New features in version 1.17g. CME Globex Time and Sales Data playback is now supported. If you want to see exactly how every tick price and size look like accurate down to the second, try playing back CME Time and Sales data. It contains all transactions with price, size and time information, and the data files can be downloaded for free from CME ftp site. The CME file contains data for ES and NQ. After downloading the CME zip file, you need to extract the .iom file, and select it when you are prompted to select the CME data file.
For those who want to playback stock data, I added support for playback of data collected and stored in QuoteTracker. If you are a QuoteTracker user, and you watch stocks data everyday, then you already got your playback data collected. You can select the QuoteTracker option and AutoTrader will playback the data for the symbol you select that is available from your QuoteTracker installation. Make sure you specify the right value for tick size.
The only trading simulator with the widest choice of playback source. Here is a description of each playback source.
Playback Source |
Pros |
Cons |
AutoTrader Collected Data |
Collected data from TWS played back exactly the same way it was delivered by TWS, accuracy down to the millisecond. |
Need to collect data frequently. Tick data aggregated by IB. |
Random Data |
Does not require data collection. |
May not have characteristics peculiar to a particular symbol. |
Ensign Playback Data |
Complete last price tick data for ES, NQ and YM. Data is collected for you. Data available goes back for months. |
Tick data only contains timestamp down to the minute. Does not contain size or volume data. |
CME Globex Time & Sales |
Complete last price and size tick data for ES and NQ. Data is collected for you. Data timestamp down to second. |
CME only makes available the last 5 days' data. |
QuoteTracker Data |
Data for symbols you are already watching in QT is already collected for you. Data contains bid, ask, last price and size and volume. Quality of data depends on your quote source. |
Current QT API only allows retrieval of data for last day. |
New feature in version 1.17f. Added support for Currency trading. The program will now detect tick size if 4 or 2 decimal places are needed, so Currency symbols which uses 4 decimal places will automatically display and use 4 decimal places. Bug fixed in version 1.17f. Simulation trading runtime error using Ensign playback data fixed.
I have attached screenshots of the actual eSignal chart from 7/11/03, and a chart of Ensign playback data charted on SierraChart. View and compare the charts and see for yourself how the plaback data compares to the actual chart. Here is the link to eSignal actual data chart, and here is the Ensign playback data plotted on Sierrachart.
New feature in version 1.17e. AutoTrader now plays back Ensign playback data files. Get Ensign playback files from http://charts.dacharts.com/Playback_Files.htm. You can get playback files for ES, NQ and YM, The files are text files and the sizes are small, the drawback is it only contains last price data. The AutoTrader playback code will simulate bid and ask price, the sizes are currently fixed at 100. Playback timing is accurate to the minute based on the info from the playback file. The tick rate is spaced as 60000/number of ticks for that minute in milliseconds. The typical rate I see during the first hour is about 4 ticks per second. The playback data can be used to simulate trades in AutoTrader, and the playback data can be fed to TWS API client charting program such as SierraChart or QuoteTracker. It can also be fed to MetaServer RT or Dynastore which will feed the data to Tradestation, MetaStock, Ensign, or whatever charting program these applications support. This feature is not intended as a replacement for Ensign software playback feature.
When you select Ensign Playback Data as your playback source, the next window will prompt you for the location of the Ensign data file, the start time you want to playback, and the number of minutes of data to playback. Note that Ensign playback data starts at midnight Central time. The default start time is 0830 (central time), which is the equivalent of 9:30am New York time.
I plan to add the support for playback of CME GLOBEX time and sales data files. These are a little bit better since they contain more information like the last size and busted trades info like the one that happened last July 14. I plan to display volume and last size info for this playback source.
New feature in verson 1.17d. Added Random Data as a new source for simulation playback data. No saved playback data for simulation ? No problem, now you can use a random number generator to generate the data for you. The Random Data source generates bid, ask and last price. The size is currently fixed at 100, I may add a size data generator if needed. The tick rate is about 110 ticks per minute (so this will probably plot better using tick chart, click here to see a sample plot of random number generator data), I may change this to a variable interval if needed. The data is generated using a uniform distribution pseudo-random number generator so the probability of an uptick, a downtick, or a no change all have an equal chance of occuring. If you have some ideas on how to improve the Random Data source, please send me an email, I'd like to hear from you. As always, you can proxy the randomly generated playback data to SierraChart or QuoteTracker, and you can practice your strategies in AutoTrader using this playback source. When you select Random Data as the playback data source, a window opens next where you can set the random data source parameters such as upper and lower limit, the tick size, and the number of minutes you want the random data generator to run.
Bug fixed in version 1.17d. Fixed one more bug in open Qty calculation for position entry order when there is partial fill. Quantity calculation for position entry order now covers the following scenarios:
If position entry has partial fill, the Qty cannot be modified to a value lower than the quantity already filled. As always, partial filled positions are always stop order protected. So if you placed an order for Qty = 30, then get partial fills at 15 to 25 to 29 to 30, a stop order is immediately submitted with Qty 15, and the stop order quantity is updated as the position entry order gets partially filled until it is completely filled (stop order quantity is updated to 25, 29 then 30).
Enhancements in version 1.17c. Full fractions support. This means the program now works with all symbols that uses fractions. The program has been tested with the following U.S. Treasury Bond Symbols
Symbol |
Description |
Tick Size |
ZT |
2 year Treasury Bonds |
1/128 |
ZF |
5 year Treasury Bonds |
1/64 |
ZN |
10 year Treasury Bonds |
1/64 |
ZB |
30 year Treasury Bonds |
1/32 |
The program has been generalized so it will work with symbols with fractional ticksize of 1/2, 1/4, 1/8, 1/16, 1/32, 1/64, and 1/128. You can even trade ES and NQ using fractions if you like! One caveat though for Bond traders, quotes are all displayed in fractions, so you will see 21/64 instead of '105. Let me know if that is a problem. The fractional values are not reduced to lowest multiple anymore like in my original support for fractions. So 16/32 will be displayed as 16/32, not 1/2.
To setup trading for a bond symbol, start the AutoTrader program, then connect to TWS. Next, go to the preferences window and click New button in the Contract Information section. Enter ZB for the symbol (or whatever new symbol you want to trade), click on the Fraction Display checkbox, set the appropriate expiration data and exchange (ACE for U.S. Treasury Bonds), then click on the Details button. This will retrieve the tick size value for you from TWS. ZB should show a tick size of 0.03125 (that is 1/32). Click the Save button, then Ok if you have no additional symbols to define and you are now ready to trade the new symbol using fractions.
Bugs fixed in 1.17b. The second order status report for orders placed on ACE is now used and updates the value of the first order status report. Previously, the second order status report is ignored. If you updated the Qty for an unfilled position entry order, and the order gets filled, the Qty open now has the correct value. Previously, the Qty open shows the original Qty before the order was modified, causing the exit orders to be placed using the wrong Qty.
Java version 1.4.2 is now available. I have been using this new version and it seems to work fine. You can upgrade (uninstall the old version and install the new one) by downloading from the Java website. You can read the 1.4.2 release notes here.I am using TWS version 797.4.
More changes from the ISP. It seems now that my ISP does not allow downloading of EXE files anymore, so I have to ZIP up the EXE version of AutoTrader. So when you download the EXE version, you will actually get a ZIP file containing the AutoTrader.exe program. You need to install Winzip or some other file compression program that can extract zip files to extract the file out after you download.
My ISP switched domain name from attbi.com to comcast.net while I was on vacation. I have updated the redirector links to the new website address. Sorry for the inconvenience.