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TWS Trade Plotter for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
Plots auto-exported tws trades
By Yofa
Indicator / Formula
Copy & Paste Friendly
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 | _SECTION_BEGIN("IB Trades");//********************************************************************************************// // Plotting TWS trade excutions// Coded by Yofa// Original experimental code from Herman////********************************************************************************************//// Goals: to present TWS real time trade execution data on any price pane.//// This code reads the auto exported TWS trade executions file and plots BOT AND SLD transactions on a price pane.// It is intended for Real-Time intraday trading.// Tws auto exports only the current trading day's data! //// To use this, you need to configure your TWS to auto export the trade executions list (TWSTrades.csv) each Minute:// Select Configure-Misc-Auto Export menu in TWS.// In Auto Export settings window:// Check "Activate auto export"// Set "Start time", "Stop Time", "Interval" according to your intraday trading// Set "Export directory" to "C:\JTS"// Set "Export file" to "TWSTrades.csv"// Select "Default columns"// Check "Write trade times using local time zone"// Select "Local sysbol" for "Symbol"// Select "," for "Field Delimeter"// // You can manually create export files and concatanate them for the last few days (TWSTradesHistory.csv).////********************************************************************************************//// Dependencies//// TWS (892.7) auto export settings (see above)////********************************************************************************************IBTradesTradeExists = False;IBTradesPrice = Null;IBTradesTradeColor = Null;procedure IBTradesProcessFile(InputFileName){ IBTradesTradeExists = False; InputFHandle = fopen(InputFileName, "r"); if(InputFHandle) { FirstVisible = Status("firstvisiblebar"); LastVisible = Min(Status("lastvisiblebar"), BarCount-1); BarDT = DateTime(); Index = FirstVisible; //skip header line fgets(InputFHandle); //outer loop to go down the file until the EOF or until the last visible bar while(!feof(InputFHandle) AND Index <= LastVisible) { InputLine = fgets(InputFHandle); if(InputLine != "") { Ticker = StrExtract(InputLine,0); if (StrLeft(Name(), 3) == StrLeft(Ticker, 3)) //may need to customize this (3 is needed for forex) { TradeDate = StrExtract(InputLine,5); TradeDate = StrMid(TradeDate, 4,2) + "/" + StrRight(TradeDate, 2) + "/" + StrLeft(TradeDate, 4); TradeTime = StrExtract(InputLine,4); TradeDT = StrToDateTime(TradeDate + " " + TradeTime); //Date AND time of the trade (DateTime() precision!) //inner loop to find the bar for the trade while(Index <= LastVisible AND TradeDT >= BarDT[Index]) { //check if next bar's datetime is later than the trade's DateTime if (Index == BarCount-1) NextIsLater = 1; else NextIsLater = TradeDT < BarDT[Index+1]; if (TradeDT >= BarDT[Index] AND NextIsLater) { IBTradesPrice[Index] = StrToNum(StrExtract(InputLine,3)); Action = StrExtract(InputLine,1); if (Action == "SLD") IBTradesTradeColor[Index] = colorRose; else if (Action == "BOT") IBTradesTradeColor[Index] = colorLime; IBTradesTradeExists = True; } Index++; } } } } fclose(InputFHandle); }}IBTradesProcessFile("C:\\Jts\\TWSTrades.csv");if (IBTradesTradeExists) PlotShapes(IIf(NOT IsNull(IBTradesPrice), shapeSmallCircle, shapeNone),IBTradesTradeColor, 0, IBTradesPrice, 0);IBTradesProcessFile("C:\\Jts\\TWSTradesHistory.csv");if (IBTradesTradeExists) PlotShapes(IIf(NOT IsNull(IBTradesPrice), shapeSmallCircle, shapeNone),IBTradesTradeColor, 0, IBTradesPrice, 0);_SECTION_END(); //"IB Trades" |
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