AFL Library

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Details:

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Description:

Plots auto-exported tws trades

Formula:

_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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