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Re: Sierra Chart Plugin
[Re: Zheka]
#474209
09/29/18 19:28
09/29/18 19:28
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Joined: Feb 2017
Posts: 1,718 Chicago
AndrewAMD
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re getting historical prices: as I understand, BrokerHistory2 fills in a t6 struct. Yes. 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. 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. 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.
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Re: Sierra Chart Plugin
[Re: AndrewAMD]
#474210
09/29/18 21:34
09/29/18 21:34
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Joined: Jul 2017
Posts: 783
Zheka
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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.. 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?
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Re: Sierra Chart Plugin
[Re: Zheka]
#474212
09/30/18 01:42
09/30/18 01:42
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Joined: Feb 2017
Posts: 1,718 Chicago
AndrewAMD
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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_RESPONSEHowever, 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=33413Oh, 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.
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Re: Sierra Chart Plugin
[Re: Zheka]
#474230
10/01/18 15:02
10/01/18 15:02
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Joined: Feb 2017
Posts: 1,718 Chicago
AndrewAMD
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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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