Bridge Robot

[ianj]

On this topic i will go into my Bridge Robot

I have both an external GUI and an upcoming algorithmic strategy engine that i use to trade on Empty4 platforms - these allow me to abstract away from Empty4 as a platform and just use it as an execution platform only. It also means, that with the addition of bridges to other platforms i can trade the same strategy or manual trading on LMAX, cTrader, FIX, Empty4 etc

The GUI/strategy engine accesses the platforms over a very simplistic network socket protocol - its subject to change but for this Robot version it will be the same as i use to access Empty4 currently.

Even if you don't have a use for such a bridge there might be some comms/trade techniques used in here that you might find VERY useful - i am having to work them out myself as no-one seems to be able to help me, so it would be a pity to waste that knowledge

This thread really picks up from the Tick Capture indicator:
http://www.stevehopwoodforex.com/phpBB3 ... 454#p74454

which deals with network connections to the outside world and subscriptions/handling feeds for multiple pairs (spotware don't seem to acknowledge this is possible)

This Robot extends that idea to allow a remote client to create/manage positions - to use cAlgo as an execution engine

I have not started it yet but code will be forthcoming - i will post it on this message when its ready - I have all the essential mechanism i need to make it work now

I will not be providing any actual clients - they are part of my own collection - i MIGHT provide a couple of simplistic java test programs - but don't expect much !

Its might also be possible to use the SpotWare Open API at some time in the future, but at the moment that does not do much - certainly not enough to implement a Bridge

[ianj]

Just to recap, if you read this:
http://ctdn.com/forum/cbot-support/443?page=1#8

spotware support would suggest that you cannot open positions in symbols other than the symbol of the chart in which the robot runs.

This appears to be incorrect - i have repeated the solution here from the capture indicator thread (this time only - don't worry)

Symbol seems to be both a property AND an interface in using cAlgo.API.Internals;

I implemented the Symbol interface and overrode "Code" to return "GBPUSD" but otherwise used the standard Symbol property attributes on a EURUSD chart

- and voila ! A GBPUSD position !

I need to tidy it up to be more general and look for complications but it seems to work

Code: Select all

            mySymbol.Code = "GBPUSD"; 
            Trade.CreateMarketOrder(TradeType.Buy, mySymbol, Volume);
            mySymbol.Code = "EURUSD"; 
            Trade.CreateMarketOrder(TradeType.Buy, mySymbol, Volume);
            mySymbol.Code = "AUDUSD"; 
            Trade.CreateMarketOrder(TradeType.Buy, mySymbol, Volume);

3 positions (EURUSD, GBPUSD, AUDUSD) - one chart/robot (EURUSD)

Next - multi pair feed capture ...

[phil_trade]

Hi

I'm also using an API to trade thru Empty4 with a high level language and sql.

It seems you can acces marketdepth ? Hace you try this ?

Cheers

Philippe

[ianj]

Hi

I'm also using an API to trade thru Empty4 with a high level language and sql.

It seems you can acces marketdepth ? Hace you try this ?

Cheers

Philippe

Yeah no problems - i have been streaming level 2 (price levels) across 30+ pairs for a couple of weeks now. There are generally between 6-15 price levels either side of the best bid/offer, depending on the pair - it varies. generally about 0.1-0.2 pips apart - but again it varies

Here is an example from last week some time - as captured in CSV from a separate process (i capture from an indicator, stream over a socket and store in a separate process)

Code: Select all

2013.08.18 21:00:25.433,icmc,GBPUSD,1.56124/50,1.56123/50,1.56115/100,1.56112/100,1.56101/100,1.56096/100,1.56091/300,1.56086/200,1.56078/500,1.56072/500,1.56067/500,1.56042/500,1.55885/1300,;1.56300/50,1.56301/25,1.56309/25,1.56312/100,1.56320/100,1.56328/200,1.56331/200,1.56336/200,1.56343/300,1.56348/300,1.56349/200,1.56354/300,1.56379/1000,1.56541/1290,
2013.08.18 21:00:26.998,icmc,EURUSD,1.33316/50,1.33315/50,1.33311/100,1.33307/100,1.33306/700,1.33305/500,1.33304/1000,1.33294/500,1.33162/2800,;1.33388/50,1.33389/50,1.33393/100,1.33397/100,1.33398/200,1.33407/1000,1.33408/1000,1.33418/500,1.33444/2800,

They are price levels - not individual orders - with price and size available at that level

I currently run 1 indicator per chart/pair but experiments this morning have suggested i can subscribe to multiple pair feeds in a single indicator/robot

[talkyPip]

can you share sample code for your bridge to use calgo as the engine and send orders to other terminal?

[ianj]

can you share sample code for your bridge to use calgo as the engine and send orders to other terminal?

I don't mind in principle but a few points come to mins:

1. I have not progressed this project any - i have been busy on other things
2. I DO intend to progress it - probably some time soon
3. The API and facilities have DEFINITELY CHANGED - some of the features i understood were not possible but i had managed are now formally possible within the API - this is good as they will likely work reliably and consistently

I need to revisit the API in the coming weeks - if i get something working i am happy to publish at least part of it. I will not, however be publishing any form of general Empty4/Spotware bridge - any system i build will go through an intermediate layer which i will not be able to publish in full

Register for updates to the thread and i'll try to post when i manage some progress

BTW I recently added Bully Pepperstone to my live capture - the L2 looks different to the IC Markets - but they are broadly compatible - it depends on what the L2 is used for i guess. Its pretty expensive to capture 30+ pairs at 500MB per instance - at least over a VPS

[Mocean]

Hi Ian,

looks interesting.

I've been exploring PT3 and looking for a dev to create an LMAX API Bridge Socket - are you interested in some paid work?

PT3 might also interest you, it has a lot of functionality you'd find useful.

We are working on a volume algo, would be good to chat sometime and swap ideas and collaborate.

Skype me if you want to chat some more?
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