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Direct MessagesDate/Time: Thu, 18 Apr 2024 07:48:06 +0000
[Programming Help] - Getting Started w/ Black Box Trading & SC Assumption Verification
View Count: 701
| [2020-03-17 20:38:30] |
| James-FT - Posts: 2 |
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Hello SC Community - I am new to SC and have spent a few hours reviewing online documentation and posts on SC’s site with my newbie account. A lot of great information! Very insightful and much appreciated. I hope I can join in making contributions as well. I realized that the process to get up to speed will take me around 2 – 3 weeks to verify that SC solution design can also support my targeted approach to interacting with the market prior to take the needed time to implement and test. I’m willing to make the time investment, but it would be a more joyful journey if I had some sage advice prior to walking this path from other pioneers… ;-) In attempt to depict my ideal solution architecture, I’ve attached a System Overview.png. As shown in this attached diagram, I am looking to see if I can create a black box trading system that can leverage SC to: 1) Obtain market data (historical and real-time); and 2) Perform Order Management. From impressions on my research to-date, it looks like SC’s market data engine (my term: MDE) obtains, normalizes and caches data in binary files. The chart does data in-memory data aggregation based on chart settings and sends events to any chart implemented study to respond. ==> Question 1: Does the API allow for customizations to sit between the MDE and the Chart? The idea is that a custom solution could directly access MDE’s normalized data to apply custom aggregations, filters and calculations and then feed data to the Chart wherein a custom ACSIL solution could handle events for order management? My current understanding of the SC solution architecture does not provide an option to sit between MDE and the Chart module, but it appears that an indirect path is an option: >>> Market Data<external> -> SC MDE -> SC Chart<Data Feed via ACSIL> ->ACSIL <Custom Code>->Chart <Gets data from ACSIL> <<< ==> Question 2: If I am correct that the answer to Q1 is no, would this above indirect path be an option? Can ACSIL feed another chart to present custom data aggregations, filters and calculations? If yes to Q2, I assume that I can place a custom ACSIL in the 2nd Chart in this example to do prediction analytics and order management. ==> Question 3: Does this approach sound reasonable or is there a better approach that I’m not seeing? Thanks in advance for working through this long post inquiry and multiple questions therein. Responses that correct any misunderstanding in above thoughts would also be appreciated. |
 System Overview.png / V - Attached On 2020-03-17 20:37:03 UTC - Size: 680.31 KB - 236 views |
| [2020-03-17 23:24:43] |
| Flipper - Posts: 65 |
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Hi James Seems like you have some assumptions that don't match the process. Not your linked "System Overview" diagram from my understanding. You may need a second chart if your are wanting to aggregate data in different bar periods but there is so little information its hard to tell. If you want to for example have data in your ASCIL based on data from another chart or instrument have a look at here, Referencing Other Time Frames and Symbols When Using the ACSIL |
| [2020-03-18 06:55:42] |
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What you might be looking for is to be able to create custom chart bars. This is documented here: ACSIL Interface - Custom Chart Bars Looking at your technical diagram what you would really want to use is the DTC server: Data and Trading Communications (DTC) Protocol Server Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-03-18 06:57:02
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| [2020-03-18 19:59:42] |
| James-FT - Posts: 2 |
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Thanks Flipper and Sierra Chart Engineering for your response. I’ll create a proof of concept in the directions kindly suggested.
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