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Sierra Chart Plugin #474092
09/20/18 00:42
09/20/18 00:42
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AndrewAMD Online OP
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I am proud to announce that the Sierra Chart Plugin is now in BETA, and so I am in need of some testers.

Documentation and source code is here:
https://github.com/AndrewAMD/SierraChartZorroPlugin

The latest DLL can be found here:
https://github.com/AndrewAMD/SierraChartZorroPlugin/tree/master/releases

I am here to answer any questions and fix any bugs you may have found. Please let me know.

Thanks,
Andrew

Re: Sierra Chart Plugin [Re: AndrewAMD] #474095
09/20/18 10:24
09/20/18 10:24
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Zheka Offline
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Thank you very much, Andrew, for your work!
I will test it, but only in a month or so...

Meanwhile:
- does the plug-in support true limit orders?
- how does one retrieve historical data for a futures/options contract?
how/why would one use GET_DTCSECURITYDEF BrokerCommand?

Thank you!

Re: Sierra Chart Plugin [Re: Zheka] #474097
09/20/18 12:15
09/20/18 12:15
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AndrewAMD Online OP
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1) Yes, not not via SET_LIMIT but directly in the enterLong/Short calls

2) Call the explicit asset symbol directly. It is the only way.

3) I will put together a demo for the last one.

Re: Sierra Chart Plugin [Re: AndrewAMD] #474099
09/20/18 14:20
09/20/18 14:20
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Zheka Offline
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1) You mean, by specifying a TakeProfit var in the enterLong, the plug-in will send a real limit order to the book, right?

2) What "symbology" should be followed? Sierra's?

Re: Sierra Chart Plugin [Re: Zheka] #474100
09/20/18 14:57
09/20/18 14:57
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AndrewAMD Online OP
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1) The plugin is NFA mode (orders) only, so this depends on how Zorro handles pool trades.

2) Sierra's. If you can pull up a chart for that explicit symbol, it should be available. This is why I needed to put in the workaround (more on that later).

Re: Sierra Chart Plugin [Re: AndrewAMD] #474208
09/29/18 18:47
09/29/18 18:47
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Zheka Offline
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Hi,Andrew,

re getting historical prices: as I understand, BrokerHistory2 fills in a t6 struct.
So, one has then to manually "repackage" them to t8, correct?
Does SC plug-in fill in the fVal field in a t6 struct for Spread?

It would be great to get the plug-in to recognize that the instrument is a "contract" and switch to filling in a t8 struct.

Re: Sierra Chart Plugin [Re: Zheka] #474209
09/29/18 19:28
09/29/18 19:28
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AndrewAMD Online OP
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Originally Posted By: Zheka
re getting historical prices: as I understand, BrokerHistory2 fills in a t6 struct.
Yes.

Originally Posted By: Zheka
So, one has then to manually "repackage" them to t8, correct?
I suppose filling t8 can be one way to do it. There may be other ways. Anyways, the plugin cannot do this for now, so it must be manual.

Originally Posted By: Zheka
Does SC plug-in fill in the fVal field in a t6 struct for Spread?
For market, yes. Historical data does not have spreads, so that is set to zero.

Originally Posted By: Zheka
It would be great to get the plug-in to recognize that the instrument is a "contract" and switch to filling in a t8 struct.
Sierra Chart is not eager to support options much further than market and trading. Last time I checked, the symbol definitions did not clarify whether they were puts or calls, not even the strike price. (That is, the fields are available in the security definition response messages, but they were left blank.) There might have been a multiplier, not sure. Maybe they added some features ever since?

Depending on what's available, I might be able to put in another custom BrokerCommand to fill a CONTRACT struct for a given explicit SC symbol.

I will look into this.

EDIT: Strike price is included.

Last edited by AndrewAMD; 09/30/18 01:44.
Re: Sierra Chart Plugin [Re: AndrewAMD] #474210
09/29/18 21:34
09/29/18 21:34
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Zheka Offline
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Quote:
For market, yes. Historical data does not have spreads, so that is set to zero.
What do you mean by "do not have spreads"? Normally both bid and ask data ARE available in SC..

Quote:
Last time I checked, the symbol definitions did not clarify whether they were puts or calls, not even the strike price. (That is, the fields are available in the security definition response messages, but they were left blank.) There might have been a multiplier, not sure
I read your messages on the DTC forum. Do I understand correctly that this is a problem for forming a contract list, but for a directly specified symbol - it is not?

Re: Sierra Chart Plugin [Re: Zheka] #474212
09/30/18 01:42
09/30/18 01:42
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AndrewAMD Online OP
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For no historical spreads, I meant for M1 (T6) historical bars. Here is the DTC message:
https://dtcprotocol.org/index.php?page=d...RECORD_RESPONSE

However, I believe tick history is able to give spread, since the historical data indicates ask and bid price.

As for the second question:
https://dtcprotocol.org/SupportBoard.php?ThreadID=33413

Oh, it looks like they do have strike price.

But as they said: "The security definition does contain the strike price. The other fields are not set."

This is for every individual options security.

So according to this thread, I will not be able to get options by underlying soon, nor can I determine whether an options security is a put or a call.

Re: Sierra Chart Plugin [Re: Zheka] #474230
10/01/18 15:02
10/01/18 15:02
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AndrewAMD Online OP
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Originally Posted By: Zheka
So, one has then to manually "repackage" them to t8, correct?
Random note, the plugin is able to buy and sell options symbols directly. So you technically don't even need to touch t8 structs.

If you explicitly need t8's to come from the plugin, I might have a workaround idea but it most likely involves manual labor from the strategy writer.

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