Gamestudio Links
Zorro Links
Newest Posts
How to install R ?
by Clifford_B. 10/16/19 18:05
Indices & metals easier to trade than FX???
by StefanCGN. 10/15/19 16:19
Can't plot daily high & low
by Zheka. 10/14/19 18:39
TWS "Market closed" fix
by jcl. 10/14/19 15:09
2xCapital slider to increase size
by jcl. 10/14/19 14:03
Imgui Lite-c Development
by txesmi. 10/13/19 09:40
AUM Magazine
Latest Screens
The Space Between
Pogostuck: Rage With Your Friends
Worst Case Z
AckCon'18 - Lotter vs the World 2 - Preview Release
Who's Online Now
9 registered members (AndrewAMD, Clifford_B, 3run, Dooley, sdh309795gaas, Superku, Shutch, kvm, 1 invisible), 629 guests, and 31 spiders.
Key: Admin, Global Mod, Mod
Newest Members
Clifford_B, Paulius, Junker, FrankW, TedMar
18307 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Page 1 of 9 1 2 3 4 5 6 7 8 9
Sierra Chart Plugin #474092
09/20/18 00:42
09/20/18 00:42
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Joined: Jul 2017
Posts: 407
Z
Zheka Offline
Senior Member
Zheka  Offline
Senior Member
Z

Joined: Jul 2017
Posts: 407
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
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Joined: Jul 2017
Posts: 407
Z
Zheka Offline
Senior Member
Zheka  Offline
Senior Member
Z

Joined: Jul 2017
Posts: 407
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
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Joined: Jul 2017
Posts: 407
Z
Zheka Offline
Senior Member
Zheka  Offline
Senior Member
Z

Joined: Jul 2017
Posts: 407
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
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Joined: Jul 2017
Posts: 407
Z
Zheka Offline
Senior Member
Zheka  Offline
Senior Member
Z

Joined: Jul 2017
Posts: 407
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
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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.

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
Senior Member
Zheka  Offline
Senior Member
Z

Joined: Jul 2017
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
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Newbie
Trading4pips  Offline
Newbie
T

Joined: Sep 2017
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
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Posts: 12
T
Trading4pips Offline
Newbie
Trading4pips  Offline
Newbie
T

Joined: Sep 2017
Posts: 12
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
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
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
Joined: Sep 2017
Posts: 12
T
Trading4pips Offline
Newbie
Trading4pips  Offline
Newbie
T

Joined: Sep 2017
Posts: 12
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.
Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: Trading4pips] #474978
11/15/18 19:50
11/15/18 19:50
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
You set ES to symbol ESZ18, so you are limited to ESZ18.

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #474979
11/15/18 19:59
11/15/18 19:59
Joined: Sep 2017
Posts: 12
T
Trading4pips Offline
Newbie
Trading4pips  Offline
Newbie
T

Joined: Sep 2017
Posts: 12
Ok, then that's not what I really want, I would like to pull the data for the continuous ES contract.

In SC I use ESZ18 as the symbol, but under the Advanced Settings I have Continuous Contract set to: Continuous Futures Contract - Date Rule Rollover.

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: Trading4pips] #474981
11/15/18 20:16
11/15/18 20:16
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Alas, Sierra Chart's DTC server does not support the export of Continuous Contracts, or any indicator for that matter.

I believe you do have two options:

1) Using Zorro, download all of the individual contracts' historical data and construct a continuous contract indicator from that data.

2) Maybe you can export Continuous bars directly from Sierra Chart to text/csv, and then convert it to t6 using a zorro script. I have not tried this yet.

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #474985
11/15/18 23:39
11/15/18 23:39
Joined: Sep 2017
Posts: 12
T
Trading4pips Offline
Newbie
Trading4pips  Offline
Newbie
T

Joined: Sep 2017
Posts: 12
It is really unfortunate and surprising that their server does not support continuous contracts since SC uses them.

I appreciate your suggestions, but I think option 1 is not realistic due to the amount of work that would be involved in constructing a continuous contract.

When I get some time, I'll try to research option 2 to see how one might convert the downloaded data to t6 files. If you are taking feature requests, this would be a great option to add to the plugin laugh

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: Trading4pips] #474987
11/16/18 00:11
11/16/18 00:11
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Take a peek at the CSVtoHistory script, it should point you in the right direction.

Given the DTC implementation, it is not realistic to try to output continuous contracts from the plugin. The SC staff told me finding futures symbols by underlying is on their to-do list, but they never got around to it.

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #475817
01/08/19 18:23
01/08/19 18:23
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Oh wow, Sierra Chart finally came through with the underlying search for futures!

https://dtcprotocol.org/SupportBoard.php?ThreadID=33413

It looks like I can pull this out of beta in the next month! laugh

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #475873
01/11/19 10:17
01/11/19 10:17
Joined: Dec 2016
Posts: 66
F
firecrest Offline
Junior Member
firecrest  Offline
Junior Member
F

Joined: Dec 2016
Posts: 66
Thank you so much for the Sierra Chart plugin. Sierra Chart is link to IB. I am thinking of what is the advantage of using Sierra Chart plugin instead of just directly using IB plugin.

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: firecrest] #475877
01/11/19 13:56
01/11/19 13:56
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
If you need lower latency and every last tick, use the Sierra Chart plugin.

If you want access to Sierra Chart's historical data and/or live streaming data service, use the Sierra Chart plugin.

If you need options, use the IB plugin.

If you need all of the above at the same time, use both plugins simultaneously.

Here's why:
* The engineers at Sierra Chart have gone so far as to reverse engineer the IB interface so that they are working directly with IB's proprietary protocol rather than a library. They prefer to work directly with sockets.
* Likewise, my plugin also works directly with sockets (using Boost Asio as a frontend for the socket API).
* Finally, the Sierra Chart plugin supports SET_HWND while the IB plugin currently does not. This means you can get every last tick while running your strategy live.
* But Sierra Chart is not eager to support listing options symbols by underlying using their integrated DTC protocol. (Their protocol supports it, but that's irrelevant if the server does not.)
* Anyways, the IB plugin works well with options.

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #475977
01/16/19 13:21
01/16/19 13:21
Joined: Feb 2018
Posts: 227
Italy
tradingest Offline
Member
tradingest  Offline
Member

Joined: Feb 2018
Posts: 227
Italy
Hi guys,

but is more fast to use LMAX account with Sierra plugin or with MT4 plugin?
We always need to have the platforms opened, MT4 or Sierra

thanks

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: tradingest] #475979
01/16/19 13:44
01/16/19 13:44
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Originally Posted By: tradingest
Hi guys,

but is more fast to use LMAX account with Sierra plugin or with MT4 plugin?
We always need to have the platforms opened, MT4 or Sierra

thanks
Until the MT4 plugin supports GET_HWND, the Sierra Chart plugin will be faster.

One other notable difference is that you must use the Sierra Chart plugin in NFA mode, since the DTC protocol only processes orders and not "trades".

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #475980
01/16/19 13:56
01/16/19 13:56
Joined: Feb 2018
Posts: 227
Italy
tradingest Offline
Member
tradingest  Offline
Member

Joined: Feb 2018
Posts: 227
Italy
Is it possible to have a more information about GET_HWND?
What does means?

thanks AndrewAMD

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: tradingest] #475981
01/16/19 14:07
01/16/19 14:07
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Originally Posted By: tradingest
Is it possible to have a more information about GET_HWND?
What does means?

thanks AndrewAMD
It means Zorro will be notified when a new tick has arrived.

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #475983
01/16/19 14:28
01/16/19 14:28
Joined: Feb 2018
Posts: 227
Italy
tradingest Offline
Member
tradingest  Offline
Member

Joined: Feb 2018
Posts: 227
Italy
Originally Posted By: AndrewAMD
Originally Posted By: tradingest
Is it possible to have a more information about GET_HWND?
What does means?

thanks AndrewAMD
It means Zorro will be notified when a new tick has arrived.


but for this we can use function tick() within Zorro.
I don't understand what is the difference...
Using function tick() the script is performed for each tick.
For me it is very important to understand well the diffrence and why Sierra plugin is more fast respect to MT4.
Also with MT4 plugin is it possible to obtain the notification for each tick

Is it possible to have a more details about it to use the plugin in the best way?

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: tradingest] #475984
01/16/19 15:06
01/16/19 15:06
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Originally Posted By: tradingest
Using function tick() the script is performed for each tick.
Not necessarily.

There is a chain...

BROKER <--> PLUGIN <--> ZORRO <--> tick()

Without SET_WHND:

* Broker says there is a tick.
* Plugin retains tick info or does nothing.
* (pause indefinitely)
* Broker says there is a tick.
* Plugin retains tick info or does nothing.
* (pause indefinitely)
* Zorro's timer says that it is time to check for a new tick on all Assets.
* Zorro gets the tick.
* Zorro invokes tick().

With SET_WHND:

* Broker says there is a tick.
* Plugin tells Zorro there is a tick.
* Zorro gets the tick.
* Zorro invokes tick().

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #475985
01/16/19 15:18
01/16/19 15:18
Joined: Feb 2018
Posts: 227
Italy
tradingest Offline
Member
tradingest  Offline
Member

Joined: Feb 2018
Posts: 227
Italy
Originally Posted By: AndrewAMD
Originally Posted By: tradingest
Using function tick() the script is performed for each tick.
Not necessarily.

There is a chain...

BROKER <--> PLUGIN <--> ZORRO <--> tick()

Without SET_WHND:

* Broker says there is a tick.
* Plugin retains tick info or does nothing.
* (pause indefinitely)
* Broker says there is a tick.
* Plugin retains tick info or does nothing.
* (pause indefinitely)
* Zorro's timer says that it is time to check for a new tick on all Assets.
* Zorro gets the tick.
* Zorro invokes tick().

With SET_WHND:

* Broker says there is a tick.
* Plugin tells Zorro there is a tick.
* Zorro gets the tick.
* Zorro invokes tick().


very good...wonderful...now is more clear...thanks so much

less steps means more speed

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: tradingest] #476105
01/27/19 10:45
01/27/19 10:45
Joined: Feb 2018
Posts: 227
Italy
tradingest Offline
Member
tradingest  Offline
Member

Joined: Feb 2018
Posts: 227
Italy
AndrewAMD can you help me to join LMAX account with SierraChart?

I follow these steps but doesn't work
https://www.sierrachart.com/index.php?page=doc/LMAX.php

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: tradingest] #476109
01/27/19 13:10
01/27/19 13:10
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Originally Posted By: tradingest
AndrewAMD can you help me to join LMAX account with SierraChart?

I follow these steps but doesn't work
https://www.sierrachart.com/index.php?page=doc/LMAX.php
I don't use LMAX, so I cannot help you.

But you can try the Sierra Chart support boards. Try searching for your errors/problems first.

https://www.sierrachart.com/SupportBoard.php?ForumID=0

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #476226
02/06/19 10:32
02/06/19 10:32
Joined: Feb 2018
Posts: 23
T
tomaslolo Offline
Newbie
tomaslolo  Offline
Newbie
T

Joined: Feb 2018
Posts: 23
Hello, I want to try this Sierra plugin. Thank you very much for your work! I follow these instructions:

1.- "To install the plugin, simply place the SierraChart.dll file in the Plugin folder where Zorro is installed."

2.- "Zorro automatically scans that folder at startup, and lists all broker DLLs in the [Broker / Account] scrollbox "

But when I open Zorro S 1.96 version does not shows Sierra Chart in "[Broker / Account] scrollbox "

Am I missing anything?

Thank you

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: tomaslolo] #476229
02/06/19 12:36
02/06/19 12:36
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
You need to download the DLL for now.

Get it here:
https://github.com/AndrewAMD/SierraChartZorroPlugin/tree/master/releases

Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #476230
02/06/19 12:50
02/06/19 12:50
Joined: Feb 2018
Posts: 23
T
tomaslolo Offline
Newbie
tomaslolo  Offline
Newbie
T

Joined: Feb 2018
Posts: 23
Yes, SierraChart.dlll is already placed in Zorro Plugin folder.

But does not appear in "Account/broker" scrollbox.


Attached Files
Last edited by tomaslolo; 02/06/19 12:55.
Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: tomaslolo] #476233
02/06/19 13:56
02/06/19 13:56
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
I'm not having this problem, using the latest plugin release.

1) Make sure you're using the latest plugin release.
2) Close Zorro and open it again to refresh the broker list.


Attached Files
001.PNG (397 downloads)
Re: BETA 0.9.2.0: Sierra Chart Plugin [Re: AndrewAMD] #476234
02/06/19 14:33
02/06/19 14:33
Joined: Feb 2018
Posts: 23
T
tomaslolo Offline
Newbie
tomaslolo  Offline
Newbie
T

Joined: Feb 2018
Posts: 23
Solved. I was not downloading the .dll the right way.

Sorry for my mistake and thank you for your effort!

Best Regards

Re: Sierra Chart Plugin [Re: AndrewAMD] #476630
03/17/19 13:31
03/17/19 13:31
Joined: Mar 2019
Posts: 10
CA
N
nandv Offline
Newbie
nandv  Offline
Newbie
N

Joined: Mar 2019
Posts: 10
CA
I did a simple assetHistory test and got this error, please help!

code:


error:




I tried to search zorro manual and can't find any references to NumberOfDays or StartDateTime

This is on Zorro 2.04 and SC 1882, with the latest SC plugin from your github.

Thanks!


Last edited by nandv; 03/17/19 13:35.
Re: Sierra Chart Plugin [Re: AndrewAMD] #476631
03/17/19 13:45
03/17/19 13:45
Joined: Mar 2019
Posts: 8
D
danatrader Offline
Newbie
danatrader  Offline
Newbie
D

Joined: Mar 2019
Posts: 8
Hi Andrew,

can you give a little start support?

Connecton to DTC works.
Account Sim1 detected.

So from my uderstanding next step is download price data?
So it tells me "!1: NumberOfDays or StartDateTime fields must be non-zero.", although I have 2019-2019, maybe it's just information.

It runs forever, when I cancel I receive the information below.

Download...
Login 0 SierraChart..
!1: Connected to SC DTC Protocol server. Service=scdataallservices|SymbolSettings=scdataallservices
!1: WARNING: Trading not supported
!1: TradeAccounts detected: Sim1
!1: Using: Sim1
!1: Balance synchronized..
!1: NumberOfDays or StartDateTime fields must be non-zero.
!1: Failed to confirm historical orders
!1: Sync hist orders failure.
Can't connect!
Done


I just see the latest post, ame here, all newest... only sim account to receive data.

Last edited by danatrader; 03/17/19 13:51.
Re: Sierra Chart Plugin [Re: danatrader] #476632
03/17/19 15:22
03/17/19 15:22
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Okay, we have beta testers!

Quote:
NumberOfDays or StartDateTime fields must be non-zero.

I believe those are DTC message fields. Let me look into this.

Re: Sierra Chart Plugin [Re: AndrewAMD] #476633
03/17/19 16:16
03/17/19 16:16
Joined: Mar 2019
Posts: 8
D
danatrader Offline
Newbie
danatrader  Offline
Newbie
D

Joined: Mar 2019
Posts: 8
Maybe I am wrong, but trade log on sierra chart also then gives basically the same infomation as

!1: Failed to confirm historical orders
!1: Sync hist orders failure.

I guess maybe the Problem could be that SC Sim Account does't have any orders, so they can't be retrieved.

Might be different if SC Sim Account is for example a Rythmic Papertading account (real demo account).

I also tried the earlier version online, same messages.

If you need moore log, etc, I may proviide it.

Re: Sierra Chart Plugin [Re: danatrader] #476634
03/17/19 16:33
03/17/19 16:33
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
I believe SC does not supply the history of your orders when using Sim1.

I might be able to suppress these error messages and replace it with a less confusing warning.

Re: Sierra Chart Plugin [Re: AndrewAMD] #476652
03/19/19 18:08
03/19/19 18:08
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Solved: Sierra Chart changed the behavior of their DTC server. It now requires the NumberOfDays field to be filled, even though the documentation says it is not required.

https://www.dtcprotocol.org/index.php?pa...R_FILLS_REQUEST

I will update the DLL this evening.

Re: Sierra Chart Plugin [Re: AndrewAMD] #476654
03/20/19 00:22
03/20/19 00:22
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Just released version 0.9.2.1.

DLL can be found here. Thank you!

Re: Sierra Chart Plugin [Re: AndrewAMD] #476662
03/20/19 19:58
03/20/19 19:58
Joined: Mar 2019
Posts: 8
D
danatrader Offline
Newbie
danatrader  Offline
Newbie
D

Joined: Mar 2019
Posts: 8
Great, looks different now!

Thank you so much.

Re: Sierra Chart Plugin [Re: danatrader] #476707
03/25/19 02:47
03/25/19 02:47
Joined: Oct 2018
Posts: 15
7
7th_zorro Offline
Newbie
7th_zorro  Offline
Newbie
7

Joined: Oct 2018
Posts: 15
Using sierra chart, can I display zorro backtest result data?

Re: Sierra Chart Plugin [Re: 7th_zorro] #476710
03/25/19 12:01
03/25/19 12:01
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
No.

Re: Sierra Chart Plugin [Re: AndrewAMD] #476772
03/30/19 06:59
03/30/19 06:59
Joined: Oct 2018
Posts: 15
7
7th_zorro Offline
Newbie
7th_zorro  Offline
Newbie
7

Joined: Oct 2018
Posts: 15
I am looking forward to update about support continuous futures contract.
Thank you for nice plugin.

Last edited by 7th_zorro; 03/30/19 09:22.
Re: Sierra Chart Plugin [Re: 7th_zorro] #476775
03/30/19 11:51
03/30/19 11:51
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
As stated before, Sierra Chart’s DTC server does not support continuous contracts. For the plugin to output continuous contracts, I would have to code the reconstructions myself, which I do not have the time for right now.

Currently, you have two options:

1) The user can manually reconstruct the continuous contract as a Zorro script.


2) The user can export CC CSV directly from Sierra Chart, and import it as T6 for Zorro. I talk about this on my blog:

https://www.vitaltrades.com/2019/03/17/continuous-futures-data-in-zorro-1-data-acquisition/
https://www.vitaltrades.com/2019/03/24/continuous-futures-data-in-zorro-2-parsing-csv-to-t6/

Re: Sierra Chart Plugin [Re: AndrewAMD] #476798
04/04/19 08:25
04/04/19 08:25
Joined: Oct 2018
Posts: 15
7
7th_zorro Offline
Newbie
7th_zorro  Offline
Newbie
7

Joined: Oct 2018
Posts: 15
Does sierra chart bitmex connection use rest or websocket?
I heard that bitmex have order rejection problem.
Do you have any experience about that?

Re: Sierra Chart Plugin [Re: 7th_zorro] #476802
04/04/19 11:11
04/04/19 11:11
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Originally Posted By: 7th_zorro
Does sierra chart bitmex connection use rest or websocket?
Neither. Bitmex set up a DTC service just for Sierra Chart users. It comes complete with live streaming of market data and market depth, historical intraday, live trading, simulated trading, etc.

Originally Posted By: 7th_zorro
I heard that bitmex have order rejection problem.
Do you have any experience about that?
I don't use Bitmex, but Sierra Chart has declared the Bitmex interface to be stable. You can read about setting up the Bitmex/SC connection here.

Re: Sierra Chart Plugin [Re: AndrewAMD] #476989
04/30/19 12:55
04/30/19 12:55
Joined: Nov 2016
Posts: 103
NSW
V
vinsom Offline
Member
vinsom  Offline
Member
V

Joined: Nov 2016
Posts: 103
NSW
Hi Andrew,
Do you know if with this plugin is possible to short crypto futures on Bitmex ?

Thanks

Re: Sierra Chart Plugin [Re: vinsom] #476990
04/30/19 12:59
04/30/19 12:59
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
If your broker allows it, then the plugin allows it.

For now, you have to manually enter futures symbols in your asset list, as GET_FUTURES is not functional.

Re: Sierra Chart Plugin [Re: AndrewAMD] #476992
04/30/19 21:11
04/30/19 21:11
Joined: Nov 2016
Posts: 103
NSW
V
vinsom Offline
Member
vinsom  Offline
Member
V

Joined: Nov 2016
Posts: 103
NSW
Sorry andrew another question, how would you set the leverage with this plugin ?

Re: Sierra Chart Plugin [Re: vinsom] #476993
04/30/19 21:41
04/30/19 21:41
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Originally Posted By: vinsom
Sorry andrew another question, how would you set the leverage with this plugin ?
Your only option is explained under "Setting BitMEX Leverage":
https://www.sierrachart.com/index.php?page=doc/BitMEX_Trading.php#SettingBitmexLeverage

Re: Sierra Chart Plugin [Re: AndrewAMD] #477025
05/03/19 13:40
05/03/19 13:40
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Hi all,

As of Zorro 2.10, it looks like Virtual Hedging will only be a Zorro S feature from that point.

For this plugin in particular, you need NFA flag enabled, and the best Hedge setting is Hedge = 5. This will require Zorro S.

If you are using the free Zorro, you can only use NFA flag enabled and Hedge = 0. This can especially be an issue for portfolio systems using my plugin - in which case, consider Zorro S.

Re: Sierra Chart Plugin [Re: AndrewAMD] #477091
05/16/19 09:34
05/16/19 09:34
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
I've tried very hard to connect SierraChart to Zorro.



Login 0 SierraChart..
!1: Connected to SC DTC Protocol server. Service=interactive_brokers.trading|SymbolSettings=interac
!1: TradeAccounts detected: DUXXXXXX,Sim1
!1: Using: DUXXXXXX
!1: Balance synchronized.
!1: TradeAccount is not set
!1: Failed to confirm historical orders
!1: Sync hist orders failure.
Can't connect!

I've tried both with Sierrachart logged into IB, or with the Sierrachart data service.

I tried various ports, TLS on off, zlib, real/demo accounts etc

I am using the latest Sierrachart 1915 and plugin versions as well as Zorro Beta 2.11, also tried non-beta 2.03.

I am able to connect to DTC from python and download data.

login string (tried a variety of alternatives here, including empty string which also works):
ta:DUXXXXXX h:127.0.0.1 p1:11099 p2:11097

script run is:
void main()
{
// Lookback = 0;
StartDate = 20190201;
EndDate = 20190315;
GapDays = 3; // detect gaps
Verbose = 2;
assetList("AssetsFix");
asset("EUR/USD");
assetHistory(0,1);
}

Please help!
Thanks a lot.


On Sierrachart the error is:

DTC client #27. 127.0.0.1 | Received logon request. | 2019-05-16 05:30:04
DTC client #27. 127.0.0.1 | Sent successful Logon response message to client. Username: _. Result text: Connected to SC DTC Protocol server. Service=interactive_brokers.trading|SymbolSettings=interactive_brokers.trading | 2019-05-16 05:30:04
DTCServer (1) | Socket gracefully closed by remote side. | 2019-05-16 05:30:04
DTCServer (1) | Close event error. Windows error code 10053: An established connection was aborted by the software in your host machine. | 2019-05-16 05:30:04 *
DTCServer (1) | Graceful close received or receive error. Shutdown complete. Closing socket now. | 2019-05-16 05:30:04




Attached Files
sierrasettings.png (69 downloads)
Last edited by h4h4rd; 05/16/19 11:39.
Re: Sierra Chart Plugin [Re: h4h4rd] #477096
05/16/19 13:16
05/16/19 13:16
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
I also tried an older version, 1.96, same issue

Re: Sierra Chart Plugin [Re: h4h4rd] #477097
05/16/19 13:33
05/16/19 13:33
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
I'm on a demo account, would that be the issue?

I don't have problems accessing dtc data through python

Re: Sierra Chart Plugin [Re: h4h4rd] #477098
05/16/19 13:41
05/16/19 13:41
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
This might be an IB specific issue, but I cannot confirm this.

I tweaked the DLL based on your error log. Can you try it out?

See attachment.

Attached Files
scplugin.zip (11 downloads)
Re: Sierra Chart Plugin [Re: AndrewAMD] #477100
05/16/19 13:51
05/16/19 13:51
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
I tried it without IB, same issue, trying your plugin now.

Re: Sierra Chart Plugin [Re: h4h4rd] #477102
05/16/19 13:56
05/16/19 13:56
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
works!

so the issue was that there were no historical orders?!

Thanks so much!

I wonder though what was different for me compared to other who haven't had this issue?

Last edited by h4h4rd; 05/16/19 13:57.
Re: Sierra Chart Plugin [Re: h4h4rd] #477103
05/16/19 14:08
05/16/19 14:08
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Same issue on other brokers? This means Sierra Chart changed the DTC server again.

I tweaked it again, but this time the historical order requests syncs up the particular trade account. (Apparently they decided they require this field now.)

See attached.

Attached Files
scplugin.zip (13 downloads)
Re: Sierra Chart Plugin [Re: AndrewAMD] #477105
05/16/19 14:15
05/16/19 14:15
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
I was having this issue regardless of whether I was connected to IB or just using SC data service.

The first plugin you provided above fixed that.

I have an issue now, the plugin starts downloading all history for that instrument (3 gb for USDNOK) in sierrachart, while being stuck on "Data is being downloaded for a remote source. Download will start when this is done"

What's a good way of restricting 1) how much data SC will download off the web, and 2) more importantly, how much data gets transferred to Zorro, as this seems to be rather slow.

Thanks again!

Last edited by h4h4rd; 05/16/19 14:24.
Re: Sierra Chart Plugin [Re: h4h4rd] #477107
05/16/19 14:26
05/16/19 14:26
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
The second plugin you provided recreated the problem!

Back to failed to confirm historical orders and Sync hist orders failure. Can't connect.


The first plugin you posted worked, and changed sync hist orders to warning only.

TradeAccount not set occurs on all versions of the plugin so far.



Last edited by h4h4rd; 05/16/19 14:30.
Re: Sierra Chart Plugin [Re: h4h4rd] #477109
05/16/19 14:37
05/16/19 14:37
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Try the download script.

OK, well I might have time to debug the latter issue this weekend.

Re: Sierra Chart Plugin [Re: AndrewAMD] #477111
05/16/19 14:47
05/16/19 14:47
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
The second plugin is not able to connect, neither with the download script, nor with the script I posted.

The first plugin seems works, when I change to "trades" and remove the slash from the name, i.e. EURUSD instead of EUR/USD. At least SierraChart starts downloading data.

Re: Sierra Chart Plugin [Re: AndrewAMD] #477144
05/24/19 06:36
05/24/19 06:36
Joined: May 2019
Posts: 10
H
h4h4rd Offline
Newbie
h4h4rd  Offline
Newbie
H

Joined: May 2019
Posts: 10
Hey is there any news regarding this? Again, the first plugin you sent works for me right now, the second one doesn't. For downloading that is, I haven't tried live trading. I can't imagine I'm the only one with this issue. Or do you believe there is something wrong with my setup?

Thanks,

h4h4rd

Last edited by h4h4rd; 05/24/19 06:37.
Re: Sierra Chart Plugin [Re: h4h4rd] #477145
05/24/19 10:54
05/24/19 10:54
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Sorry, I did not have time to look into it yet. I will provide an update when I get the time.

Re: Sierra Chart Plugin [Re: AndrewAMD] #477432
06/26/19 09:22
06/26/19 09:22
Joined: Jun 2019
Posts: 14
B
bondo1 Offline
Newbie
bondo1  Offline
Newbie
B

Joined: Jun 2019
Posts: 14
Hey Andrew, just wanted to say thanks for taking the time to write this dll, very much appreciated!

Secondly, I'm having the same problem as h4h4rd, but I'm trying to download historical prices from Bitmex - similar/same error messages showing up on Zorro (using Zorro S) and on Sierra. Was there any update to this?

Thanks again for taking the time to do all this!

EDIT: So I tried the dll you posted here; https://opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=477098#Post477098 ; and I can connect/retrieve data, gonna compare it to the data drawn as if I was just using Sierra. Also, I'll check the other
dll that h4h4rd said reproduced the issue.

Last edited by bondo1; 06/26/19 10:10.
Re: Sierra Chart Plugin [Re: AndrewAMD] #477433
06/26/19 12:44
06/26/19 12:44
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
I do have a bugfix update, haven't gotten around to uploading it until now.

Attached is version 0.9.2.4.

Attached Files
SierraChart_0_9_2_4.zip (20 downloads)
Re: Sierra Chart Plugin [Re: AndrewAMD] #477439
06/26/19 23:43
06/26/19 23:43
Joined: Jun 2019
Posts: 14
B
bondo1 Offline
Newbie
bondo1  Offline
Newbie
B

Joined: Jun 2019
Posts: 14
Hey Andrew,

Thanks for the update! I just tried it out and no issues on my end with historical data now.

For anyone wondering, I'm using a demo of Sierra as provided by Sierra, but I had the Login fields set to Real when I downloaded price history, gonna try out what happens if I set it to Demo later tonight and re-download the data.
I personally use CQG and IQFeed, so I'll run it using both data sets to see if I get any issues and report back here.

Also, can't thank Andrew enough, thanks for keeping up with this man, big ups!


Last edited by bondo1; 06/26/19 23:44.
Re: Sierra Chart Plugin [Re: AndrewAMD] #477454
06/28/19 00:11
06/28/19 00:11
Joined: Jun 2019
Posts: 14
B
bondo1 Offline
Newbie
bondo1  Offline
Newbie
B

Joined: Jun 2019
Posts: 14
Just wanted to ask,

I think I read earlier in this thread that to download data, we should be using the symbols listed by Sierra. Using the new plugin, I just tried it with a couple of equity symbols and I'm getting no foreseeable problems. Gonna try it with some futures and cryptocurrency exchanges in a bit as well.

Couple of things;

If I wanted to test using a symbol from another data feed that isn't Sierra, say IQFeed, how would I/would I be able to do that with the plugin?
(E.g.

File > Data/Trade Settings > Select IQFeed
//
File > Find Symbol > [Input/Type out IQFeed Symbol]
//
Run Zorro download.c script > [Type IQFeed Symbol, not Sierra's Symbol] into the download widget]? )

I tried the above steps with LYFT and I was able to download the asset prices and display a price graph doing the above steps. I attached a picture as well.

My questions is, how do I know that I pulled from IQFeed and not Sierra's data feed? I'm assuming the message log from Sierra would let me know that (?) Here are some select messages that might help with the clarification;
-----------------------

// After selecting IQFeed and inputting LYFT as the symbol, I tried to chart the price in Sierra's software. In the message log I received notification that the data was from IQFeed

IQFeed | Starting real-time market data updates for: LYFT. ID: 3 | 2019-06-27 16:51:41.485
IQFeed | Requesting security definition data for: LYFT. ID: 3 | 2019-06-27 16:51:41.485
IQFeed | Using primary service for historical data for LYFT | 2019-06-27 16:51:41.485
Intraday data recording state for symbol LYFT is set to download 'Pending'. | 2019-06-27 16:51:41.485
Delaying start of download for LYFT | 2019-06-27 16:51:41.486
HD Request # 7 | Downloading Intraday chart data for LYFT to the file LYFT.scid. Service: dtn | 2019-06-27 16:51:46.214

// When I tried to download/chart the data using the plugin, I received this notification (I'm assuming this means that the data is being downloaded from IQFeed > since dtn = IQFeed, but just wanted to make sure : D)

Sent successful Logon response message to client. Username: _. Result text: Connected to SC DTC Protocol server. Service=dtn|SymbolSettings=dtn | 2019-06-27 16:52:52.195

-----------------------


And lastly, I think I read in the Zorro manual that imported data converts into UTC (correct me if I'm wrong), so the timestamps we see on the time scale are in UTC as well, even if I set my Sierra settings to my local time?

Attached Files
Test1.png (87 downloads)
Last edited by bondo1; 06/28/19 00:15.
Re: Sierra Chart Plugin [Re: AndrewAMD] #477455
06/28/19 02:24
06/28/19 02:24
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Sierra Chart connects to one data service at a time.

You receive your time stamps in UTC, both via DTC and via all plugins. This is good because it is impossible to get wrong.

Last edited by AndrewAMD; 06/28/19 02:27.
Re: Sierra Chart Plugin [Re: AndrewAMD] #477456
06/28/19 03:22
06/28/19 03:22
Joined: Jun 2019
Posts: 14
B
bondo1 Offline
Newbie
bondo1  Offline
Newbie
B

Joined: Jun 2019
Posts: 14
Hey Andrew,

Thanks for the clarifications!

As I was playing around with loading different asset data, I noticed that for Bitmex, it's skipping regular time periods, specifically the same weekend day every single week [See picture below].
I highlighted the areas of interest.

I'm using the download widget that runs from Zorro's included download.c script and after checking that the asset was stored in the Zorro History folder, I plot the price to check the data according to this script;

//Run to check price curve data

function run()
{
//Defining a 1 minute period
BarPeriod = 1;

//Defining the two assets used in spread calculation
asset("nameofasset");
var assetprice = priceClose() ;

//Plots
plot("assetprice",assetprice,NEW,BLUE);
}

Not sure if this is due to the plugin, or Sierra's side? Or do I need to do something to the download.c script from Zorro?

There's definitely weekend data, I loaded historical charts off Sierra using the same symbol and was able to display the entire history (plus, almost all cryptocurrency exchanges are 24/7 barring
downtimes.

**** Also, I checked BTC data off of Poloniex and received a similar result (regularly occurring, missing data that seems to be a weekend day), see second attached picture. I checked my Sierra settings and it's set to load weekend data.


Attached Files
IncompleteLoad3.png (119 downloads)
IncompleteLoad4.png (15 downloads)
Last edited by bondo1; 06/28/19 03:40.
Re: Sierra Chart Plugin [Re: AndrewAMD] #477458
06/28/19 11:53
06/28/19 11:53
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
But you’re plotting it with a Zorro script. By default, Zorro ignores weekends.

Download the Z History Editor from the Download section of the site and inspect the t6 files yourself. Then tell me what you see.

Re: Sierra Chart Plugin [Re: AndrewAMD] #477460
06/29/19 01:55
06/29/19 01:55
Joined: Jun 2019
Posts: 14
B
bondo1 Offline
Newbie
bondo1  Offline
Newbie
B

Joined: Jun 2019
Posts: 14
Hey Andrew,

I loaded the data up in Z History Editor and was able to see continuous data (including the weekends), I checked this on ES futures as well as some cryptocurrencies. Thanks again for the assist [I read up on the weekend bit after you posted about it, and for anyone who didn't know, I think the Zorro Manual > Time and Calendar Functions > BarMode should be helpful]. I'm gonna play with the code and try to get Zorro to chart all data (including weekends).

For anyone who's curious, I've been loading 1 minute data (so t6), but I'll mess around with downloading/checking tick data and report how that goes.

Also, gonna code a couple simple strategies/phantom trade them to see how the plug-in works for trading execution and will also post results - Thanks again to Andrew, the update is going swimmingly!

Re: Sierra Chart Plugin [Re: AndrewAMD] #478202
09/18/19 14:03
09/18/19 14:03
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
Just a quick update - I have plans to spin off the sockets backend into its own DLL library with a C API, since it depends on Boost. Maybe even make the library directly accessible from Zorro.

This way, the plugin itself would not have a direct dependency on boost. This will make code management much easier.

Also, I dislike my current multi-threaded design - there's no need for it. I can call windows handles using sockets, so networking can still be asynchronous while still single-threaded.

I can afford to be a perfectionist since there's no deadline, and this is not a funded project. But at the end of the day, I'm trying to make this repository as easy to maintain as possible.

Re: Sierra Chart Plugin [Re: AndrewAMD] #478303
09/28/19 23:56
09/28/19 23:56
Joined: Jun 2019
Posts: 14
B
bondo1 Offline
Newbie
bondo1  Offline
Newbie
B

Joined: Jun 2019
Posts: 14
Hey man, just wanted to say thanks for continually updating us on this, your work is very much appreciated! I have yet to deploy live capital using your plugin (been working through a bunch of coding examples), but I'm excited to try it out

Re: Sierra Chart Plugin [Re: AndrewAMD] #478304
09/29/19 13:49
09/29/19 13:49
Joined: Feb 2017
Posts: 769
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 769
Chicago
If it works well for demo/paper trading, then it should work well for live trading. Either way, please let me know if you encounter any issues.

Page 1 of 9 1 2 3 4 5 6 7 8 9

Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1