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Re: Sierra Chart Plugin [Re: AndrewAMD] #479039
02/07/20 17:59
02/07/20 17:59
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JamesHH Offline
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Originally Posted by AndrewAMD
My setup is low-latency, since it implements SET_HWND for immediate reactions to incoming data. However, I have not done any latency tests, so I cannot comment on whether or not it is sub-ms.

(Note: This project will remain in beta until I rewrite the backend.)


That still sounds very good. Do you know if Zorro runs at that low latency in general (aside from your plugin)?

Also, there is no problem with sending limit orders to the BitMEX exchange? I read something about limit orders earlier in this thread but I could not understand the discussion.

Re: Sierra Chart Plugin [Re: JamesHH] #479040
02/07/20 19:41
02/07/20 19:41
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AndrewAMD Offline OP
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Originally Posted by JamesHH
Also, there is no problem with sending limit orders to the BitMEX exchange? I read something about limit orders earlier in this thread but I could not understand the discussion.
Not sure what you mean. Limit orders are supported.

If BitMEX has problems, that has nothing to do with my plugin. Remember, this plugin works with Sierra Chart.

When in doubt, test on a paper account and in Sierra Chart's simulation mode.

Re: Sierra Chart Plugin [Re: AndrewAMD] #479041
02/08/20 06:55
02/08/20 06:55
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JamesHH Offline
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Originally Posted by AndrewAMD
Originally Posted by JamesHH
Also, there is no problem with sending limit orders to the BitMEX exchange? I read something about limit orders earlier in this thread but I could not understand the discussion.
Not sure what you mean. Limit orders are supported.


At the start of the thread, Zheka asked "- does the plug-in support true limit orders?" and then: "1) You mean, by specifying a TakeProfit var in the enterLong, the plug-in will send a real limit order to the book, right?" and you replied "1) The plugin is NFA mode (orders) only, so this depends on how Zorro handles pool trades." I don't understand what NFA mode does, but as long as I can send limit orders all is good.

Quote

When in doubt, test on a paper account and in Sierra Chart's simulation mode.


Yes, I plan to test it. BitMEX also has a testnet that SC can connect to, where you can paper trade with the BitMEX API.

Re: Sierra Chart Plugin [Re: AndrewAMD] #479064
02/11/20 14:39
02/11/20 14:39
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AndrewAMD Offline OP
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In Zorro, you place "trades". But "trades" are a high-level interface for order placement. When a plugin is "NFA mode", it means the broker only understands orders.

This does not change the fact that limit orders are supported. Just verify that it behaves as you expect.

Re: Sierra Chart Plugin [Re: AndrewAMD] #479270
03/13/20 00:23
03/13/20 00:23
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JamesHH Offline
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I attempting to use the plugin in Trade mode to get live prices, but after Zorro connects to the server I am receiving a flood of unknown message type errors:

!1: Received unknown msg type: 140
!1: Received unknown msg type: 140
!1: Received unknown msg type: 140
!1: Received unknown msg type: 140
!1: Received unknown msg type: 140
!1: Received unknown msg type: 140
!1: Received unknown msg type: 140
!1: Received unknown msg type: 140
!1: Received unknown msg type: 140
[Stop] at 00:16
Logout.. ok


This is using the following simple script:

void run() {
BarPeriod = 1;
LookBack = 10;

assetAdd("XBTUSD-BMEX");
asset("XBTUSD-BMEX");

vars Prices = series(price(0));

print(TO_WINDOW, "\nPrice: %f", Prices[0]);
}


Am I doing something wrong?

Re: Sierra Chart Plugin [Re: AndrewAMD] #479271
03/13/20 00:49
03/13/20 00:49
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AndrewAMD Offline OP
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It's probably because Sierra Chart changed their DTC protocol. Let me look into this. (Maybe by Sunday? My schedule is bad.)

Re: Sierra Chart Plugin [Re: AndrewAMD] #479272
03/13/20 02:41
03/13/20 02:41
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JamesHH Offline
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Originally Posted by AndrewAMD
It's probably because Sierra Chart changed their DTC protocol. Let me look into this. (Maybe by Sunday? My schedule is bad.)



Great. Thank you.

Re: Sierra Chart Plugin [Re: AndrewAMD] #479277
03/13/20 11:05
03/13/20 11:05
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It looks like they added some new market depth messages. I'll need to add some more message handling.

If you don't need market depth, you can probably ignore it until I have a fix.

Re: Sierra Chart Plugin [Re: AndrewAMD] #479285
03/15/20 01:40
03/15/20 01:40
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JamesHH Offline
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Originally Posted by AndrewAMD
It looks like they added some new market depth messages. I'll need to add some more message handling.

If you don't need market depth, you can probably ignore it until I have a fix.


OK. I think it works.

This is not specific to the plugin, but I have never used Zorro in Trade mode before. It looks like I will only get price updates at the end of each 1 minute bar, with BarPeriod = 1? So I need Zorro-S to get a stream of tick data?

Also, about market depth, eventually I would need it. Are the bid/ask prices real? I mean that Spread is always 0.5, so does that mean it is really 0.5 on the exchange?

Re: Sierra Chart Plugin [Re: AndrewAMD] #479286
03/15/20 02:44
03/15/20 02:44
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AndrewAMD Offline OP
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The spread you get in Trade mode is real. Whereas the spread you set in your asset list is strictly used for Test and Train mode to emulate a spread.

Quote
It looks like I will only get price updates at the end of each 1 minute bar, with BarPeriod = 1? So I need Zorro-S to get a stream of tick data?
I believe tick() works for both Zorro and Zorro S. But you can only use BarPeriod 1 or greater in free Zorro. So if you're only using run() and BarPeriod is 1, then you only get price updates once per run(), which is once per minute.

Last edited by AndrewAMD; 03/15/20 19:26.
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