Forum. StockSharp

SampleETrade example source code

2019-10-13T17:29:20Z

I have the latest stocksharp nuget package. Is there anyway to get the source for the SampleETrade example. The documentation says it is in the Sameples/Etrade folder,etc

Thank!

The application SampleETrade shows an example of working with ETradeTrader as shown in the figure below. The example source code is in the Samples/ETrade folder of the installation package.

The FIX Protocol. FIX message architecture.

2019-10-14T11:33:50Z

Today it is impossible to imagine stock trading without the use of FIX Protocol. However, it appeared relatively recently - in 1992. The increase in speed and data volume has prompted the creation of a fundamentally new connection with high bandwidth and reliable connectivity. Today, the fifth version of the FIX5 Protocol has been released, which should replace the previous FIX4. However, the most popular for use is still FIX4, which has proven itself as theoptimal solution for data transmission. The Protocol itself exists in two syntaxes, XML (second name FIXML) and Tag=Value. It is worth saying that the Protocol is divided into 3 levels - transport, session, application.

For a better understanding of the mechanism of the Protocol, consider each of the levels separately. Let's start with the transport layer of the FIX Protocol. This level describes the structure of the message transmitted through the FIX Protocol. Gives a description of how the message structure is constructed. Considering it it is possible to tell the following that it is the usual line containing the cipher written by means of syntax of FIX of the Protocol. In fact , it is a cipher containing a message to be sent to the trading floor.

The example shows the message transport LAYER fix Protocol, which is directed to the exchange Lmax. This message conveys the information that the trader wants to log in to the trading system to make transactions. At first glance, this message is a set of numbers and symbols, but let's analyze what information this message contains. In our example, we see the syntax of type "Tag=Value". All messages consist of several components - fields, these fields are divided by vertical lines. Each field is divided into two parts by the sign "=". It turns out that to the left of the sign is equal-the "Tag", and to the right-the "Value". Tags are always positive and integers that indicate the name of the field. Each exchange provides a kind of documentation, according to which messages are encrypted and decrypted by the FIX Protocol. It specifies the names of the "Tags" that describe the data type and the description of the data itself. Almost all fields are standardized, having the same meaning on all trading floors. However, it is worth saying that at the same time, not every exchange supports them. Messages sent via the FIX Protocol contain mandatory and optional fields, as well as conditionally required fields, the presence of which is conditioned by the presence of other fields. In the diagram below we can clearly see the division of the message into fields. Let's look at an example of such a record.

The separation of fields occurs by means of the SOH symbol, which stands for-Start of Heading, and belongs to the ASCIIencoding method. In this case, this symbol is not displayed as an abbreviation, but is conditionally indicated by a vertical line and from the point of view of the UNICODE format has the value “\u0001”. The same is worth noting that the message is built from three parts. Conventionally, they are shown in different colors:

Green-header
Pink-body
Lilac - checksum Let's take a closer look at what each of the parts is. The message header can contain a different number of fields, consider the main ones that must be in the FIX message:
8 = FIX.4.4-this field indicates the Protocol version, it is always the first.
9 = 123-this field indicates the size of the FIX message, it is the second message size, always the second in a row
35 = V-this field means the name of the operation to be performed, in this case V-market data query, this field is always the third.
34 = 2-denotes which account message is calculated for the current session.
49 = FIXtest1 – this field means the sender user ID, which is assigned by the exchange.
54 = 20120924-14:05:44.952 is the current time of sending the message.
56 = LMXBDM-this field is the value of the identifier that is assigned to the recipient by the exchange. Considering the body of the FIX message, we can say that this is a list of fields that correspond to each of the types of requests. The practice of using a set of fields or groups that contain the same tags is also used. Let's assume we need to request information on a list of tools. In this case, each of them will have the same tag, and differ only in content. We list the necessary tools, using a separate field for each. This type of record is called a group or set of fields. They will all have the same tag or data type, and differ only in content. Consider the checksum. The calculation is performed in accordance with a special algorithm, the calculation takes the header and body. In the beginning, the length of the "header plus body" is calculated, then divide the length by 256 and get the remainder. The checksum consists of three characters. If in the remainder of the division we got 20, then forward we add 0, and get 020. As a result, the checksum in our case will have the form " 10 = 020|". Now consider the session-level Protocol. This FIX message Protocol regulates the mechanism of establishing/disconnecting the connection, maintaining the connection, reporting missing data. It consists of a number of messages: 1.Logon (35=A) - by means of this message, the user is authenticated by the server. It is sent first, and serves as a signal to the beginning of the data transfer session. On successful startup, a response message is received, on error-a message about the error occurred.

Logout (35=5) - this message indicates a disconnection from the server.
Heartbeat (35=0) - this message notifies the readiness of counterparties, is sent to both parties, another name is the message "pulse". The frequency of sending the pulse is set by the user in the First logon message.
Test Request (35=1) - this message is a test message and is sent when the counterparty has not sent a pulse message within the specified period. The session will be closed if this message remains unanswered.
Resend Request (35=2) is a request message that is directed to send a repeated message. Resend Request, for example, can repeat to give a signal that the exchange would repeat the missed information.
Reject (35=3) – the message is sent in response if the previous one is incorrectly formed.
Sequence Reset (35=4) - this message can take two forms.

in the field GapFillFlag (tag 123) is the value " Y”, used to ignore administrative messages, if there is a repetition of their sending.
in the second case, it is used To reset the MsgSeNumcounter. The last level of FIX messages is applied. This level has the most capacious description, this is due to the fact that this level contains information that is necessary to work with the trading platform. Let's look at the main messages of this level:

Market Data Request (35=V) - the message sends a signal that the user subscribes to the stream of transmitted data on quotes in the current time period. The user can unsubscribe from receiving data through a similar request, specifying the ID of the previous message. In this case, he will receive a message MarketDataSnapshotFullRefresh (35=W). 2.New Order Single (35=D) – a message about the user's desire to place an order in the system. The user has the ability to set their own ID, this simplifies the process of tracking the execution, partial execution or cancellation of the order.
Execution Report (35=8) – execution report message that provides information on the status of the order executed or canceled, and for what reasons. This report is specified as Exec Type (Tag 150).
OrderCancelRequest (35=F) - message about the request to cancel the placed order.

We have analyzed the main aspects of working with messages transmitted by means of FIX Protocol. The number of such messages and query options is huge, and every year the possibilities and tools for working with FIX Protocol are growing. The specification of such messages is regulated by the exchange, leaving a standardized form for recording requests. Let me remind you that the transmission of such messages takes place directly when directly connectedto the trading floor, through FIX connectors. The cost of such connectors and their name are different, more information about the specification of connectors can be found on our website.

FAQ on FIX Protocol. FIX message transmission system

2019-10-07T15:40:35Z

FIX Protocol is a mechanism of trade data exchange. The system itself consists of two data streams: incoming and outgoing, presented in the form of messages (administrative and user).

The process of interaction between the dealer and the end broker is carried out in the extranet, in which the two information systems exchange FIX messages [nerd]. According to the FIX Protocol, messages are processed, followed by their transfer to the order management system, from which they become available to the broker. Scheme of interaction of two information systems by means of FIX

The trader connects to the exchange via the Internet. To create a connection , the trader and the exchange exchange information about IP addresses and ports through which data is exchanged, as well as add exceptions to the firewall. The FIX message itself contains the name of the party receiving the message and the party transmitting it, so there is no possible substitution or tracking of messages. To guarantee the confidentiality of the transmitted information, use SSL / TSL encryption.

This type of encryption allows you to use the simplest way to decryptthe Laugh data that comes on the FIX Protocol and sent it

Using this method of data transmission, not only speeds up the workand increases the amount of data transmitted [laugh], but guarantees the safety of work. Our company offers connectors for high-frequency trading, which provide both of these parameters, allowing trouble-free operation in the market. Detailed description and cost of connectors is presented on our (https://stocksharp.com/products/pricing/).

News on course API

2019-09-10T11:22:05Z

Friends!

Our company has updated the materials of the training course on API and S#.Shell [happy].

This is due to the imminent release of S#.API 4.4.17, in particular with changes to work with Quik 8.

The course allows you to learn how to create profitabletrading robots using API libraries [nerd]!

Updates are already available and can be downloaded from the link available to course owners. To find out more information about the training course and its cost, click on the link.

We are moving forward and every day trying to make our products better [lol].

FAQ on FIX Protocol. Scope of FIX Protocol.

2019-09-28T19:15:24Z

FIX Protocol has found great application among traders, let's look at why. Financial Information Exchange, it stands as an abbreviation FIX.

That translates to sharing financial information. It is designed for financial markets, for the purpose of high-speed transmission of a huge amount of data. Today it is used by most of the participants of the financial market, establishing communication between information systems, is the standard of interaction in the financial market.[nerd]

FIX API or FIX Protocolhas a number of indisputable advantages:

the simplicity of the Protocol architecture allows a high frequency and a small time interval to transfer a large amount of data;
since the FIX Protocol is one, the connection between the participants on it does not require a large amount of time;
the Protocol provides a trader with its own trading system to be anonymous to those who are available operations;
the Protocol has a large number of specialized tools, in particular-a standardized language in which market participants communicate.
if you have FIX API, you can use limit orders FOK and IOC. To avoid slippage, the deal is either opened at your price, or simply does not open, the price does not slide.

FIX API allows you to design your trading systems, such as the "black box" of algorithmic trading, they are able to receive a huge amount of information from a huge number of different resources, making decisions based on the received information[laugh]. All this allows the process of obtaining and analyzing information, as well as placing orders on the market via FIX API to take milliseconds. StockSharp company has long been providing the opportunity to purchase FIX connector at a favorable offer, providing flexibility when buying a package of connectors. More information about offers and discounts can be found on our (https://stocksharp.com/products/pricing/).

FAQ on FIX Protocol. History of creation

2019-09-19T20:41:41Z

The creation of the FIX Protocol, in 1992, revolutionized the world of stock trading. The purpose of its creation was to make a convenient high-speed method of transmitting and receiving exchange information of large volume, between trading participants, as a replacement for trading via the phone, prevailing at the time. To date, the FIX Protocol is supported by most of the largest exchanges in the world.

Since the creation of the FIX Protocol, a lot of time has passed, and during this period the information trading network is constantly improved, along with it and improved the Protocol itself.[nerd]

Throughout this time, new functionality was added to the FIX Protocol, support for new tool classes appeared.

Now the most widely used Protocol is FIX 4.4, but the latest version of the Protocol is FIX 5.0. the Protocol itself exists in two syntaxes, XML (second name FIXML) and key - value. It should be said that the Protocol is divided into 3 levels - transport, session, application.

The company StockSharp for a long time provides the opportunity to purchase access via the FIX Protocol to famous trading platforms, providing a complete list of connectors for trading. Buying connectors through our company, you can be sure of full reliability and stability of access, as well as the possibility of technical support.

You can learn more about connection methods on our page.

News course Designer!

2019-09-09T16:23:46Z

Creating a video course on the program Designer is inexorably coming to an end. We planned to release the video course in October.

Yes! We had to move the deadline[smile]. We did this for the following reasons:

**- we have increased the number of lessons, and therefore you will get more information;

fixed errors that could occur in the process;
added new features to our cubes and program;**

We are sure that you will get more perfect and convenient product [laugh], and additional lessons will make your knowledge more voluminous.[nerd]

Soon, you will be able to start their full-scale training and will earn right while studying!!!

No suitable adapter found?

2019-08-16T12:51:56Z

Hello! When I run the program, there is a warning that I can't find the right adapter! How to solve this warning!

How to plot the indicator in the program Hydra.

2019-08-08T13:13:48Z

To simplify the work with indicators, you can build and save them in Hydra. Let's consider the order of construction of the chart of the indicator of exchange trade on the example of the indicator SMA (simple moving average):

Run the Hydra program.
Select the stock data source. (1.1)

Right-click, and in the drop-down list select View Downloaded (1.2)

Select the “chart” icon and plot the history of stock quotes (1.3) (1.4)

Right-click in the chart area and select the Indicator item. (1.5)

From the drop-down list, select the indicator of stock quotes we need, in our case SMA, and click OK. (1.6)

On the market data chart, the stock quotes indicator curve will be displayed. (1.7)

To plot the SMA indicator chart separately, we need to click the “+” button in the upper part of the stock quotes history chart area, and in the field that opens below click the right mouse button. Select the Indicator item, select the required indicator in the list and click OK. (1.8) (1.9)

The stock quotes indicator chart will be plotted in a separate window. (1.10)

The considered functionality of the Hydra program allows you to apply indicators calculated from the downloaded market data on any platform, which makes it easier to work with trading algorithms. Enjoy using the program.

Add Ally Connector

2019-08-02T22:42:02Z

We have a connector for Interactive Brokers and other brokers but we do not have one for Ally Invest, would be nice to have one so we can trade there.

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/StockSharp/StockSharp/blob/master/Samples/Testing/SampleHistoryTesting/SmaStrategy.cs#L109

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

As long as I understand, position means this one? https://www.investopedia.com/terms/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:


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

When exchange rejects the order, what event we'll get?
How to get the latency of new order registration or cancel a placed order?
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 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(Object value) at StockSharp.Xaml.Charting.IndicatorPainters.BaseChartIndicatorPainter.#=z83WVYsU=(ReadOnlyCollection1 #=zf3x5daU=, Int32 #=zyjj9yeM=) at StockSharp.Xaml.Charting.IndicatorPainters.BaseChartIndicatorPainter.#=zaW8q4VLX7QUBLKN88WpP1wU=.#=zCjI32oDyepDrpW8skQ==(Int32 #=zojXel4E=) at System.Linq.Enumerable.WhereSelectEnumerableIterator2.MoveNext() at System.Linq.Enumerable.d__971.MoveNext() at System.Linq.Enumerable.<CastIterator>d__971.MoveNext() at System.Linq.Enumerable.Any[TSource](IEnumerable1 source) at Ecng.Collections.CollectionHelper.IsEmpty(IEnumerable1 source) at #=z0DJIOHexY32No9PMDP1u_SU0nCszuBgy288gF$JeKlZt1P1_rnibJ8_nsYN8.#=zywKyUNA=[TX1](IEnumerableEx1 #=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.Action1.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?