AFL Library

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Details:

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Description:

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.

Formula:

// 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");

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