tws auto-export executions-file parser.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    TWS auto-export Executions-file parser
//  Author/Uploader: Herman van den Bergen 
//  E-mail:          
//  Date/Time Added: 2005-04-10 18:00:26
//  Origin:          
//  Keywords:        TWS trade-executions converter and trade-plotter
//  Level:           advanced
//  Flags:           function
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=457
//  Details URL:     http://www.amibroker.com/library/detail.php?id=457
//
//------------------------------------------------------------------------------
//
//  Intended for real-time traders using the Interactive Brokers TWS. This
//  function converts the auto-exported trade executions file from the TWS to
//  csv format, creates an AmiBroker compatible format for further processing,
//  and plots real trades at execution prices on your chart. This is
//  experimental code provided for experienced afl programmers only.
//
//------------------------------------------------------------------------------

// Important: This is experimental, as-is, code for you to play with and improve. 
// Converts and Plots trades listed in the auto-exported TWS Trade-Executions file.
// This code is intended for Real-Time trading, I use it in the 3-min timeframe.
// Configure your TWS to auto-export the trade-executions list (TWSTrades.txt) each Minute.
// Change the destination path/name for your csv output file for your setup.
// One array is returned by the function: negative prices are Shorts, pos prices are Long.
// Note that you must have real executed trades exported to plot them
// The program doesn't concatenate trading days yet but creates timestamped csv files.
// The trade list is copied to StaticVarSetText("TWSTrades") for further processing or 
// display in the interpretation window. Coded by Herman van den Bergen - 10APR2005.

function PlotTWSExecutions()
	{
	InputPath = "C:\\Jts\\TWSTrades.txt";
	OutPutFilename = "TWSTrades"+NumToStr(Now(3),1.0,False)+".csv";
	OutputPath = "C:\\Program Files\\AmiBroker\\TWSTrades\\"+OutPutFilename;
	fdelete( OutPutPath );
	fh1 = fopen( InputPath, "r"); 
	fh2 = fopen( OutputPath, "a");

	if( fh1 AND fh2 ) 
		{ 
		TradeList= ""; TradeNum = 0;
  		while( ! feof( fh1 ) ) 
   		{ 
      	Line1 = fgets( fh1 );
			Line2 = "";
			Len = StrLen(Line1);
			for(p=0; p<=Len; p++)
				{
				Char = StrMid(Line1,p,1);
				if( Char == ";" ) Char = ",";
				Line2 = Line2 + Char;
				} 

			if( Line2 != "" )
				{
				TradeNum++;
				fputs( Line2, fh2);
				Ticker 	= StrExtract(Line2,0);
				Action 	= StrExtract(Line2,1); if( Action=="SLD" ) ActionNum = -1; else if(Action=="BOT") ActionNum=1; 
				Shares	= StrExtract(Line2,2); SharesS	= StrToNum(Shares);
				Price		= StrExtract(Line2,3); PriceNum	= StrToNum(Price);
				TimeStr	= StrExtract(Line2,4);
				DateStr	= StrExtract(Line2,5);
				ABDateNum = 10000*(StrToNum(StrLeft(DateStr,4))-1900)+
									100*StrToNum(StrMid(DateStr,4,2))+
										 StrToNum(StrRight(DateStr,2)); 
				ABDateNumStr = NumToStr(ABDateNum ,1.0,False);
				TradeNumStr = NumToStr(TradeNum,1.0,False);

				ABTime = "";TimeOffSet = 040000;	// Adjust to your location
				for(t=0; t<=StrLen(TimeStr); t++)
					{
					Char = StrMid(TimeStr,t,1);
					if( Char == ":" ) Char="";
					ABTime = ABTime + Char;
					}

				ABTimeNum = StrToNum(ABTime)-TimeOffSet;
				VarSet("TradeTime"+TradeNum, ABTimeNum);
				VarSet("TradePrice"+TradeNum, ActionNum * PriceNum);
				VarSet("TradeDate"+TradeNum, ABDateNum);
				ABTimeStr = NumToStr(ABTimeNum,1.0,False);

				DateStr	= StrExtract(Line2,5);
				Trade = TradeNumStr+" ,"+ABTimeStr+", "+ABDateNumStr+" "+Action + ", "+ SharesS+", "+Price +"\n";
				TradeList= TradeList + Ticker + ", "+ Trade;
				}
 			}
		StaticVarSetText("TWSTrades",TradeList);
		fclose(fh1);
		fclose(fh2);
		} 
	else TradeList = "TradeList could not be converted";

	FirstVisibleBar = Status( "FirstVisibleBar");
	Lastvisiblebar = Status("LastVisibleBar");
	TN = TimeNum();
	PriceArray = Null;
	TradeNum = 1;
	TTS = VarGet("TradeTime"+TradeNum);
	DN=DateNum();

	for( b = Firstvisiblebar; b < Lastvisiblebar; b++)
		{
		TDN = VarGet("TradeDate"+TradeNum);
		if( TDN == DN[b] )
			{
			TTSs = NumToStr(TTS,1.0,False);
			while( TTS > TN[b-1] AND TTS <= TN[b] )
				{
				PriceNum = VarGet("TradePrice"+TradeNum);
				if( PriceNum <0 ) ActionNum = -1; else ActionNum = 1;
				PriceArray[b] = PriceNum;
				TTS = VarGet("TradeTime"+(++TradeNum));
				}
			}
		}
	return PriceArray;
	}

TWSTradePrices= PlotTWSExecutions();
Tradecolor = IIf(TWSTradePrices<0,4,5);
Plot(C,"",1,128);
PlotShapes(IIf(TWSTradePrices,shapeSmallCircle,shapeNone),TradeColor,0,abs(TWSTradePrices),0);

TWSTradeList = StaticVarGetText("TWSTrades");