Responding).

Also, when starting the application, the window presents as dimmed and the title bar displays (Not Responding). After 1 hour, the condition persists.

Is there a fix?

I eventually require about 100 underlying instruments and all their options. Does Hydra have the capacity?

Please tell me how to add options instruments with Interactive brokers data source

2020-05-07T15:48:40Z

Hello,

I am connected to Interactive Brokers (IB) and can download stock instruments.

IB uses SMART routing to obtain quotes and transact stock options trades across 13 different boards.

Thus, although it is possible to designate 1 board (for example: CBOE), it is desirable to designate SMART.

Would you tell me please how to add options instruments (CALLs and PUTs) for IB. I have searched the S# Data documentation and am unable to find instructions.

Thank you very much,

Craig

Hydra fails to download data after software update

2020-05-07T01:25:11Z

Error message Tasks 'Import (auto), Export (auto), Backup, Converter' has same working directory 'C:Windows\system32\Storage'. Continue?

17:20:57 System.ArgumentException: The path is not of a legal form.
at System.IO.Path.NewNormalizePath(String path, Int32 maxPathLength, Boolean expandShortPaths)
at System.IO.Path.NormalizePath(String path, Boolean fullCheck, Int32 maxPathLength, Boolean expandShortPaths)
at System.IO.Path.GetFullPathInternal(String path)
at System.IO.FileSystemEnumerableIterator`1..ctor(String path, String originalUserPath, String searchPattern, SearchOption searchOption, SearchResultHandler`1 resultHandler, Boolean checkHost)
at System.IO.Directory.GetFiles(String path, String searchPattern, SearchOption searchOption)
at StockSharp.Hydra.Tools.ImportTask.OnProcess()
at StockSharp.Hydra.Core.BaseHydraTask.<Start>b__81_0()

Path is not of legal form? what path?

2020-05-08T16:28:40Z

Guys,

warning message:

08:25:52 System.ArgumentException: The path is not of a legal form.
at System.IO.Path.NewNormalizePath(String path, Int32 maxPathLength, Boolean expandShortPaths)
at System.IO.Path.NormalizePath(String path, Boolean fullCheck, Int32 maxPathLength, Boolean expandShortPaths)
at System.IO.Path.GetFullPathInternal(String path)
at System.IO.FileSystemEnumerableIterator`1..ctor(String path, String originalUserPath, String searchPattern, SearchOption searchOption, SearchResultHandler`1 resultHandler, Boolean checkHost)
at System.IO.Directory.GetFiles(String path, String searchPattern, SearchOption searchOption)
at StockSharp.Hydra.Tools.ImportTask.OnProcess()
at StockSharp.Hydra.Core.BaseHydraTask.<Start>b__81_0()

All paths I have specified are correctly formed. What path triggers this warning?

Tasks are running for all instruments -- I did not specify this activity

2020-05-08T16:25:11Z

Guys,

Warning dialog:

Tasks 'Import (auto), Export (auto), Backup, Converter' are running for all instruments. Often these are incorrect settings. It is recommended to set specific instruments for each task. Do you want to continue as is or stop the launch?

How do I configure tools please?

Is there a way to import a list of symbols into Hydra?

2020-05-02T00:41:50Z

Hello,

I have just subscribed to the support contract. I do not know how to utilize that contract to obtain support. I presume, based upon information I have seen on this community page, that if I ask a question here, it will be answered by S#. Is that true?

My question is a) is it possible to import a list of symbols (stock tickers) into the securities file in Hydra so I may download data for them from my provider? b) how can I set up Hyrdar to also download options contracts? Here, I wish to download the options contracts prices for the last several years from my data provider. How do I tell Hydra to do that?

Thank you, Craig

Access denied 403

2020-05-05T16:20:23Z

I can not access instruction videos. Get 403 even though I got email it was activated.
For instance this URL https://stocksharp.com/f...P%20-%20LESSON%202_mp4/

Separate question how to buy a Binance connector?

backtest exception: ArgumentOutOfRangeException for unrealizedPnlInterval

2020-05-04T12:31:28Z

I checked out backtest settings, unrealizedPnlInterval is 00:01:00, I guess this is 1minute.

Shell 5/4/2020 5:29:11 PM +08:00 Error System.ArgumentOutOfRangeException: Specified argument was out of the range of valid values.
at StockSharp.Algo.Strategies.Strategy.set_UnrealizedPnLInterval(TimeSpan value)
at Shell.Strategies.SmaStrategy.XAML.SmaTestingControl.StartStrategyButton_Click(Object sender, RoutedEventArgs e)
at System.Windows.EventRoute.InvokeHandlersImpl(Object source, RoutedEventArgs args, Boolean reRaised)
at System.Windows.UIElement.RaiseEventImpl(DependencyObject sender, RoutedEventArgs args)
at System.Windows.Controls.Primitives.ButtonBase.OnClick()
at System.Windows.Controls.Button.OnClick()
at System.Windows.Controls.Primitives.ButtonBase.OnMouseLeftButtonUp(MouseButtonEventArgs e)
at System.Windows.RoutedEventArgs.InvokeHandler(Delegate handler, Object target)
at System.Windows.RoutedEventHandlerInfo.InvokeHandler(Object target, RoutedEventArgs routedEventArgs)
at System.Windows.EventRoute.InvokeHandlersImpl(Object source, RoutedEventArgs args, Boolean reRaised)
at System.Windows.UIElement.ReRaiseEventAs(DependencyObject sender, RoutedEventArgs args, RoutedEvent newEvent)
at System.Windows.UIElement.OnMouseUpThunk(Object sender, MouseButtonEventArgs e)
at System.Windows.RoutedEventArgs.InvokeHandler(Delegate handler, Object target)
at System.Windows.RoutedEventHandlerInfo.InvokeHandler(Object target, RoutedEventArgs routedEventArgs)
at System.Windows.EventRoute.InvokeHandlersImpl(Object source, RoutedEventArgs args, Boolean reRaised)
at System.Windows.UIElement.RaiseEventImpl(DependencyObject sender, RoutedEventArgs args)
at System.Windows.UIElement.RaiseTrustedEvent(RoutedEventArgs args)
at System.Windows.Input.InputManager.ProcessStagingArea()
at System.Windows.Input.InputManager.ProcessInput(InputEventArgs input)
at System.Windows.Input.InputProviderSite.ReportInput(InputReport inputReport)
at System.Windows.Interop.HwndMouseInputProvider.ReportInput(IntPtr hwnd, InputMode mode, Int32 timestamp, RawMouseActions actions, Int32 x, Int32 y, Int32 wheel)
at System.Windows.Interop.HwndMouseInputProvider.FilterMessage(IntPtr hwnd, WindowMessage msg, IntPtr wParam, IntPtr lParam, Boolean& handled)
at System.Windows.Interop.HwndSource.InputFilterMessage(IntPtr hwnd, Int32 msg, IntPtr wParam, IntPtr lParam, Boolean& handled)
at MS.Win32.HwndWrapper.WndProc(IntPtr hwnd, Int32 msg, IntPtr wParam, IntPtr lParam, Boolean& handled)
at MS.Win32.HwndSubclass.DispatcherCallbackOperation(Object o)
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)

Binance connector not working Version 4.4.17

2020-04-23T22:51:09Z

I downloaded version 4.4.17 from a link the support team sent me and the crypto connectors and install instructions from this link https://stocksharp.com/f...-for-crypto-connectors/ (i repleaced the connector files on the reference folder) .

In the code i only creted the settings button and the connect button as shown in this video https://stocksharp.com/f...st-connection-creating/

When I run the program the binance connector is not appearing on the list.

Please contact

2020-04-21T08:12:38Z

[정명학] [오후 2:11] Hi
This is Seoul, Korea
Crypto traders want to buy all connector sources
Please use it for confirmation before purchase.
In addition, I would like to operate a coin currency with only a crypto trader (add 1 alt coin)

Chu, I can't speak English
I hope to write Mel in Korean next time.
Contact: +82 010-3306-0741

Read bars bin

2020-03-07T14:04:35Z

Hello
How do I read bars from the .bin files downloaded by SData?

Problem in getting option Contract (NSE, India) in Hydra

2020-04-14T12:58:39Z

Hi,
I am Devi Singh from India. I have downloaded Hrdra on my Window 64 bit Laptop.
I wanted to have NSE India, Option Contract in my Hydra. But not able to do so.
Can you please help me in getting securities in Hydra. I have already connected IB Gateway to Hrdra

Devi Singh,
mobile 91 9558345730
email : rathoreds25@gmail.com

How to get candles covered by 'area' object or selected by right-button of mouse?Thank you!

2020-03-12T07:56:25Z

Hi Guys,
First, thank you for your very good platform for charting and trading.
S# almost fits everything i want for an open trading platform. It is amazing!!!

I am developing a pattern editor and recognizer based on S#.
So candle operation like 'selecting candle series as a pattern' is essential function.
I looked around and found nothing to implement this.

Anyone help?
Thanks.

Interactive Brokers TWS connection not working

2020-01-13T23:20:38Z

Hello, I tried to follow this video (https://stocksharp.com/forum/10058/Lesson-1-The-first-connection-creating/), I did exactly every step like the video but the securities never showed up, I'm uploading a video for you to see.

Thanks

S#.Designer connections issues?

2019-11-02T15:30:54Z

Dear Sir/Madam,
I just tried to download asset data from FXCM using S@.Designer connection with demo FXCM account. The connection seem connect successfully by the testing, but cannot get data from the exchange.
The attachment show that there was some subscription configuration missed?
Thanks,

What is a trading robot?

2019-10-28T14:49:18Z

The growth of activity in the world markets among traders, as well as the constant progress of technology, led to an increase in the speed of actions carried out by players on the trading floor.
Today, many traders actively working with various financial instruments prefer trading robots rather than manual trading. This is largely due to the speed of operations and their volume.
Let's see, what is a trading robot? A trading robot is a special program created by a special algorithm, according to which it conducts trading operations. [nerd]
Let's take a closer look at the features of such programs.
The trading robot program allows you to fully or partially take over the process of working on the trading floor. The trader, as the operator of the trading robot, has the possibility of full control over it, which allows the robot to adjust the trading robot, make changes to the program code or change the algorithm.
The trading robot in Autonomous operation independently makes decisions on orders and transactions, according to the established criteria of its algorithm, with intervention in the user's process, operations can be carried out in manual mode.
The program code of the trading robot is based on calculated and thought-out mathematical sequences. Keeping track of different data such as indexes, indicators and other market data obtained from the exchange. The trading robot program decides whether to buy or sell certain assets. The speed of reaction to market changes, allows the trading robot to make much more transactions, respectively, potentially bring greater profits and reduce losses. [nerd]

Let's return to the main task of the trading robot. We can say that the task of a trading robot to simplify trading for a trader is not the main one. The main task of the trading robot is to be able to implement through programming trading algorithms that are difficult or impossible to implement in manual trading. Simply put, a trading robot is a set sequence of actions for making a trade.

From the total mass of trading robots, it is necessary to distinguish three main groups that differ in the algorithm of work or the type of strategy.
- Trend (directional) or directional;
- Countertrend;
- Arbitral.

Let us consider in more detail the features of each type of trading robots.
1. Trend or directional robots. The purpose of the robot is the fastest response to the trend of the market, in other words to track in which direction the market has turned. Depending on the direction, the trading robot automatically opens a position either by selling or buying. Accordingly, if the market changes its direction, the trading robot performs the opposite action as quickly as possible, opening a position.
2. Countertrend trading robots. Their goal is to track price rollbacks. This trading robot monitors price rollbacks occurring in the flat position of the market and places orders based on the established algorithm.
3. Arbitrage trading robot. This trading robot is almost the most popular type. A trading robot such as "Edward", for example, makes a profit by determining price differences between similar or identical instruments in different markets. In fact, he buys in one market, sells in another, compensating for the difference and making a profit.

Another way is the separation of robots:
- Candlestick. These are trading robots that use candlestick data to determine signals for placing orders.
- Indicator. These robots use indicator data to open an order.

Let's talk about building a trading robot. The very writing of program code is not a difficult task, reduced to the knowledge of programming languages. It is much more difficult to find the right way to create a trading algorithm on the basis of which a trading robot is created.
Today, up to 50% of transactions on trading platforms are made by trading robots. Trading robots are rightfully considered one of the most reliable and effective trading tools. There's an explanation :
- Trading robot simplifies the work of transactions with a large volume of the lot, dividing the application into smaller parts and making transactions in parts;
- Trading robot reduces the labor of the trader, making trading operations automatically. This contributes to an increase in the volume of transactions, increase the profits that trade brings, and, importantly, reduces the possible loss;
- While remaining automatic, the trading robot can always be switched to manual mode, that is, it remains completely under the control of its owner;
- A huge list of tools and methods that can be used by a trading robot, allow us to say that the trading robot makes it possible to realize the most complex mathematical problems for trading;
- The trading robot does not have the criterion of emotionality, in fact, it soberly operates its inherent mechanism. Does not panic in a stressful situation.

When analyzing trading robots, a trader must choose the right path for himself, on the basis of which he will be able to choose a robot for himself. A trader should understand that a trading robot is not decision for 100% success. In addition to the trader, it is important to know the platform for the implementation of such trading robots. There are quite a lot of them (TSlab, S#.Designer).

Summing up, we can say that the trading robot is reliable and convenient functionality in the arms of the trader, the most important thing is to use it correctly when conducting exchange trading.

Familiarity with algorithmic trading.

2019-10-23T12:31:08Z

Before you start talking about algo trading, you need to define it.
So, what is algo trading? There is a different definition of this concept, only its essence and the principles on which the work is based remain unchanged. Algo trading-trading, which takes place through a fully automated algorithm, which prescribes the trader, the execution of which potentially brings profit to the trader. In fact, it is a program that carries a sequence of actions. [nerd]

The trader himself makes and determines the sequence of applications for purchase or sale, indicating the order of management of his funds.
The money management conditions set by the trader as program parameters determine the necessary or optimal size of investments, for example, purchased securities. Similarly, this system manages the allowable loss or risk at which the size of the loss will be acceptable. In this case, risk management is performed by setting the stop loss algorithm.
The absence of feelings and emotions in the algorithmic program allows to avoid nervous breakdowns or other emotional outbursts. This is certainly a plus, since the work of a trader often occurs on the verge of nervous tension, and sometimes a person can lose his nerves, which will entail a rash step and as a consequence of loss. At the same time, the trader has the opportunity to intervene in the work of the trading strategy, making the necessary adjustments. [laugh]
The task of algo trading is the exact execution of the instructions of its system. Often in some sources you can see the name of mechanical trading systems (MTS), but algo trading is the most common name. In fact, the algorithm is " mechanically " executed by the program, excluding judgments about the market situation and the state of various instruments. I must say that the "mechanical" system is not always automated. The latter, unlike the first, independently makes transactions, with the participation of a person is not required or minimized.

Experts note that the algorithmic trading consists of two stages. Let's take a closer look at them.
At the level of the first stage, the trader creates his "mechanical" strategy. After creation, the process of testing on the market data, and subsequently, when the strategy reaches the desired level of potential profit, testing goes into real time or real trading. Note that the last stage takes place when using minimal capital, as it is testing, and some traders prefer it to "trade on paper". At the same time, profitability is not the only criterion that gives an assessment of the efficiency of the strategy.
Let's talk about the means of creating and then testing the created strategies. Such tools may include special programs designed for technical analysis of algorithmic systems created. The most famous are: carried out using specialized programs: MetaStock, S#.Designer, Wealth-Lab, Tslab and others.
The strategy program is written in various programming languages such as: C#, C++, LUA and others. The recorded algorithm makes it possible to use the downloaded market data to test the strategy, and in the future allows you to place orders in the programs used for trading. It is worth noting that strategies can be created as in constructor programs for example: S#.Designer, Tslab, in which the strategy is created on the basis of cubes, and the program is a scheme, and in programs where direct programming is used MetaStock, Wealth-Lab, including using ready-made libraries, such as S#.API.
The second stage of development begins after the trader's strategy has been fully tested and is ready for real trading. The second stage is implemented approach strategy or a trading robot that will trade the set algorithm or the trader selects the manual bidding process on a signal received from created strategy.
The trader connects the export of stock market data obtained in real time to the program in which his trading strategy is created. The strategy processes the data and based on the result, sends a signal to submit applications.
Again, what alarm action strategy can be done manually by a trader, and can be delegated to a trading robot, which places bids automatically according to the algorithm, for example in systems like S#.Designer, MT4, TSlab.

It should be remembered that the creation of a trading robot does not relieve the trader of responsibility for the trade itself. The trader must constantly monitor the work of his robot, edit the terms of transactions according to the changing situation in the market. [nerd] Should be said, when working on long time frames, comparable, for example, with an hour, the automation of placing orders may disappear, since the trader is able to correlate and manage the trade on long periods.
Any chosen direction of algo trading can undoubtedly bring profit to the trader, but the approach should be deep, not just at the level of the chosen algorithm, it is necessary to take into account the tools on which the trade will be conducted, the software. An important rule is analysis and testing, it always minimizes your losses.

IQFeed issues with level1 and historical candles

2019-10-21T01:12:27Z

Hi,
I just downloaded the latest source code from GitHub and trying to run the various samples. I use IQFeed as my data feed, so I try to run the IQFeed sample. It does connect correctly, and I can find a symbol in the securities window and see live price updates within it. However, when I click Historical candles button, I get no data at all when I try to search. In fact, the GetHistoricalCandles() seems to be hanging when I try to step through the sample code. It just hangs and never returns. However, I don't have source code for IQFeed connector, so I can't step in to see what the issue is or fix it.
Any ideas? Is there a specific version of IQFeed needed? I just updated to the latest version.
Is there source code available for IQFeed connector? I did not see it in GitHub. I would be happy to make any updates myself, but obviously not possible without source.

Thanks,
Chris

FAQ on FIX Protocol. Limit orders when working through FIX Protocol.

2019-10-21T13:10:12Z

As mentioned earlier, an important advantage of working through FIX Protocol is the ability to use limit orders FOK ('Fill or Kill') and IOC ('Immediate Or Cancel'). Their advantage over simple market orders is the absence of price slippage. In fact, for arbitrage strategies, such as "Edward-Scissorhands" from StockSharp, this means almost zero risk. Consider how the orders FOK and IOC FIX Protocol on the example of comparing them with conventional orders.
Before making a trade, the trader has the opportunity to sell or buy the selected asset using a limit or market order. The option chosen by the trader determines the level of control over the execution price.
Thus, a market order determines its execution in the shortest possible time and at the best available price. [smile] For example, if you buy 100 units on a market order, the order will be executed entirely at the price that is available on the market. Accordingly, 50 units can be conditionally at a favorable price, and the rest at a price less favorable or completely unprofitable, in other words, the order will be executed at several different prices. At the same time, we have a situation with a large slippage. [laugh]

FIX Protocol allows the trader to set his own execution price, so it will be executed at the specified price or higher. This is the use of a limit order. For example, if a trader placed a limit order to sell an asset and set a strike price of $ 100, the order will not be executed until the price for the placed asset is equal to or above the set limit of $ 100.[nerd]

For this reason, we recommend using the FIX Protocol connection, and provide the opportunity to purchase connection connectors or develop connectors individually. The full range of our products can be found here.