Trading Systems FAQ

Creating a new system, system introduction

This topic will help you create your first system and introduce you to some of the basic structure of a trading system in RightEdge.

To create a new system from scratch, select the Trading System... option from the File menu. The New Trading System Project window is displayed as shown below.

Development Language The current supported languages are Visual C# and Visual Basic.NET.

Note: If the planned usage for developing this system is strictly drag and drop then the language is essentially irrelevant.

Project Name This is the user defined name given to the trading system. This will also become the name of the project file.

Project Location Specifies the folder on the disk where this project folder and associated files will be saved.

Browse Click this button to browse for the desired project folder.

As each of the project items are changed in this dialog, the text at the bottom is updated to reflect the fully qualified directory of this project.

Once the system is created, the source file will exist in the Trading System pane. If the Trading System pane is not visible, you can show it by selecting Trading System from the View menu. Open the system code by double clicking on the .cs or .vb file. By default, RightEdge will create two typically used overrides.

Startup

Startup is called by RightEdge before the system begins executing. Startup is used to do one time initializations or object creations. For example, this is a good place to create indicators, user series or setup system wide variables.

NewSymbolBar

This function is called each time a new bar is constructed and per symbol. For example, if you're running a simulation or real time system and you're running this for multiple symbols, this function will get called for each symbol you've selected. If I'm running against 100 symbols, this function will get called 100 times on each bar. At this point, we can retrieve symbol specific information such as indicator values, as shown above. This is also where we want to determine whether or not to place an order.

NewTick (now shown)

NewTick is called during real time processing. Each and every time tick data is received, this function is called. If you have data at greater than a tick (1 minute bars for example), this is still considered a "tick" to the system. On ticks, you may want to make lower level decisions such as dynamic orders and profit targets based on real time conditions.

Finally, to build and run your system, select Compile from the System menu. This will alert you to any syntax errors that may exist in the code. If the system builds successfully, it can now be used to run a simulation or live system.

To begin running either a simulation or live system, you must select one or more symbols from the Watchlist. To run a trading system simulation, select the symbols and then select Simulation from the System menu.

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Adapting a sample system

RightEdge ships with a number of sample systems and there are new systems available for the purpose of examples and education available on the RightEdge web site. You can find the sample systems that ship with RightEdge in the Samples\Systems directory. Samples on the RightEdge web site can be found here.

The first step in modifying an existing system is to download and potentially extract the archived system (if it is in .zip format). A typical system will contain a .rep file. This is the RightEdge project file. It contains settings about the system as well as information about the source files that are contained within. In addition to a .rep file, the source files that comprise the system are also included. Once the system is on your local machine, open RightEdge and select Open Trading System from the File menu. Navigate to the .rep file and double click this file to open the Trading System project.

Open the system code by double clicking on the .cs or .vb file. Modify the existing with your changes.

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Sending information to the output pane

The output pane in RightEdge serves the purpose of informing the system operator that something has happened. The content of the output as well as the severity is typically at the discretion of the system developer. The output pane is also very handy for trading system developers to debug by placing debug information in the output pane.

string myMessage = "You'll see me in the output pane";

SystemData.Output.Add(OutputSeverityLevel.Informational, myMessage);

In this case, the output severity is informational. For more information about the OutputSeverityLevel enumeration, see the OutputSeverityLevel in the developer's reference.

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Getting filled information for an order

Live orders happen asynchronously. It would be a rotten user experience if RightEdge waited to hear back from a broker after submitting an order. To facilatate a better experience, RightEdge instead uses events to communicate order information back to the system. This way the system can continue processing and respond only when an order has changed.

When an order is filled, the PositionManager.OrderFilled event is fired. The code below shows you how to hook your system up to the OrderFilled event.

					C#
public override void Startup()
{
     // Set up event handler for 'filled' action.
    PositionManager.OrderFilled += new PositionManager.PositionOrderFilledDelegate(OrderFilled);
}

private void OrderFilled(Trade trade, Position pos, Position.State state)
{
    // Handle a fill here.
}					
The same sample in Visual Basic.NET

Public Overloads Overrides Sub Startup()
    AddHandler PositionManager.OrderFilled, AddressOf OrderFilled
    ' Set up event handler for 'filled' action.
End Sub

Private Sub OrderFilled(ByVal trade As Trade, ByVal pos As Position, ByVal state As Position.State)
    ' Handle a fill here.
End Sub

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Getting additional order information

The above example demonstrated handling the event when the order was filled. Hopefully, this is the majority of the cases, however, there are some instances where something goes wrong or cases where an order is not filled for legitimate reasons (not enough funds, invalid order information, etc). In these cases, the OrderUpdated event should be wired.

C#
public override void Startup()
{
    // Wire the OrderUpdated event.
    PositionManager.OrderUpdated +=
        new PositionManager.PositionOrderUpdatedDelegate(PositionManager_PositionUpdated);
}

public void PositionManager_PositionUpdated(PositionManager.TradeOrderAndOrder to,
                                            Position pos, Position.State state,
                                            string information)
{
    // Get information on an updated position/order
}
					
Visual Basic.NET
Public Overloads Overrides Sub Startup()
    AddHandler PositionManager.OrderUpdated, AddressOf PositionManager_PositionUpdated
    ' Wire the OrderUpdated event.
End Sub

Public Sub PositionManager_PositionUpdated(ByVal [to] As PositionManager.TradeOrderAndOrder,
                                           ByVal pos As Position,
                                           ByVal state As Position.State,
                                           ByVal information As String)
    ' Get information on an updated position/order
End Sub

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Getting the highest high or lowest low

Getting information about bars has been simplified with the BarUtils class (online developer's reference). There are two functions that perform the specific tasks of getting the highest high or lowest low within a range of bars. Conveniently enough, their names are HighestHigh and LowestLow. Both functions have two overloads. The first overload takes only a bar collection. This will return the highest high or lowest low for the entire bar collection. The second overload will allow you to limit the range that is evaluated.

The sample code below will find the highest high and lowest low for the last 10 bars.

C#
    public override void NewSymbolBar(Symbol symbol, BarData bar)
    {
        // Get our bar collection for this symbol
        List<BarData> bars = SystemData.BarCollections[symbol];

        // Make sure we have at least bars
        if (bars.Count > 10)
        {
            double highestHigh = BarUtils.HighestHigh(bars, bars.Count - 
				11, 10);
            double lowestLow = BarUtils.LowestLow(bars, bars.Count - 
				11, 10);
        }
        //    This line of code runs the actions you have set up in in the Project Form
        Actions.RunActions(symbol);
    }

VB.NET
Public Overloads Overrides Sub NewSymbolBar(ByVal symbol As Symbol, ByVal bar As BarData)
    ' Get our bar collection for this symbol
    Dim bars As List(Of BarData) = SystemData.BarCollections(symbol)

    ' Make sure we have at least bars
    If bars.Count > 10 Then
        Dim highestHigh As Double = BarUtils.HighestHigh(bars, bars.Count - 
			11, 10)
        Dim lowestLow As Double = BarUtils.LowestLow(bars, bars.Count - 
			11, 10)
    End If
    '    This line of code runs the actions you have set up in in the Project Form
    Actions.RunActions(symbol)
End Sub

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Getting previous bars

Getting information about previous bars is often a requirement. NewSymbolBar only contains the current bar, but it is possible to get the entire bar collection as it currently exists.

Note: RightEdge does not allow looking forward. If you're running a simulation, your system will only have access to bars that have already been made available.

The sample code below demonstrates accessing the entire bar collection.

C#
    public override void NewSymbolBar(Symbol symbol, BarData bar)
    {
        // Get our bar collection for this symbol
        List<BarData> bars = SystemData.BarCollections[symbol];

        // Make sure we have at least 2 bars
        if (bars.Count > 2)
        {
            // Let's get yesterday's close
            double yesterdaysClose = bars[bars.Count - 2].Close;
            double difference = bar.Close - yesterdaysClose;
        }
        //    This line of code runs the actions you have set up in in the Project Form
        Actions.RunActions(symbol);
    }

VB.NET
Public Overloads Overrides Sub NewSymbolBar(ByVal symbol As Symbol, ByVal bar As BarData)
    ' Get our bar collection for this symbol
    Dim bars As List(Of BarData) = SystemData.BarCollections(symbol)

    ' Make sure we have at least 2 bars
    If bars.Count > 2 Then
        ' Let's get yesterday's close
        Dim yesterdaysClose As Double = bars(bars.Count - 2).Close
        Dim difference As Double = bar.Close - yesterdaysClose
    End If
    '    This line of code runs the actions you have set up in in the Project Form
    Actions.RunActions(symbol)
End Sub

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Receiving and handling tick data

When a system is first created, there are two overrides that are already handled for you. These are Startup() and NewSymbolBar(). However, there is one more override that is available and it is used for processing data at the tick level.

NewTick

The following code snippet shows how to override NewTick.

C#
    public override void NewTick(Symbol symbol, BarData bar, TickData tick)
    {
        // We've received a tick.  The BarData parameter contains the most
        // current "partial bar".  A partial bar is what currently exists in
        // the specified timeframe.

        // The TickData structure contains the actual tick.  Inspect the
        // tick.tickType member to determine exactly what value is associated
        // with this particular tick.
        
    }

VB.NET
Public Overloads Overrides Sub NewTick(ByVal symbol As Symbol, ByVal bar As BarData,
                                       ByVal tick As TickData)
    ' We've received a tick.  The BarData parameter contains the most
    ' current "partial bar".  A partial bar is what currently exists in
    ' the specified timeframe.

    ' The TickData structure contains the actual tick.  Inspect the
    ' tick.tickType member to determine exactly what value is associated
    ' with this particular tick.

End Sub

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Adding to an existing position (position pyramiding)

This section covers both adding and removing shares or contracts from an existing position. The key functions that make this happen are AddToPosition and RemoveFromPosition. Both functions can be found in the PositionManager class.

The code below will add to an existing position if it has been open for more than 10 bars. It will then add 10 shares. Then it will remove half the position.

C#
public override void NewSymbolBar(Symbol symbol, BarData bar)
{
    List<Position> positions = PositionManager.GetOpenPositions(symbol);

    foreach(Position position in positions)
    {
        TimeSpan ts = bar.PriceDateTime - position.OpenDate;

        if (ts.Days > 10 && position.Trades.Count == 1)
        {
            // If this position has been open for more than 10 days
            // and I only have one trade, I want to add to it.
            PositionManager.AddToPosition(position.PosID, 10, OrderType.Market, 0, "Scaling up");

            // If this position has been open for more than 10 day
            // and I only have one trade, I want to close out half of it
            long shares = position.CurStats.CurSize;
            shares /= 2;
            PositionManager.RemoveFromPosition(position.PosID, (uint)shares, OrderType.Market,
                                                  shares, "Scaling down");
        }
    }

    // This line of code runs the actions you have set up in in the Project Form
    Actions.RunActions(symbol);
}

VB.NET
Public Overloads Overrides Sub NewSymbolBar(ByVal symbol As Symbol, ByVal bar As BarData)
    Dim positions As List(Of Position) = PositionManager.GetOpenPositions(symbol)

    For Each position As Position In positions
        Dim ts As TimeSpan = bar.PriceDateTime - position.OpenDate

        If ts.Days > 10 AndAlso position.Trades.Count = 1 Then
            ' If this position has been open for more than 10 days
            ' and I only have one trade, I want to add to it.
            PositionManager.AddToPosition(position.PosID, 10, OrderType.Market, 0, "Scaling up")

            ' If this position has been open for more than 10 day
            ' and I only have one trade, I want to close out half of it
            Dim shares As Long = position.CurStats.CurSize
            shares /= 2
            PositionManager.RemoveFromPosition(position.PosID, CInt(shares), OrderType.Market,
                                                    shares, "Scaling down")

        End If
    Next

    ' This line of code runs the actions you have set up in in the Project Form
    Actions.RunActions(symbol)
End Sub

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