RightEdge Forums / General / Plugin Development

How to use custom indicator in another custom indicator? Need sample.

JoeChangSi — Tue, 13 Dec 2011 15:47:09 GMT

I have my own custom indicator, e.g. Indicator_slave, which I use in my second custom indicator, e.g. Indicator_master.
In CalcNewValue() method of Indicator_master I'd like do get value of Indicator_slave on the same Index. But I always have value of Indicator_slave for Index = 0, only.

My samples in attachment. Please correct my samples or get yours.
Thanks.

ServiceEvent not in build 36 HistoricalDataRetrieval Samples

dwebber — Wed, 22 Jun 2011 19:53:01 GMT

In build 36, HistoricalDataRetrieval implements IService; however, ServiceEvent is not implemented in the Samples\C#\HistoricalDataRetrieval. I added the following line so that it will build but unsure if there isn't more to the intended implementation:

public event EventHandler<ServiceEventArgs> ServiceEvent;

Please advise.

Thanks, Duane

When would the memeber functions of IService and ITickRetrival be invoked?

ssdarvin — Thu, 15 Dec 2011 09:24:29 GMT

When we realize a real-time data retrieval, we are instantiating interface IService and ITickRetrival. There are several memeber functions would be invoked by RE. For example, RE may call Initialize first, than, when we start watching some symbols, connect and startwatching may be invoked.

However, I don't know the exact invoking order, and what event would trigger the invoking on a function. I wish you can explain this in detail.

Thank you!

A Question about ServiceEvent

ssdarvin — Tue, 25 Oct 2011 02:14:01 GMT

In build 36 or 37, a ServiceEvent is required as a member of IService in each plugin.

I just added following code:

public event EventHandler<ServiceEventArgs> ServiceEvent;

But I don't know if I should do more implementations about it?

I found the API documents and samples are not updated about this.

Another question, how can I debug plugins?

Trouble implementing k-fold cross validation

alexkopy — Thu, 13 Oct 2011 11:48:17 GMT

I am attempting to implement the [url=http://en.wikipedia.org/wiki/Cross-validation_%28statistics%29#K-fold_cross-validation] k-fold cross validation[/url] in my optimization plugin. The technique calls for separation of the historical data into k parts, running optimization on k-1 parts (with possibly different parameters), combining results and validating against the 1 part that was left out of the optimization runs.

Naturally that requires the ability for the optimization plugin to break the historical data into k intervals (the historical data can't be pre-cut, because the intervals are picked randomly every time). In the optimization plugin we get SystemRunSettings parameter to RunOptimization, that has a TradeStartDate field, which lets me do one half of the splitting, but the class doesn't have a corresponding TradeStopDate field. So I can only run optimizations to the end of historical data set and not on a closed interval within it.

Is there an alternative solution that I can use here?

Plug-in to monitor bars at different frequency than strategy

alexkopy — Wed, 31 Aug 2011 10:08:10 GMT

I am wondering if there is a possibility in RE to have 2 frequencies being fed simultaneously for the same symbols to different parts of the trading system. Meaning that:

* On one hand, the broker will be giving me 1 minute bars and I want to do some processing and minor decision making at that frequency (no trading, this is just a helper, but I would want to check CurrentValues for position here among other things)
* On another hand, the trading strategy proper will work on a far greater time-span (e.g. hour(s), maybe even day bars). Thus, NewBar() in SymbolScriptBase needs to be triggered at this frequency (not minute by minute, I don't want strategies to do aggregation of bars).

Is this currently possible with RE? If yes, how could I achieve this?

Thank you.

Syncronizing Random Data and other Live Data Feeds

dwebber — Fri, 26 Aug 2011 13:42:55 GMT

I’m creating synthetic symbols (uses the random live data feed) which I use to track positions is RE during live trading. I do not need the underlying data for these synthetic symbols but I do need to execute code on certain events such as NewTick. The problem that I’m running into is that when random data and IQFeed (or another live data feed) are connected at the same time, ticks are dropped from IQFeed because the time stamps on the data is out of order. I’ve modified the IQFeed code so that the tick time stamps are based on the current computer time which synchronizes with the random data feed. However, I would much prefer the random data feed to be synchronized with IQFeed than vice versa. Is there a way to accomplish this as the random data feed does not appear as a plugin?

Thanks, Duane

Indicator plugin, please help

henk — Mon, 21 Sep 2009 18:04:06 GMT

I copied the code and followed the instructions in the RE helpfile re "Creating an Indicator". In C# I get the following error messages. Please help.

Reference added to RightEdge.Common:

Access Other Symbols for Indicator

dwebber — Fri, 24 Dec 2010 20:18:58 GMT

Is there a way to access other symbols in the creation of an indicator?

Thanks, Duane

How to deal with snapshot data?

ssdarvin — Sat, 16 Jul 2011 22:08:14 GMT

Hi, everybody.

I'm developing RightEdge plugins for Chinese Stock and Future Markets. Unfortunately, there are many differences between Chinese Markests and West Markests.

For example, most Chinese Markets just provide snapshot market data. As we know, however, only real tick data is surpported in RightEdge. I'm troubling how snapshot market data could be expressed in RightEdge without lossing market information in depth.

I'm looking forward to your good ideas.

Thanks!

RightEdge OpenECry service plugin not compatible with current OEC API

mike — Sat, 16 Jul 2011 16:21:32 GMT

Hi. I desperately need some help on this.

In my attempts to get live data (of any kind, not just forex) from OEC, I may have found an issue with RE and the OEC plugin. OEC OneLink released a new version of it's API (3.5) and I don't think the OEC plugin and RE work with this version. I discovered this when I tried rewriting the OpenECry plugin just to simply get some live data.

First, I just wanted to make sure I could modify and use a new plugin in RE. So i followed the steps here: http://www.rightedgesystems.com/forums/Topic9847-16-1.aspx . I simply modified the OpenECry project ServiceName() to "Open E-Cry1", built the project and replaced the current RightEdge2010/Plugins/OpenECry.dll with the new one. Then I launched RE and "Service Name" is "Open E-Cry1" as expected. Cool. But still all 0.00 for price data.

So let's use the new OEC API.dll (3.5) and see what happens:

1. The current RE version (build 36) is using OEC API version 3.4.0.0 for it's plugin code -- OEC has released 3.5
2. In the same plugin project "OpenECry", I removed the OLD OEC dll references: API.dll, CommLib.dll and ProtoSharp.Core and added the new ones that OEC is currently using. API.dll 3.5.0.0, CommLib.dll , ProtoSharp.Core
3. Changed ServiceName() to "Open E-Cry2", and build the project successfully.
4. I replaced the RightEdge2010/Plugins/OpenECry.dll with the new OpenECry.dll.
5. Launched RE, Tools>ConfigureServices>New and Open E-Cry2 is not listed. This is as expected, since the RE \Yye Software\RightEdge 2010\Plugins still reference the OEC 3.4 dll's.

What I thought would be a possible solution:

1. Replace the OLD API.dll (3.4), CommLib.dll and ProtoSharp.Core.dll in the current RE installation folder \Yye Software\RightEdge 2010\Plugins to the latest version of the OEC DLL's (3.5).
2. Change a deprecated method. Line 849 in the OpenECry plugin project: Change "oecClient.RequestBars(oecContract, startDate, endDate, interval);" to
"oecClient.RequestBars(oecContract, startDate, endDate, OEC.Data.SubscriptionType.Bar, interval);" note: this overload takes an int for interval, not timespan .. 1 = minute intervals.
3. I run RE, find the new service listing "Open E-Cry2" (as a result of matching DLL's..getting excited), login fine, but still get 0.00's for all data (Forex,Futures whatever).
4. I downloaded the sample API apps from OEC (all C++ though) and was able to retrive FOREX price data, no problem.

So, what do I do now? Is anyone using OEC's API with RE build 36? How did you get live Forex data to show?

Thanks so much for your help!!

-Mike

TWS Order tracking after fill?

dwebber — Mon, 27 Jun 2011 16:07:50 GMT

Is the following expected after a fill?

2011-06-27 13:54:45.8940 n/a 40727 n/a OrderStatusFilled Order ID not currently tracked by TWS plugin.

Thanks, Duane

TWS/IB backtesting broker?

dwebber — Thu, 23 Jun 2011 10:36:10 GMT

Does anyone know if it’s possible to create, or has someone created, a TWS/IB backtesting broker? There are many idiosyncrasies with TWS that cannot be tested at this point except for during live trading hours. I’m unsure if this is possible because the a lot of the interface events are raised on IB’s servers, e.g., updating account information.

Thanks, Duane

result plugin - some trouble

Andrew_en — Mon, 10 Jan 2011 18:11:16 GMT

Hi,

I try to create my own systemresults plugin. I use example from Samples/C#/Systemresults .
I make some minor changes, build it and copy to plugins directory. Unfortunately in RE I don't see it in Tools/Options/SystemResulsts tab.
What I did wrong ?

Andrzej

IQFeed Split Adjusted Backfills

dwebber — Mon, 18 Apr 2011 18:39:44 GMT

IQFeed split adjusts their daily data (but not their intraday) usually on the day after the split. Has the backfilling of previously downloaded data to account for the split already been coded or are modifications to the latest IQFeed plugin needed? Currently, my database is showing non-split adjusted data.

Note, IQFeed uses fields called SplitNumberOne and SplitNumberTwo (not sure if the numbers are spelled) to indicate two splits. Data should include date and split value.

Thanks, Duane

TWSPlugin modification for per account trades

dwebber — Tue, 03 May 2011 22:07:05 GMT

I’m modifying the TWSPlugin for use in an FA account to allow trades to be executed on an account basis (versus groups or profile). The trades are executing in TWS and recognized by RE during a trading session. However, on a system restart, the open orders are not recognized resulting in an exception because Dictionary openOrders count = 0. Which methods need to be modified in order to populate openOrders when starting a live system with existing orders?

Note: I looked at the SetAccountState method in the plugin; however, Positions in BrokerAccountState does not appear to contain all the necessary properties.

Thanks, Duane

Anyone want to build a broker plugin for the TT Fix?

erockenbach — Mon, 18 Apr 2011 15:54:33 GMT

All,

I'm maxed out on time and have a requirment if anyone is interested in building a broker plugin for the Trading Technology Fix adapter.

In a nutshell the plugin should implement the same interfaces as the OEC plugin (no historical). On broker disconnect it needs to attempt to reconnect atleast 5x after a given wait time.

Needs to normalize the symbol so ES is ES and not ESV1 (broker definition) for example to the base system.

Send me an email on a fixed bid or if you already have done a TT Fix and are interested in selling the plugin let me know. eric.rockenbach@gmail.com

Thanks,

Eric

IB StopLoss error/warning

felixtjung — Wed, 30 Mar 2011 04:08:26 GMT

I'm not sure if there's anyone here got same problem, but I got following errors during my system demo.

[code]2 Partial fill: 297111 Total filled: 297111/1297111 AUD/USD Position Manager 3/30/2011 2:44:48 AM
0 Stop Loss order Rejected: IB error/warning code 105: Order being modified does not match original order AUD/USD Position Manager 3/30/2011 2:44:48 AM
1 Unexpected order cancel: StopLoss: 14: Stop Sell AUD/USD @ 1.03 0/297111 - Rejected - StopLoss IB error/warning code 105: Order being modified does not match original order AUD/USD Symbol Script 3/30/2011 2:44:48 AM
2 Partial fill: 1000000 Total filled: 1000000/1297111 AUD/USD Position Manager 3/30/2011 2:45:37 AM
0 Stop Loss order Rejected: IB error/warning code 105: Order being modified does not match original order AUD/USD Position Manager 3/30/2011 2:45:37 AM
1 Unexpected order cancel: StopLoss: 17: Stop Sell AUD/USD @ 1.03 0/297111 - Rejected - StopLoss IB error/warning code 105: Order being modified does not match original order AUD/USD Symbol Script 3/30/2011 2:45:37 AM
[/code]

Does this means the stop loss is being not set at all?

Thanks,
Felix

Get the rolling Sharpe's ratio values

alexkopy — Sun, 20 Mar 2011 17:07:24 GMT

Hi,

I am trying to extend the System Results to include the rolling Sharpe's ratio values. I do not need them graphed, I only need to get the list of all values of Sharpe's ratio during the system execution. The current result only produces the final ratio at the end. I am interested in recording the value either every time it changes (if some generalized event hook is possible) or every time I close any position. I am not sure how to do this, though. Also, must this be integrated as part of the system or is there a way I can make it a generalized plugin, so that systems are not aware of the extra work and when I run them I just get he the list of values in the System Results?

Thanks you.

Advanced Topics

erockenbach — Sun, 10 Oct 2010 02:03:06 GMT

Dear RE staff,

I was about to code a few changes to get the most out of RE and I had a few questions before I began.

Number one I was going to modify the optimization plugin of RE to support multithreading so in other words a thread pool would be used to run through the configuration scenarios through the optimization plugin. I wanted to verify that nothing is setup as a singleton in the core or paperbroker code that would prevent this from working properly.

Number two is I notice RE can consume a lot of ram when running longer scenarios my guess is that the bar data from whatever frequency you subscribe to is being stored in memory. I was planning on implementing a flushing mechanism by eleminating bar data no longer needed. Is this a correct statement, is this what is consuming the memory? Also do I need to subsribe to all frequencies and flush them all or only the frequencies that my simulation is set to run on?

Number three is I plan to implement a large SQL 08 R2 cluster and have a considerable amount of RE instances on various machines connecting to RE to pull in the SAME data across different servers. This should be fine I suspect, but what about the fact that when hooked up to a live account I might have 5 instances of RE running on 5 different machines connecting to one cluster for example all trading the same symbol. They will all be trying to write the data they are recieving from the live brokerage account to SQL correct? Will this work? Wouldn't they be trying to right the exact same data five times if there were 5 instances of RE running the same symbol?

Number four.. I haven't really researched this, but is it possible to write plugins for the Win32 RE interface so for example additional menu items, etc where I could provide custom information?

Thanks in advance for the advice!

SQL "Invalid object name 'BarData

jpersaud — Sun, 13 Feb 2011 19:37:18 GMT

After i created and conncted to a Database in SQL , i tried to download data it and i got this error. Ran the test connection and everyting is fine. I dont see any Symbols in the database.

An exception of type System.Data.SqlClient.SqlException was thrown.
Invalid object name 'BarData'.
at System.Data.SqlClient.SqlConnection.OnError(SqlException exception, Boolean breakConnection)
at System.Data.SqlClient.SqlInternalConnection.OnError(SqlException exception, Boolean breakConnection)
at System.Data.SqlClient.TdsParser.ThrowExceptionAndWarning(TdsParserStateObject stateObj)
at System.Data.SqlClient.TdsParser.Run(RunBehavior runBehavior, SqlCommand cmdHandler, SqlDataReader dataStream, BulkCopySimpleResultSet bulkCopyHandler, TdsParserStateObject stateObj)
at System.Data.SqlClient.SqlDataReader.ConsumeMetaData()
at System.Data.SqlClient.SqlDataReader.get_MetaData()
at System.Data.SqlClient.SqlCommand.FinishExecuteReader(SqlDataReader ds, RunBehavior runBehavior, String resetOptionsString)
at System.Data.SqlClient.SqlCommand.RunExecuteReaderTds(CommandBehavior cmdBehavior, RunBehavior runBehavior, Boolean returnStream, Boolean async)
at System.Data.SqlClient.SqlCommand.RunExecuteReader(CommandBehavior cmdBehavior, RunBehavior runBehavior, Boolean returnStream, String method, DbAsyncResult result)
at System.Data.SqlClient.SqlCommand.RunExecuteReader(CommandBehavior cmdBehavior, RunBehavior runBehavior, Boolean returnStream, String method)
at System.Data.SqlClient.SqlCommand.ExecuteReader(CommandBehavior behavior, String method)
at System.Data.SqlClient.SqlCommand.ExecuteReader()
at RightEdge.DataStorage.SQLServerStorage.DoLoadBars(String symbolId, DateTime startDateTime, DateTime endDateTime, Int32 maxLoadBars, Boolean loadFromEnd)
at RightEdge.DataStorage.SQLServerStorage.LoadBars(SymbolFreq symbol, DateTime startDateTime, DateTime endDateTime, Int32 maxLoadBars, Boolean loadFromEnd)
at RightEdge.Common.OldDataStoreWrapper.x27716114a68ffa6b.Load(DateTime start, DateTime end, Int64 maxItems, Boolean loadFromEnd)
at RightEdge.Common.DataStorageUtil.GetLastBarDate(IDataStore storage, SymbolFreq symbol)
at RightEdge.xd509be1670bd46b3.x531d93f037fc81d1(Dictionary`2 x273c212ea6c4689b)

Can you use RightEdge with the Order2Go api used by DBFX / FXCM?

sjcann — Mon, 08 Feb 2010 05:12:48 GMT

Does anyone know or has anyone managed to interface RightEdge with the Order2Go api used by the FXCM and DBFX (Deutsche Bank) trading platforms?

The Order2Go api provides a DDE plugin and I would ideally like to use that to get realtime tick level data into RightEdge.

I have searched the forum and couldn't see anything other than a post from 2006 which said that RightEdge might interface with FXCM at some point in the future.

Any help is much appreciated!

Optimization Farm

erockenbach — Wed, 05 Jan 2011 18:50:17 GMT

RE,

I'm attempting to run optimization scenarios outside of the RE shell and thought from the class files that this was achievable. There are many reasons one might want to do this such as creating a optimization farm where you store the jobs in a db/queue and have a windows services pick up the jobs and deliver it's status back to a centralized point for larger jobs. I'm familiar with starting RE from command line, etc through params and this is not what I want... very clunky for my needs.

Here is what I have tried thus far.

1. Serializing the SystemRunSettings object into a byte array and storing it in the db (this works)

2. From a seperate WPF application deserialize the bytes back into a SystemRunSettings object and bind a TimeFrequency object. (this works)

3. Instantiate a modified DefaultOptimizationPlugin from WPF (this works)

4. Attempt to call down to RunSystem (from RunOptimization) with my WPF.exe as my shell (this fails)

In debug I get an object reference not set to an instance of an obejct in the base (OptimizationPlugin) class when calling RunSystem(settings, callback) from OUTSIDE the RE shell. I've even tried placing the wpf .exe into the plugin bin and also into the directory path where RightEdge.exe lives to no avail. The SystemRunSettings object is fully populated after deserialization with the SymbolList, Frequency, SystemParameters, SimulationDates, AccountValue, etc. When I try to run it INSIDE the RE shell from deserialization of bytes from the db it works.

If you have a valid license agreement I don't understand why this isn't possible. If this can be done anyway WITHOUT using the RE shell please let me know.

I've gotten as much as I can out of the RE optimization plugin and I just don't like the fact that I need an interface at all to run jobs... it seems pointless when you have a 10 server farm, etc.

Thanks in advance.

Management Fees and Performance Fees

diabolischGut — Tue, 19 Oct 2010 08:46:36 GMT

I would like to run a backtest which includes management fees (2% of account value every year) and performance fees (if we are on a equity high we have a withdraw of 20% of the gains).
I tried to do it with the withdraw from the ISimBroker method but this does not seem to work.
Is this possible in the plugin? Any suggestions?

Thank you

New Frequency Plugin Source Code

Hocki101 — Wed, 20 Oct 2010 15:00:45 GMT

Can you please post the latest source code for the IFrequencyGenerator. I saw that it changed in Build 23. If there are any other changes since you posted the TimeFrequency : FrequencyPlugin source code (5/11/2009) can you also include these so I can create a custom (sub-minute) frequency plugin.

Thank you,

Brian

OptimizationSettings from file

erockenbach — Mon, 18 Oct 2010 14:45:41 GMT

I'm doing some work in the optimization plugin and I was able to multithread the results, next step was to have one primary dispatch point that would kick off optimization jobs across a Right Edge server farm. For this I figured loading each RE instance from a file that the dispatch agent places on each machine would be the best solution. Do you have any example of the xml/file format for the LoadOptimizationSettingsFromFile in the OmptimizationPlugin? Also is there a way to modify the Optimization plugin UI?

Thanks,

Eric

PositionManager.Load() and PositionManager.Save()

diabolischGut — Wed, 13 Oct 2010 09:20:43 GMT

I found out that you have since Build23 implement 2 new methods in the PositionManager SaveOpenPositions() and LoadOpenPositions(). I tried the save method and it works fine. I also tried the load method but this does not seem to work. Is this function not implemented yet or do I something wrong?

Thanks in advance.

Custom Broker Plugin (Account Value & Order Help Needed)

erockenbach — Thu, 07 Oct 2010 22:52:26 GMT

Two questions wrapping up a custom broker interface and since it the first one I've completed I'm stumbling on two issues.

1. Account details such as account value, equity, etc aren't being set from brokerage even though I'm implementing the following methods.

GetShortedCash() GetBuyingPower() GetMargin() and SetAccountState() with brokeroverride set to true... after values are set I'm still getting the RE configuration for the account value from the system data (SystemData.AccountValue). Obviously I'm missing something here but not sure where.

2. My orders successfully move from Pending to Open by triggering an OrderUpdated event along with adding a fill to the order itself, but how do I trigger a close to an open order back to RE and the details about the close price?

I'm in build 25.

Thanks in advace,

Eric Rockenbach

SetAccountState

Freolad — Thu, 18 Dec 2008 10:08:38 GMT

I'm working on a broker plugin and looking to get order/fills/position syncing working via SetAccountState. I'm attempting to reconcile the state of any orders + fills at the broker with the state in RE such that at the end of the syncing, RE matches the broker state. What I've implemented so far is:

1. Obtain orders + fills + positions from broker.
2. Go through all RE orders and update them based upon the corresponding state at the broker.
3. If there are additional orders / fills at the broker, add them to the PendingOrders collection in BrokerAccountState.
4. Set BrokerAccountState.BrokerOverride = true

I've stepped through the code in the debugger and all seems to be going well in SetAccountState. Except, after returning from the call to the broker plugin, one of either two things occur:

1. An exception is thrown by RE and the live strategy is stopped:

[font="Courier New"]An exception of type System.Collections.Generic.KeyNotFoundException was thrown.
The given key was not present in the dictionary.
at System.ThrowHelper.ThrowKeyNotFoundException()
at System.Collections.Generic.Dictionary`2.get_Item(TKey key)
at RightEdge.Common.SystemStatistics.UpdateStats(BarStatistic stats, DateTime dateTime, Dictionary`2 prices, IEnumerable`1 openPositions, IAccountInfo accountInfo, Dictionary`2 positionValues)
at RightEdge.Common.SystemStatistics.UpdateStats(BarStatistic stats, DateTime dateTime, Dictionary`2 prices, IEnumerable`1 openPositions, IAccountInfo accountInfo)
at RightEdge.Common.SystemStatistics.NewBar(NewBarInfo info, IEnumerable`1 openPositions, IAccountInfo accountInfo)
at RightEdge.Common.BaseSystemHistory.SimNewBar(NewBarInfo info)
at RightEdge.Common.SystemData.x56e784a497b3cb60(NewBarInfo x8d3f74e5f925679c)
at RightEdge.Common.Internal.SystemRunner.NewBar(Dictionary`2 bars)
at RightEdge.Shared.SystemWrapper.NewBar(Dictionary`2 bars)
at RightEdge.Shared.SystemWrapper.NewBar(Dictionary`2 bars)
at RightEdge.Shared.TradingModuleWrapper.NewBar(Dictionary`2 bars)
at RightEdge.LiveSystemwindow.x2e01f099ee7feedb(Dictionary`2 xd3a52115666f4605)[/font]

2. Or alternately, if I try to start the Live strategy again, it does start up successfully but no pending orders or open positions are displayed in the Live System tab.

Stopping and starting the Live strategy toggles between the two states above. Could someone offer some suggestions / tips? Is it something I'm doing wrong?

As an additional curiosity, while debugging the above, I commented out all my code in SetAccountState and attempted to restart a Live Strategy that previously had submitted some orders. I elected to select all the previously open positions. When I did so, RE threw this exception:

[font="Courier New"]Could not convert from NZD to USD for date 1/01/0001 12:00:00 AM.

at RightEdge.Common.ReturnCode.ThrowFailure()
at RightEdge.Common.PositionInfo.GetCloseTrade(Double price, DateTime time, IAccountInfo accountInfo, PositionStats stats)
at RightEdge.Common.PositionInfo.GetUnrealizedProfit(PositionStats stats, Double currentPrice, IAccountInfo accountInfo)
at RightEdge.Common.SystemStatistics.UpdateStats(BarStatistic stats, DateTime dateTime, Dictionary`2 prices, IEnumerable`1 openPositions, IAccountInfo accountInfo, Dictionary`2 positionValues)
at RightEdge.Common.SystemStatistics.UpdateStats(BarStatistic stats, DateTime dateTime, Dictionary`2 prices, IEnumerable`1 openPositions, IAccountInfo accountInfo)
at RightEdge.Common.SystemStatistics.SetExistingPositions(IEnumerable`1 openPositions, IAccountInfo accountInfo)
at RightEdge.Common.SystemData.xb3c7e5b465e8f0f3(PortfolioXml x839850fad88ff58d)
at RightEdge.Common.SystemData..ctor(SystemDataCreationSettings settings)
at RightEdge.Shared.SystemWrapper.CreateNewSystem(SystemRunData data)
at RightEdge.Shared.SystemWrapper.RunSystem(DateTime start, String filename, ServiceFactory brokerFactory)
at RightEdge.Shared.SystemWrapper.RunSystem(DateTime start, String filename, ServiceFactory brokerFactory)
at RightEdge.Shared.TradingModuleWrapper.RunSystem(SystemDataCreationSettings settings, Dictionary`2 historicalData, SystemRunInfo dndInfo, ServiceAppDomainFactory brokerFactoryFactory)
at RightEdge.SystemProgress.InitAndRunSystem()[/font]

Any attempt to restart the Live Strategy and accept the previously submitted orders resulted in this exception and the strategy being stopped. The only way to start it up was to uncheck them all. But then I can't sync then via the broker SetAccountState either. So at the moment, if a live strategy stops, it won't pick up where it left off. But worse, I'll have potentially open positions hanging around that my strategy won't know about.

On a whim, I took a look at the LiveOpenPositions.xml document in my strategy folder. There's a lot of info in there but I notice that all the ExpirationDates for the positions are set to 0001-01-01. Is this a coincidence? This is the same date as was throw in the exception above. I'm not sure where this date is coming from.

Can anyone help with any of the above? Happy to provide more info. Thanks.

Source code for RightEdge service plugins available

dplaisted — Thu, 29 Oct 2009 13:06:41 GMT

We are happy to announce that we are planning to make the source code for all of our service plugins available. This will provide real-world examples of how to write broker and data provider plugins, as well as allowing users to modify the code for themselves as necessary.

Currently, we have released the source to the data storage plugins, and the Interactive Brokers TWS, IQFeed, and Open E Cry plugins. The source code is included in the RightEdge installation under the RightEdgePlugins folder in the RightEdge samples. There is a shortcut to the RightEdge samples in the RightEdge program group in the start menu.

How to modify a plugin, build it, and use it in RightEdge

Create a copy of the RightEdgePlugins folder. This is so that when you install a new build of RightEdge it won't overwrite the changes you made, and so you will still have the original source code available to refer to.
From the copied folder you created, open the RightEdgePlugins solution in Visual Studio.
Build the solution. If there are errors, it is likely because Common.dll and/or RightEdge.Shared.dll aren't being found. Add the correct references in Visual studio, or copy these files from the RightEdge installation directory to the folder for the projects that are failing to build.
Modify the assembly name for the plugin you want to modify. This will change the filename of the DLL that is produced so you can have the original version and your customized version both in the RightEdge plugins directory. To change the assembly name, right click on the project node in the solution explorer and go to the project properties.
Modify the service name or plugin display name. This will let you distinguish your plugin from the default version of the plugin when selecting which plugin to use in RightEdge. For IService plugins, change the return value for the ServiceName() method. For data storage and optimization plugins, change the value in the DisplayName attribute before the plugin class (in the BinaryDataStore.cs file for the Local Data Store). You can also change the Description attribute to include more information about your plugin.
If there are other plugins in the same project that you don't want to modify, remove those source files from the project. For example, the DataStorage project has the binary data store plugin, SQL Server plugin, and a Jet data storage plugin. If you just want to customize the binary data store, you should remove the other two plugins from the project so you don't have duplicate versions of them showing up in RightEdge.
Make the changes you want to the plugin code to customize its behavior.
Build your modified plugin, and copy the output DLL to the Plugins folder under the RightEdge installation directory. When you build the project, the DLL will be created under bin\Debug\Plugins or bin\Release\Plugins.
Start RightEdge, and start using the plugin. For service plugins, you will need to create a new service corresponding to your modified plugin, and then set one or more watchlist folders to use the new service. For data storage plugins, you will need to choose the new plugin in the RightEdge options.

Let us know if you run into any problems.

The source code is also available at [url=http://github.com]github[/url], an online source control service. Most people won't need to worry about github, but occasionally we will update the source code there before we can release a new build of RightEdge, and if you make changes to one of the plugins that you would like us to consider incorporating back into the official versions, github has features that help with this. The project webpage is [url=http://github.com/dsplaisted/RightEdgePlugins]http://github.com/dsplaisted/RightEdgePlugins[/url]. PLEASE NOTE: The github projects are no longer generally kept up to date, since it's much easier for most people to use the source code that is installed with RightEdge, and because updating the github projects is a manual process while updating the code installed with RightEdge happens automatically. If you want to use the githab versions feel free to ask us to update them with the latest source.

Thanks,
Daniel

Working with Tick Data

DTrader — Thu, 02 Sep 2010 14:08:01 GMT

Away for a bit (market got busy!). I'm back with a few new questions.

I'm still trying to find a workaround to supporting my 1-second bars.

I've written a custom database plugin that will read my 1-second bars and convert each into a tickdata structure, but I can't seem to find any method of displaying a list of historical tick data (List) on a chart. Whenever I request historical bars, the only choices I have are to retrieve time-based bars (and of course 1-second is not an option). I see that I can define a custom frequency (eg. 1 tick), but I don't understand how to display it on a chart. And if I cannot display it on a chart, how can I trigger my symbolScript to act on a new tick? (two separate questions?).

Problem with compiled IQFeed with live data on more than 10 stocks

Steve2008 — Thu, 19 Aug 2010 13:51:55 GMT

I have run into a problem with the IQFeed plugin that I can reproduce when I compile the unaltered version of the IQFeed source code supplied with build 21, and use the resulting DLL. This problem does not occur when I use the original DLL.

If I start DTN IQ prior to RightEdge, it starts IQFeed, and RE doesn't have to. When I do this, the new DLL works normally for live data. However, when I let RE start IQFeed, in watch lists of more than 10 stocks, all the stocks appear in the live data display, but only the first 10 get populated with live data; the rest have all zeroes in all their columns.

The original DLL, which I saved, works normally whether or not it has to start IQFeed.

The new DLL is 34.0 Kb; the original is 34.5. I don't know why.

I am using Visual C# Express 2008. To create my IQFeed project, I copied from the RE samples the IQFeed folder into my Projects folder, and also copied ImportCommon.targets into the Projects folder after the compiler asked for it.

I haven't set the output to automatically go to the RightEdge 2010 Plugins folder and have been copying the DLL manually from my Release folder. In addition to the DLL, the compiler creates 4 other files not in the RE distribution, such as IQFeed.pdb. Copying these files into the Plugins folder doesn't seem to change anything.

I discovered this problem after I put a market hours filter in the historical data code; this works fine. As noted above, the problem is reproduceable with the unaltered IQFeed plugin code.

Can I run TWS as broker, another plugin as Data Provider

DTrader — Tue, 03 Aug 2010 16:27:38 GMT

I'm looking into coding a data provider plugin for RE to interface with my TikFactory/Nanex data provider classes. supporting the interfaces looks fairly straightforward.

Simple question though: if I develop a data provider plugin, is it going to be able to live nicely with the TWS plugin; or is TWS always going to want to provide the data if it is connected?

trouble with SaveTick(string List )

DTrader — Thu, 15 Jul 2010 12:22:43 GMT

I'm wrapping the RE LinqToSqlServer and calling into the public method SaveTick(string Symbol, List tickDataList). I have a valid list of valid TickData items I'm sending to the method. The behavior is that the symbols get into the dataStore, but the tickdata do not.

Any clues?

The local variables look thus:

Symbol "MfBBAwm" string
- tickDataList Count = 60 System.Collections.Generic.List
+ [0] {Trade: 1 @ 125, 6/7/2010 12:00:00 PM} RightEdge.Common.TickData
+ [1] {Trade: 1 @ 125, 6/7/2010 12:00:01 PM} RightEdge.Common.TickData
+ [2] {Trade: 1 @ 125, 6/7/2010 12:00:02 PM} RightEdge.Common.TickData
+ [3] {Trade: 1 @ 125, 6/7/2010 12:00:03 PM} RightEdge.Common.TickData
+ [4] {Trade: 1 @ 125, 6/7/2010 12:00:04 PM} RightEdge.Common.TickData
...

nice ToString() use btw.

Example of Frequency Plugin

blousetrader — Tue, 01 Jun 2010 14:25:53 GMT

Has anyone developed a Frequency Plugin they'd be willing to share? I'd like to create one to build synthetic bars but quite frankly I have
no idea where to start - an example would be great.

Logging from bar data plugin

gigi — Sun, 02 May 2010 12:23:33 GMT

Is it possible to write to the output window from a IBarDataRetrieval plugin?

I've tried calling in RetrieveData:[code]new RightEdge.Common.SystemOutput(OutputSeverityLevel.Informational, "testing 1.2.3", "Module");
new SystemData().Output.Add(OutputSeverityLevel.Informational, "testing 1.2.3");[/code]but it doesn't work (no error, but nothing appears in the output pane).

Documentation for 2010

Zora — Fri, 23 Apr 2010 21:17:26 GMT

Are your planning to update the documentation for 2010 version? For example, the API Reference does not have a description of the IBarDataStorage interface. I can get to it indirectly through the User Manual, but the definition of the IBarDataStorage.LoadBars method there has 3 parameters and is still different from what is actually required by the interface itself, which has 5 parameters.
Thank you in advance.

IO Exception - TWS

dwebber — Wed, 14 Apr 2010 12:11:21 GMT

I received the following exception using the RightEdgePlugins-ab646c8 downloaded code and RE2010 build 15. Both VS and RE exception messages are shown. When reviewing the live system, ticker data had was not being received even during regular trading hours. Note, the live system was started the night before during non-trading hours.

Restarting TWS resolved the issue; however, this is not ideal because the live system is always started the night before.

Please advise.

Thanks, Duane

From VS
System.IO.IOException was unhandled by user code
Message="Unable to write data to the transport connection: An established connection was aborted by the software in your host machine."
Source="System"
StackTrace:
at System.Net.Sockets.NetworkStream.Write(Byte[] buffer, Int32 offset, Int32 size)
at System.IO.BinaryWriter.Write(Byte[] buffer)
at Krs.Ats.IBNet.IBClient.send(String str)
at Krs.Ats.IBNet.IBClient.send(Int32 val)
at Krs.Ats.IBNet.IBClient.CancelMarketData(Int32 tickerId)
at RightEdge.TWSCSharpPlugin.TWSPlugin.SetWatchedSymbols(List`1 symbols)
at RightEdge.Shared.TickWrapper.SetWatchedSymbols(List`1 symbols)
InnerException: System.Net.Sockets.SocketException
Message="An established connection was aborted by the software in your host machine"
Source="System"
ErrorCode=10053
NativeErrorCode=10053
StackTrace:
at System.Net.Sockets.Socket.Send(Byte[] buffer, Int32 offset, Int32 size, SocketFlags socketFlags)
at System.Net.Sockets.NetworkStream.Write(Byte[] buffer, Int32 offset, Int32 size)
InnerException:

From RE
The service plugin RightEdge.TWSCSharpPlugin.TWSPlugin threw an exception of type System.IO.IOException
at RightEdge.Shared.ServiceWrapper.DoError(Exception e)
at RightEdge.Shared.TickWrapper.SetWatchedSymbols(List`1 symbols)
at RightEdge.Shared.LiveDataManager.RemoveSymbol(Symbol symbol)
at RightEdge.Shared.LiveDataManager.StopService(String serviceName)
at RightEdge.Shared.LiveDataManager.StopAll()
at RightEdge.xfb471916970b0c9e.StopAll()
at RightEdge.xf266856f631ec016.x3c9d53e9e6cef5ab()
at RightEdge.xf266856f631ec016.x25c6fd65e4bb70a3(Object xe0292b9ed559da7d, EventArgs xfbf34718e704c6bc)

Inner Exception:
An exception of type System.IO.IOException was thrown.
Unable to write data to the transport connection: An established connection was aborted by the software in your host machine.
at System.Net.Sockets.NetworkStream.Write(Byte[] buffer, Int32 offset, Int32 size)
at System.IO.BinaryWriter.Write(Byte[] buffer)
at Krs.Ats.IBNet.IBClient.send(String str)
at Krs.Ats.IBNet.IBClient.send(Int32 val)
at Krs.Ats.IBNet.IBClient.CancelMarketData(Int32 tickerId)
at RightEdge.TWSCSharpPlugin.TWSPlugin.SetWatchedSymbols(List`1 symbols)
at RightEdge.Shared.TickWrapper.SetWatchedSymbols(List`1 symbols)

Inner Exception:
An exception of type System.Net.Sockets.SocketException was thrown.
An established connection was aborted by the software in your host machine
at System.Net.Sockets.Socket.Send(Byte[] buffer, Int32 offset, Int32 size, SocketFlags socketFlags)
at System.Net.Sockets.NetworkStream.Write(Byte[] buffer, Int32 offset, Int32 size)

IQFeed plugin question

Zora — Thu, 08 Apr 2010 11:45:26 GMT

Hello,
I am using the IQFeed plugin to manually connect to the data provider and download live ticks. What are the correct steps if I want to update the list of symbols being watched? When I first run the code, I do the following:

iqfs.SetWatchedSymbols(symList);
iqfs.Connect(connectOptions);
iqfs.StartWatching();

Now, at some later point, the list of symbols I want to watch has changed. Do I need to disconnect from IQFeed to update the list? Is it just enough to call StopWatching(), call SetWatchedSymbols with a new list and resume watching? What is the exact sequence of function calls I need to make to do this? Thank you!

Where is the OEC Plugin?

eong9 — Mon, 15 Mar 2010 22:05:35 GMT

Is the Open E Cry live trading plugin still being supported in RE2010? If not, can you release the source code?