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Re: Sierra Chart Plugin [Re: AndrewAMD] #474240
10/01/18 19:47
10/01/18 19:47
Joined: Jul 2017
Posts: 407
Z
Zheka Offline
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Zheka  Offline
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Posts: 407
Quote:
the plugin is able to buy and sell options symbols directly
I understand that. The question is about simplifying delivery of historical data.

If SC only has 1-min "trade" data - that would be of almost no use (for backtesting): trades do not happen often in a particular strike, and so the last trade tick might be too old to be meaningful.

Re: Sierra Chart Plugin [Re: Zheka] #474260
10/02/18 12:41
10/02/18 12:41
Joined: Feb 2017
Posts: 769
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AndrewAMD Online OP
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AndrewAMD  Online OP
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Originally Posted By: Zheka
The question is about simplifying delivery of historical data.
Did you have a question?

Originally Posted By: Zheka
If SC only has 1-min "trade" data - that would be of almost no use (for backtesting): trades do not happen often in a particular strike, and so the last trade tick might be too old to be meaningful.
The type of historical data available (ticks and/or M1 for any security type) depends on:
1) If applicable, your Sierra Chart Service Package type
2) If applicable, your Sierra Chart Data or Historical Data service
3) If applicable, your broker that Sierra Chart is connected to, and the type of historical service it provides.

As you can see, there are many confounding variables here. smile

In any case, the plugin does both ticks and M1 for any security type, if available on DTC.

Re: Sierra Chart Plugin [Re: AndrewAMD] #474465
10/17/18 15:25
10/17/18 15:25
Joined: Feb 2017
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AndrewAMD Online OP
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AndrewAMD  Online OP
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Bump. Beta testers wanted. Sierra Chart does have a free trial, by the way.

I believe I will be implementing GET_BOOK soon, as Sierra Chart has very good support for market depth.

BETA: Sierra Chart Plugin [Re: AndrewAMD] #474654
10/27/18 15:21
10/27/18 15:21
Joined: Feb 2017
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AndrewAMD Online OP
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AndrewAMD  Online OP
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NEW BUILD (0.9.1.1), still in beta (testers wanted).
Download DLL here

Documentation is here:
https://github.com/AndrewAMD/SierraChartZorroPlugin

New feature: Added brokercommand GET_BOOK


Attached Files
mdepth.PNG (624 downloads)
BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #474748
11/03/18 15:44
11/03/18 15:44
Joined: Feb 2017
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AndrewAMD Online OP
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AndrewAMD  Online OP
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NEW BUILD (0.9.2.0). Beta testers wanted.
Download DLL here

Documentation is here:
https://github.com/AndrewAMD/SierraChartZorroPlugin

Bug Fix: Problem receiving T1 tick data when server decides to send bar messages instead of tick messages.

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #474971
11/15/18 15:48
11/15/18 15:48
Joined: Sep 2017
Posts: 12
T
Trading4pips Offline
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Trading4pips  Offline
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Posts: 12
Hi Andrew,

I'm answering your call for beta testers for the Sierra Chart plugin.

I'm currently using SC 1841 and Service package 5.

I've copied the SC Zorro Plugin v 0.9.2.0 to the Zorro plugin folder and created a history file to include the current futures SC symbols: ESZ18 and NQZ18.

When I run a strategy an ES_2018.t6 file is created in the History folder, some data appear to be placed in the file and then I receive a couple of errors. Any guidance you can provide would be greatly appreciated.

Here is a snip-it of the messages I'm receiving:
...
Subscribing to Symbol ESZ18...
Market depth subscribed.
Data is being downloaded from a remote source. Download will start when this is done.
Load ES 2018.. 85678 min - ES history unavailable!
Error 056: Can't download ES 2017 history
Error 046: TRND EMA LookBack exceeded by 37 bars (128)
Logout.. ok

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: Trading4pips] #474973
11/15/18 16:20
11/15/18 16:20
Joined: Feb 2017
Posts: 769
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AndrewAMD Online OP
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AndrewAMD  Online OP
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Can you post your script?

Also, what broker/service are you using with Sierra Chart?

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #474975
11/15/18 18:17
11/15/18 18:17
Joined: Sep 2017
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Trading4pips Offline
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I'm using the SC Sim1 account to test the plugin. I'm not subscribed to SC's real-time data, I use Interactive Brokers for RT data. For this test, I was just trying to pull historical data and run the script.

Also, in the user field, I tried leaving it blank (to which I receive an ES history unavailable message). So I run the script with only zlib in the user field and it appears to pull ES data from 2018-04-02 (based on the Warning message: Warning 047: ES first bar at 2018-04-02).

Based on the above warning, I thought a first step would be to use the plugin to successfully pull historical data. So I created the following Asset file: Assets-SC-ES.csv (spacing appears messed up below, but it lines up properly in Excel):

Code:
Name	Price	Spread	RollLong	RollShort	PIP	PIPCost	MarginCost	Leverage	LotAmount	Commission	Symbol
ES	2700	0.25	0	0	0.25	12.5	6000	0	1	5	ESZ18



I then took the Gap study and modified it slightly:

Code:
// Display gaps in historical data.
// Red lines = gap length in days. 

#define ASSET_LIST "History\Assets-SC-ES.csv"

function run()
{
	StartDate = 2017;
	//StartDate = 2018;
	LookBack = 0;
	set(PLOTNOW);
	assetList(ASSET_LIST);
	//asset("EUR/USD");
	var m = minutesAgo(1);
	plot("Gap",m/(60*24),NEW,RED);
}



Findings:
1. With a StartDate = 2018 the script runs without any errors, but the chart starts on April 2, 2018 rather than January.

2. With a StartDate = 2017 I receive the following message:
GapFinder_2018 compliling..........
Error 055: ES History missing (2017 8192 HistoryES.t6)
Test: GapFinder_2018 ES 2017..2018
Asset HistoryAssets-SC-ES.csv

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: Trading4pips] #474976
11/15/18 18:22
11/15/18 18:22
Joined: Feb 2017
Posts: 769
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AndrewAMD Online OP
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AndrewAMD  Online OP
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If you know your historical data begins in 2018, why are you setting StartDate at 2017 and expecting it to work?

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #474977
11/15/18 19:47
11/15/18 19:47
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Trading4pips Offline
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Trading4pips  Offline
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The historical data from SC goes back years. So I thought the plugin would connect to SC and download the required data. The data for the ES was downloaded by the plugin when I first ran it, but it only downloaded it from April 2, 2018.

My assumption was that when I tell it to start in 2018 it would download data for all of 2018, when I change the start date to 2017 it would download missing data starting January 1, 2017.

Am I wrong on this assumption?

Last edited by Trading4pips; 11/15/18 19:48.
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