Capturing NT trade signals
I am an experienced programmer and have a problem I need to solve. Looking around on the forum its looks like many people have been interested in a similar problem. The problem is how best to get executions out of an NT strategy to be used elsewhere? I can do this from within a strategy, as many people have posted solutions to this. I need to be able to grab executions outside of a strategy, where I do not have access to the strategy code itself. The reason is that I need to notify myself of strategy execution events for strategies I am leasing from other developers. In this case I don't want to bother the developers to change their code, I want to simply capture the execution events.
I have found the file Executions.txt and also the log files. You will see log entries like (I replaced all sensitive numbers with xxxx):
0/28/2011 10:53:54 AM|1|64|Instrument='TF 12-11' Account='Uxxxxxx' Avg price=760.8201 Quantity=1 Market position=Long Operation=Insert Currency=UsDollar
10/28/2011 11:29:49 AM|1|32|Order='xxxxxxx!Vision!OptimusFutures' Name='Buy' New state=PendingSubmit Instrument='6E 12-11' Action=Buy Limit price=0 Stop price=0 Quantity=2 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
10/28/2011 11:29:49 AM|1|32|Order='xxxxxxxxx!Vision!OptimusFutures' Name='Buy' New state=Accepted Instrument='6E 12-11' Action=Buy Limit price=0 Stop price=0 Quantity=2 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
10/28/2011 11:29:49 AM|1|32|Order='xxxxxxx!Vision!OptimusFutures' Name='Buy' New state=Working Instrument='6E 12-11' Action=Buy Limit price=0 Stop price=0 Quantity=2 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
10/28/2011 11:29:49 AM|1|32|Order='xxxxxxxx!Vision!OptimusFutures' Name='Buy' New state=PartFilled Instrument='6E 12-11' Action=Buy Limit price=0 Stop price=0 Quantity=2 Type=Market Filled=1 Fill price=1.4163 Error=NoError Native error=''
10/28/2011 11:29:49 AM|1|16|Execution='xxxxxx:xxxxxxxxx|xxxxxxxxx' Instrument='6E 12-11' Account='xxxxxx!Vision!OptimusFutures' Exchange=Globex Price=1.4163 Quantity=1 Market position=Long Operation=Insert Order='xxxxxxx' Time='10/28/2011 11:29:49 AM'
Given the above, I plan on the following:
1) Create an indicator that can be inserted into the same chart as the strategy.
2) The indicator will therefore have knowledge of the instrument and the account that the strategy is running on through NT calls.
3) The indicator will access the log files whenever they change, and search for "Execution" lines where the "Instrument" matches and the "Account" matches.
4) The indicator will only use new executions, so it will have a date/time of the last execution it found and move forward from there.
5) The indicator will then do something to export the execution information to an external program. In my case I'll be writing the trade data to a mysql database.
The question for NT is, knowing that this is all unsupported, is there any better suggestion or idea for this development?
I have found the file Executions.txt and also the log files. You will see log entries like (I replaced all sensitive numbers with xxxx):
0/28/2011 10:53:54 AM|1|64|Instrument='TF 12-11' Account='Uxxxxxx' Avg price=760.8201 Quantity=1 Market position=Long Operation=Insert Currency=UsDollar
10/28/2011 11:29:49 AM|1|32|Order='xxxxxxx!Vision!OptimusFutures' Name='Buy' New state=PendingSubmit Instrument='6E 12-11' Action=Buy Limit price=0 Stop price=0 Quantity=2 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
10/28/2011 11:29:49 AM|1|32|Order='xxxxxxxxx!Vision!OptimusFutures' Name='Buy' New state=Accepted Instrument='6E 12-11' Action=Buy Limit price=0 Stop price=0 Quantity=2 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
10/28/2011 11:29:49 AM|1|32|Order='xxxxxxx!Vision!OptimusFutures' Name='Buy' New state=Working Instrument='6E 12-11' Action=Buy Limit price=0 Stop price=0 Quantity=2 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
10/28/2011 11:29:49 AM|1|32|Order='xxxxxxxx!Vision!OptimusFutures' Name='Buy' New state=PartFilled Instrument='6E 12-11' Action=Buy Limit price=0 Stop price=0 Quantity=2 Type=Market Filled=1 Fill price=1.4163 Error=NoError Native error=''
10/28/2011 11:29:49 AM|1|16|Execution='xxxxxx:xxxxxxxxx|xxxxxxxxx' Instrument='6E 12-11' Account='xxxxxx!Vision!OptimusFutures' Exchange=Globex Price=1.4163 Quantity=1 Market position=Long Operation=Insert Order='xxxxxxx' Time='10/28/2011 11:29:49 AM'
Given the above, I plan on the following:
1) Create an indicator that can be inserted into the same chart as the strategy.
2) The indicator will therefore have knowledge of the instrument and the account that the strategy is running on through NT calls.
3) The indicator will access the log files whenever they change, and search for "Execution" lines where the "Instrument" matches and the "Account" matches.
4) The indicator will only use new executions, so it will have a date/time of the last execution it found and move forward from there.
5) The indicator will then do something to export the execution information to an external program. In my case I'll be writing the trade data to a mysql database.
The question for NT is, knowing that this is all unsupported, is there any better suggestion or idea for this development?
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