Playing with Catalyst framework for Perl, we have developed for one of our customers a simple widget that allows you to display quotes received from Currenex.

System consists of several components:

• adapter that implements data exchange through FIX protocol with Currenex and extracts the price (in addition, this same application converts the message format of MarketDataIncrementalUpdate into an internal representation with a further multicast data over the network to all subscribers)
• small client application that performs data collection and store it in shared cache
• controller for Catalyst and a set of JavaScript code based on dojo, intended to update the quotes

Here’s an example widget, built using the iframe:

iframe not supported

At this moment application is under active development and adding new features such as intelligent update quotes, ability to modify the style element to the requirements of a particular user, etc.

Original article source can be found here

Before us was the choice of programming language and development platform. Initially we planned to use Java, but after two days of fighting with documentation on web services, it was decided to use perl. Why perl? First of all, because perl will do more complicated things simple (and simple – well, as indeed some do).

There are several good modules on CPAN that allow to write applications using SOAP / Web Services, for example, SOAP:: Lite or SOAP:: WSDL. I already had experience of working with SOAP:: Lite (true five years ago:)), so we decided to stay on it.

According to the Currenex documentation each request must contain information about the open session, which is obtained as a result Login message.

my $login = "LOGIN";
my $password = "PASSWORD";

$SOAP::Constants::PREFIX_ENV = 'SOAP-ENV';
my $service = SOAP::Lite->service("https://pret-dl.currenex.com/webservice/xml/SharedMessages.wsdl");
$service->proxy("https://pret-dl.currenex.com/webservice/request/AuthenticationService");
my @res = $service->Login(
    SOAP::Data->name('userID')->value($login),
    SOAP::Data->name('password')->value($password),
);
#This function returns array where second position is session ID
my $sessionId = $res[1];

Lets fetch list of all registered accounts

$service->service("https://pret-dl.currenex.com/webservice/xml/HubRetailService.wsdl");
$service->proxy("https://pret-dl.currenex.com/webservice/request/HubRetailService");
my @result = $service->GetAccountList(
    SOAP::Data->name("hubUserID")->value($login),
    SOAP::Header->name("cx:session" => \SOAP::Header->value(
        SOAP::Header->name("cx:sessionTicket")->value($sessionId),
        SOAP::Header->name("cx:userID")->value($login)
    ))
);

#Go through all accounts
foreach (@result) {
    my $account = CNX::Account->new();
    $account->account_id($_->{'accountID'});
    $account->create_date($_->{'creationDate'});
    my $settings = {
        'marginStatus' => $_->{'marginStatus'}
    };
    $account->settings($settings);
    push(@accounts, $account);
}

Here is example of request to fetch list of all open positions and margin requirements.

my @result = $service->GetHubMarginBalances(
    SOAP::Header->name("cx:session" => \SOAP::Header->value(
        SOAP::Header->name("cx:sessionTicket")->value($sessionId),
        SOAP::Header->name("cx:userID")->value($login)
    )),
    SOAP::Data->name("hubUserID")->value($login),
    SOAP::Data->name("accountID")->value(@account_ids)
);

As you can see, working with Web services Currenex of perl and use SOAP:: Lite’s no magic and all done simply and transparently. Specify at once that what we have done, is not a normal incarnation of web services, and the only solution was created in haste. So now we are working to transfer the developed solution for clean, classic WSDL.

Original article source can be found here

Lets say, you have code of your strategy opened somewhere in text editor from where you can simple copy and paste him.

Do right click on ‘Strategies‘ leaf and select ‘New Strategy‘ item.
JForex platform will open new editor window with some initial strategy template.
This template is useful when you need start development but as long we already have code we can dont heed him.
Clear edit area by deleting template.
Copy all code of your strategy into buffer(hint: to select all use hot key Ctrl+A) and paste him into JForex Platform editing area.

Once you did this save the strategy pressing ‘Save‘ button or using hot key ‘Ctrl+S’.
Name of your file should be the same as name of main class of your strategy.
You can get this name looking in the beginning for the code where you should find something like this:

 public class MyGreatStrategy implements IStrategy {
 ....

In this example you need save file under name MyGreatStrategy.java.

Another way add your strategy in platform is open saved file from hard drive.
To to this select ‘Open Strategy‘ from menu and find file with code.

Now lets check is our code bug free and at least can be compiled.
To do this right click on ‘MyGreatStrategy‘ and select ‘Compile‘.
Doing that you will transform your strategy in binary form acceptable for execution of JForex Platform and in same time do code verification for syntax errors.
Depends on size of strategy compilation may take some time.
Results(good or bad) you able to monitor in ‘Messages‘ tab which will change color of title once process is finished.

Imagine that we are leaving in ideal world and everything was ok this time.
From that point we have 2 directions – do historical testing(‘Test‘) to verify logic or go trading(‘Run‘).
In most of the cases we suggest test what you have before trading.
Yes, historical tester not cover full picture and sometimes his results far from the real market situation but he can show is behaviour of your strategy is meet your expectations.

Sometimes you need external libraries which was supplied with strategy code.
In our example additionally to standard Java classes we use extra libraries: axonsoftware-jforex-utils.jar and spread.jar

To include this files in compilation you need provide full path to them in special tag @Library separated by ‘;’ e.g.

 @Library("c:\\extra_libs\\axonsoftware-jforex-utils.jar;c:\\extra_libs\\spread.jar")

Hint: use simple paths like c:\\extra_libs(or /home/user/extra_libs on Unix/MaxOS) this will reduce quantity of errors

Another important thing is adding symbols which is using in your strategy.
Dukascopy JForex platform allow you manage subscriptions for symbols what mean that market updates will be send to you only if you subscribed.
If you strategy working with EUR/USD, USD/JPY and EUR/GBP – dont forget to include them in subscriptions.

Original source

AxonSoftware company announces about release of Axon FIX LogViewer, utility used for the analysis of log files in the FIX-notation.

Axon FIX LogViewer can be useful:

• to programmers developing applications which using FIX protocol
• to support engineers who are responsible for maintenance of FIX-compatible solutions
• to people studying FIX protocol as gives the chance to display all exchange of messages visually

Main features:

• support of all versions of FIX protocol
• ability to read custom fields specific to the brokers
• work with several logs windows in same time
• message filtering on load stage. You can load messages from file inside specified time frame or/and message type(e.g. exclude MarketDataSnapshotFullRefresh)
• correct analysis of repeating groups any level of enclosure
• filters based on message types
• flexible log view table configuration. You able to select which fields of messages should be mapped into table. Your selection will be remembered and available after restart.
• export of selected data
• list of recently opened files
• saving of customisations of tables and layouts of windows after reboot
• cross-platform(will work on Linux, Win and Mac)

Original source is here

So, what so great we have find out?
Any version of FIX protocol provides big set of messages, useful for traders(and for developers too). Things is that most of the brokers implements only very limited quantity of them. Yes, FIX protocol not force you to do this, you free provides only some basics which allow you to tell – ‘look, we also have FIX interface’.

Lets say broker X(sure, you can replace X with someone familiar to you, there are a lot of around) can process NewOrderSingle for Market, Stop and Limit orders(plus some limitations), OrderCancelRequest(to cancel pending orders), OrderCancelReplaceRequest(to modify pending orders).
From their side broker will response using ExecutionReport, OrderCancelReject and Reject, plus market feed streaming with MarketDataSnapshotFullRefresh(not all provides market feed through FIX protocol).
Looks like this is enough to trade.
Open orders, receive confirmations, modify and cancel….
From point of view of trader – yes, this is good enough.

But is this list of messages enough to build stable and robust trading application?
I think no. Why?
Behind of high level abstraction like open order developers have tons of nuances like stability of network communications, transmission latency, problems of synchronization to keep integrity of trading information.

Today most of us have good and reliable Internet connection but even now sometimes something going wrong and connection can disappear.
After several tough call to your ISP link is up and this is great.
But using described above list of messages you simply cant restore your current status of order book.
We can suppose that nothing was changed and all your orders still open.
This way is like jump into the dark. Second – open broker’s trading terminal and ‘manually’ check/sync orders with your application.
This sounds like a bad joke but few months ago one broker suggest me do this.

Why we like FXCM?
They provides rich FIX protocol API for developers and integrators.
You can track status of your orders/positions and accounts in real time.
You can sync trading history, you able to receive orders book(full or with some conditions), send messages to deal desk using Email message, ask to re quote market orders, get market depth for select symbols.
Yes, this is not all functionality which included into FIX 4.4 but this is good enough(at least for us).

To summarize FXCM FIX API functions:

• open/close positions
• open/modify/cancel conditional orders
• synchronize positions
• synchronize conditional orders
• receive updates about accounts statuses
• work with market feed(subscribe, unsubscribe, receive market prices)
• check security statuses
• send messages to deal desk

Honestly, we not using all of this functions but better to have them than constantly send requests to broker and ask ‘when we will finally have this’ and receive standard ‘we working under this’.
FXCM FIX API is not ideal and have some weak sides(from my point of view and this is definitely another story) but you can close eyes on this because their provides one of the best API for integration.
Their API can be a educative example for another developers which working under sell side functionality, for the integrators it a good prize:)

Original article located here

Preconditions for creation of separate component for indicators calculation:

• different trading rules may use the same indicators.
  There situations even applying the same parameters. There is no point perform calculation of the same data from different places of application, if it can be done centrally.
• calculating the value of the indicator is a painstaking task, in which involved mathematical operations and interaction with the repository(s) of historical information.
  Unavoidable time delays that may adversely affect the productivity applications, when the same indicator used from different places of application

Possible architecture

Indicators service can be a separate thread(s) responsible for interaction with subscribers (registration of new requests for indicator calculation, issuance of the latest targeted data on demand, removal of the subscriber), working with repositories of historical data and the direct calculation.

Steps:

1. Client sends a query, which indicates that it should expect an indicator H with parameters A, B, C. These actions can be performed, for example, the section Init of trading rules.
2. Service adds a request and increases the count of subscribers. If it can not be register (for some reason) than throws the exception. Upon receipt of the exception system should block all accounts signed by given trading rule.
3. With the arrival of market prices indicator service should calculate values according to subscription.
4. To get latest calculated values of indicators, application should use interface, offered bu service. If request contains indicator or settings that were previously not register, service must return an exception. In handling this exceptional situation can be, depending on location, to register / subscribe to the indicator. As a result, following successful.
5. Upon completion of work (for example, the account given by trading rule, was blocked) must submit a request to make a come-off.

Exceptions

• Error while registering a new request for calculation indicator
• Error treatment without subscription
• Error calculation indicator. Incorrect data

Original article locate here

It is ungrateful pastime and there is a risk to be reputed a man, using black PR in the aims. My reasonings will carry rather a technical tint and potentially can help you at a choice or planning a new software. In latter days we had to do some the work with set of automatic systems of third-party developers and I marked on your own some vexatiously mistakes. I will make attempt tell about most considerable.

End users

Textual programming language now almost always present in entry or middle level trading systems. He can be used for strategy coding or/and for extending of existing functions of application(e.g. – creation of new indicators). This is wonderful possibility! Question is for whom. In many cases developers forget who will be end user of their product. That’s why we have systems where strategies are written on C or C++. I personally don’t see problems here but thing is that I am earn by programming, not from trading. Trader is not a software developer and he don’t have time to dive deep in shading of C programming. No time, no desire, no mood.

Certainly, when manager will try to sell you that type of system, for sure he will tell about high performance and such kind of things. Yes, this is a true. C++ unambiguously faster than scripting languages. But reality is that in 80% of cases you will not have and advantages of more faster system. How many orders do you plan process simultaneously? How many accounts to manage? 1, 10, 100, 500? We successfully did applications on Java which handling thousands of orders on usual computer. Yes, if you need to work with 10 000 of orders – superfluous productivity will not injure, but, probably, out-of-shelf system will not meat your requirements and you will use something custom, created especially for you, application.

If you unable to develop strategy personally, you need search for external consultant. And here you will be surprised by level of prices! Good C developers expensive. What does remain except to appeal for help to the company what developed and sold you software? How do you think why they used C or C++ ?

My personal opinion is that using scripting languages like Ruby, JavaScript, Perl inside regular trading system is absolutely normal solution. In many cases this languages is only high level wrappers around native application libraries and play role of glue. As for extending system itself by adding new features – here better not sacrifice speed and use native language of platform. If it C – better write on C, Java – on Java and so on.

Original source here

To prevent unauthorized access to web pages, we configure Apache web server to grant access to clients only with pre-installed special pki keys. Yes, weak place of such system is if someone stole your phone he will have access to system. But as long it was only prototype we just postponed implementation of more serious access restrictions.

But then come big disappointment. First was ‘backdoor’ confirmed by Jobs. I dont know how about rest of humanity but I personally and our clients feel not very comfortable because of some one can trace or even control our actions. I am sure that Apple will not use private information but where guarantees that ‘backdoor’ soon will be not ‘open’ by smart guy? And our private data will flow to unknown direction…This scares.

Another nice surprise happens with me personally few days ago. I also using iPhone(honestly, I was the one who push idea use iPhone as control point to customers…This was my big mistake). One wonderful morning I have found out that my big contact book disappear. Phone showed to me only one number – my. Probably to alleviate disappointment – look, you dont lost all numbers. Obviously, here partially my mistake. I always though that cell phone – dramatically stable thing and never made backups. Why should I do this if all my previous phones working for a years without any problems. Yes, they was not so pretty looking, without touch screen and MP3 player. Is MP3 and touch screen can balance the scale with stability? Not for me for sure.

Phones become more feature rich, bit vendors trying to move responsibility of pure testing/buggy firmware from their R&D departments to you and me. You need permanently backup your contacts because we cant make out applications stable enough.

Here all depends for what you need your phone. For me phone is only instrument, not the part of image. Our clients just want do their work without risk lost some information or be hacked one day.
Even with personal use bugs are annoying, what to say about business? From our point of view Apple tried gain the market, it was rush – be the first with such phone, and they reduce testing time. Maybe this is wrong opinion. But for sure we will not recommend iPhone for our clients because he too young for serious business.