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RE: custom frequency plugin/generator questions

roedies — Fri, 03 Jul 2009 04:44:30 GMT

Thanks for the information. I'll have another go at it, but maybe better to wait for RE to include it as standard feature.

Case closed.

RE: custom frequency plugin/generator questions

dplaisted — Thu, 02 Jul 2009 01:33:52 GMT

Sorry for the confusion, but the "pluginform" is really just for testing/diagnostics and doesn't actually do anything useful. In the future you will be able to specify a timespan of less than one minute in the system properties, but for now you will need to do it via code as Mark mentioned.

Thanks,
Daniel

RE: custom frequency plugin/generator questions

mark0419 — Tue, 30 Jun 2009 18:22:41 GMT

Once you've created your plugin, you'll need to actually instance it in the system code. If you take a look at the Multiple Frequencies section of the document I linked too above, there is a good sample for how to accomplish this.

HTH,
Mark

RE: custom frequency plugin/generator questions

roedies — Tue, 30 Jun 2009 17:04:48 GMT

Thanks Mark for the feedback.

My system is a very simple scalping strategy. I would like to have RE make trading decision every 30 sec instead of every minute. TWS being my standard broker and datafeed. Nowhere in RE can I select any frequency lower than 1 minute. So my symbols /graphs are set to 1 minute bars.

My line of though was to create a Time freg plugin based on seconds (detailed in my attached file above). Startup RE, select in the "Pluginform " my custom plugin, start loading live data from IB into the system. Load my trading system and set the frequency property in the strategy to "Tick". Start live trading.

Result live data is loaded but always aggregated to 1 minute. Verifying the bar data editor gives me still 1 minute bars.

Selecting in the Pluginform other plug-ins, changing the parameters, saving them and reloading them afterwards always gives me the default initial values. So my idea is that RE is not saving these parameters and certainly is not going though my plug-in even after explicit selection.

Even a breakpoint in my custom time freq plugin is not hit!

Any ideas where to look for resolutoin of this problem?

RE: custom frequency plugin/generator questions

mark0419 — Tue, 30 Jun 2009 15:05:34 GMT

The plugin code looks ok to me. There are a few steps to setup and utilize the custom frequency that must be done in the trading system (see [url=http://www.rightedgesystems.com/forums/FindPost6859.aspx]this post[/url] for details). How are you using the plugin in your system?

Cheers,
Mark

RE: custom frequency plugin/generator questions

roedies — Mon, 29 Jun 2009 16:18:51 GMT

I’m trying to build a timefreq plugin for 15 and/or 30 seconds. I’ve adapted the code of the standard frequency plug-in ( as documented on this thread ). But all the data keeps on getting aggregated in 1 minute buckets.

What did I forgot to do or did wrong..???

More details in attached file.

RE: custom frequency plugin/generator questions

dplaisted — Wed, 20 May 2009 10:34:42 GMT

The plugin settings are stored using .NET XML serialization, which doesn't use constructor arguments. It stores the values in your public properties (the ones with both a getter and setter), and then to deserialize it uses the default constructor and sets those same properties. So all of the options on your plugin should be expressed via public properties with getters and setters.

You should be able to also have constructor overloads if you want for ease of use. However, there is a bug in the current build that causes the exception you saw when you have any non-default constructors. I've fixed it so this will work in the next build. For now you'll have to live with just having a default constructor.

Thanks,
Daniel

RE: custom frequency plugin/generator questions

mark0419 — Wed, 20 May 2009 08:44:26 GMT

I'm getting much closer to what I'm looking for with the frequency plugin. The sample was a tremendous help.

Currently, when attempting to browse the settings with the plugin viewer, i am getting an exception. And the pluginCache.xml contents for the frequency plugin seem very strange. Given these constructor prototypes:

public MonthlyCutoffFrequency();
public MonthlyCutoffFrequency(int cutoff_date, TimeSpan cutoff_time);
public MonthlyCutoffFrequency(DayOfWeek cutoff_day, int cutoff_day_count, TimeSpan cutoff_time);

RE ends up with a tag in the PluginCache.xml for only the cutoff_day and cutoff_day_count. Those two parameters don't make a complete constructor call, as there's no entry for the cutoff_time.

1) Delete PluginCache.xml
2) Start RE
3) Select tools -> plugins
4) click "scan"
5) double-click the frequency plugin and....

An exception of type System.ArgumentNullException was thrown.
Value cannot be null.
Parameter name: s
at System.IO.StringReader..ctor(String s)
at RightEdge.Shared.PluginManagerStub.CreatePlugin(PluginSettings settings)
at RightEdge.Shared.PluginManagerStub.CreatePlugin(PluginSettings settings)
at RightEdge.Shared.PluginManager.CreatePlugin(PluginSettings settings, AppDomain targetDomain)
at RightEdge.Shared.PluginSettingsEditor.ShowSettings(PluginSettings settings)
at RightEdge.PluginForm.xbf215d98614e6c12(Object xe0292b9ed559da7d, EventArgs xfbf34718e704c6bc)
at System.Windows.Forms.Control.OnDoubleClick(EventArgs e)
at System.Windows.Forms.ListBox.WndProc(Message& m)
at System.Windows.Forms.Control.ControlNativewindow.OnMessage(Message& m)
at System.Windows.Forms.Control.ControlNativewindow.WndProc(Message& m)
at System.Windows.Forms.Nativewindow.Callback(IntPtr hWnd, Int32 msg, IntPtr wparam, IntPtr lparam)

After the exception the PluginCache.xml then contains the entry for the frequency plugin that's in the attached file.

RE: custom frequency plugin/generator questions

mark0419 — Mon, 11 May 2009 04:29:25 GMT

Hi Daniel,

Thanks very much for the example, I will be taking a thorough look at it. I can already see some changes I'll need to make and the BarGenerator looks quite interesting. I was trying to do all that work manually, what a great convenience class! :D

I am writing a time-based frequency (although it is not a standard one). The resulting interval I'm trying to calculating is approximately "1 month" in length.

In the second post, I was referring to the trading system property "Tick-level simulation" (in the "Backtesting" category). The setting CreateTicksFromBars was left alone.

Cheers!
Mark

RE: custom frequency plugin/generator questions

dplaisted — Mon, 11 May 2009 01:43:26 GMT

In response to your second post, what do you mean by tick level vs non tick level sim? Are you talking about the CreateTicksFromBars setting?

If you are using actual tick data, the frequency's ProcessBar method should not be called.

Thanks,
Daniel

RE: custom frequency plugin/generator questions

dplaisted — Mon, 11 May 2009 01:38:21 GMT

TicksWereSent indicates whether ticks were sent during the bar. An example of where this is used is the paper broker. If ticks were already sent for the bar, then it doesn't need to process the open, high, and low values since they were already processed as ticks.

UpdateTime lets the frequency plugin know what the current simulation time is. Time-based plugins will want to raise a new bar event when a given time is passed. However, there is also a tick type of TickType.CurrentTime, so the UpdateTime method is probably redundant.

There is a BarGenerator class which handles the parts of bar aggregation that will be common to most plugins. If you use this class, you won't have to construct a SingleBarEventArgs yourself at all. Here is the current code for our time-based frequency plugin, so you can see how everything works:

[DisplayName("Time-based Bar Frequency")]

[Serializable]

public sealed class TimeFrequency : FrequencyPlugin

{

[Description("Indicates the timespan or period for each bar.")]

[DisplayName("Bar Length")]

public TimeSpan BarLength { get; set; }

public TimeFrequency()

{

BarLength = TimeSpan.FromMinutes(1);

}

public override IFrequencyGenerator CreateFrequencyGenerator()

{

return new TimeFrequencyGenerator(BarLength);

}

public override FrequencyPlugin Clone()

{

TimeFrequency ret = (TimeFrequency)this.MemberwiseClone();

return ret;

}

public override bool Equals(object obj)

{

TimeFrequency other = obj as TimeFrequency;

if (other == null)

return false;

return BarLength == other.BarLength;

}

public override int GetHashCode()

{

return BarLength.GetHashCode();

}

public static DateTime RoundTime(DateTime date, TimeSpan period)

{

DateTime baseTime;

const int days = 60 * 60 * 24;

if (period.TotalDays < 7)

{

baseTime = new DateTime(date.Year, date.Month, date.Day, 0, 0, 0);

}

else if (period.TotalDays < 30)

{

baseTime = new DateTime(date.Year, date.Month, date.Day, 0, 0, 0);

while (baseTime.DayOfWeek != DayOfWeek.Monday)

{

baseTime = baseTime.AddDays(-1);

}

else if (period.TotalDays < 365)

{

baseTime = new DateTime(date.Year, date.Month, 1, 0, 0, 0);

if (period.TotalDays == 30)

{

// Adjust for variable length months

return baseTime;

}

else

{

baseTime = new DateTime(date.Year, 1, 1, 0, 0, 0);

if (period.TotalDays == 365)

{

// Adjust for leap year

return baseTime;

}

while (baseTime.Add(period) <= date)

{

baseTime = baseTime.Add(period);

}

return baseTime;

}

public static DateTime NextRoundedTime(DateTime date, TimeSpan period)

{

DateTime ret = RoundTime(date, period);

TimeSpan toAdd = period;

if (toAdd.TotalDays > 1.0)

{

toAdd = TimeSpan.FromDays(1);

}

while (RoundTime(ret, period) <= date)

{

ret = ret.Add(toAdd);

}

return RoundTime(ret, period);

}

public override string ToString()

{

return BarLength.ToString();

}

private class TimeFrequencyGenerator : IFrequencyGenerator

{

private TimeSpan _barLength;

private BarGenerator _barGenerator;

bool _bGotFirstTime;

public TimeFrequencyGenerator(TimeSpan barLength)

{

_barLength = barLength;

_bGotFirstTime = false;

}

public void Initialize(Symbol symbol, BarConstructionType barConstruction)

{

_barGenerator = new BarGenerator(symbol, barConstruction);

_barGenerator.NewBar += new EventHandler<SingleBarEventArgs>(_barGenerator_NewBar);

_barGenerator.NewTick += new EventHandler<NewTickEventArgs>(_barGenerator_NewTick);

}

public void ProcessTick(TickData tick)

{

UpdateTime(tick.time);

_barGenerator.ProcessTick(tick);

}

public void ProcessBar(SingleBarEventArgs args)

{

if (args.TicksWereSent)

{

UpdateTime(args.BarEndTime);

return;

}

if (args.Bar.BarStartTime < _barGenerator.BarStartTime)

{

throw new RightEdgeError("Bar data error. Received data for " + args.Bar.BarStartTime + " when current time is " +

_barGenerator.BarStartTime);

}

if (!_bGotFirstTime)

{

UpdateTime(args.Bar.BarStartTime);

}

_barGenerator.ProcessBar(args);

UpdateTime(args.BarEndTime);

}

public void UpdateTime(DateTime currentTime)

{

DateTime roundedTime = RoundTime(currentTime, _barLength);

if (!_bGotFirstTime)

{

_barGenerator.SetBarStartTime(roundedTime);

_bGotFirstTime = true;

}

if (roundedTime > _barGenerator.BarStartTime)

{

DateTime barEndTime = NextRoundedTime(_barGenerator.BarStartTime, _barLength);

if (roundedTime < barEndTime)

{

throw new RightEdgeError("Error in time rounding logic");

}

_barGenerator.SendNewBar(barEndTime);

_barGenerator.SetBarStartTime(roundedTime);

}

public event EventHandler<NewTickEventArgs> NewTick;

public event EventHandler<SingleBarEventArgs> NewBar;

void _barGenerator_NewBar(object sender, SingleBarEventArgs e)

{

EventHandler<SingleBarEventArgs> handler = NewBar;

if (handler != null)

{

handler(this, e);

}

void _barGenerator_NewTick(object sender, NewTickEventArgs e)

{

EventHandler<NewTickEventArgs> handler = NewTick;

if (handler != null)

{

handler(this, e);

}

Thanks,
Daniel

RE: custom frequency plugin/generator questions

mark0419 — Fri, 08 May 2009 04:31:48 GMT

I'm at a point now where I'm running the frequency generator in the debugger and I've noticed some things that raised a few more questions.

[quote]test setup :
the system's general frequency is set to 'tick'
no start or end dates, no lead bars
using 15 minte bars with no stored tick data
bar construction set to trades

resulting behavior seen :

for a non tick level sim the ProcessXXX() input from RE was be:
ProcessTick() : a tick with the current time
ProcessBar() : a 15min bar that starts on that 'current time'

for a tick level sim the input from RE was either:

ProcessTick() : a tick with the current time
ProcessBar() : a 15min bar that starts on that 'current time'

or

ProcessTick() : a tick with the current time
for each of the OHLC prices
ProcessTick() : an ask, a bid, and a trade tick
any fired NewTick() events now get delivered to the trading system
ProcessBar() : a 15min bar that starts on that 'current time'

with re only sending the ask, bid, and trade ticks for bars that had a volume > 0[/quote]

I see that re is sending a current time tick to start off each bar. Is this what the UpdateTime() function is/was intended for? Is it being implemented instead of the tick method, or being deprecated in favor of the ticks?

I'm also curious about the ProcessTick() vs ProcessBar() behavior, and the fact that ProcessBar() seems to always be called (even on tick level sims). I don't have access to my raw tick data at the moment (I've had some server crashes that are still under repair), so I can't test in the absence of stored bar data. But would there still be a ProcessBar() call if real tick data was used exclusively?

With bar construction set to trades I think I understand why ticks are only sent for volumes > 0. My guess is that if there's no bar volume, then there's no tradable price and it would be inappropriate to construct synthetic trade ticks. This doesn't really apply to Forex (as all prices are tradable), but I'm guessing it's important to the other asset classes.

The extra delivery of the bar to ProcessBar() seems redundant until you consider the "no synthetic ticks for 0 volume bars" fact. Obviously this call delivers the stored data in order to keep the generator up-to-date.

However the same behavior occurs with bar construction set to Mid. The only difference being, no trade ticks are sent in the synthetic tick series. In this situation it seems to me like it would be safe to create ticks for all the bars, not just when the volume is > 0. This would eliminate the need for any extra ProcessBar() calls. The same could probably apply to the Bid and Ask bar construction types as well.

Thanks,
Mark

custom frequency plugin/generator questions

mark0419 — Thu, 07 May 2009 04:14:49 GMT

I'm working on a custom frequency plugin/generator and have come up against a couple things I can't seem to figure out or find in the API docs.

When creating a SingleBarEventArgs instance there is a boolean constructor argument 'ticks_were_sent'. What is that for? What value should it have?

The IFrequencyGenerator interface defines an UpdateTime member:
void UpdateTime(DateTime currentTime);
There's no docs for this one yet, and I have no clue what it could be for. Any hints?

Thanks,
Mark