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Playback |
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Page 1 of 3 Playback Feature
AutoTrader allows you to playback data files from various sources so
you can practice trading during off hours when market is closed. You
need a charting program to display the data that is being played back.
The recommended charting program is SierraChart since it provides
playback controls such as fast forward, rewind and pause. You can look
at playback as if it is a different source of market data. You normally
will make AutoTrader connect to TWS to receive market data that is
displayed in the Quotes Panel, and perform trades based on that market
data. During playback, you essentially replace the live TWS market data
with some saved data to supply the quotes to be displayed in
AutoTrader. AutoTrader is always in Simulation mode when you are
playing back data. In order to playback data, you need to switch
AutoTrader to Simulation mode by clicking on the Simulation/Live mode
toggle button on the toolbar. Then you click on the Connect button and
the Playback and Simulation Setup dialog window opens.
Unregistered users are restricted to playback only 30 minutes worth of data.
The Playback Process
The general steps you need to do to setup playback is as follows:
- Select a playback data source.
- Setup the options for the selected playback data source.
- If you are going to playback to SierraChart, specify the location of the SierraChart installation directory.
- Specify the playback symbol.
- Start the playback either by clicking on the Sierra Playback button or the TWS API Server button.
Playback Data Sources
The following are the supported playback data sources:
- User Defined Format Text File
- Sierra 46 Mnd File
- AutoTrader Data
- Random Number
- Ensign Playback File
- CME Globex Time & Sales
- ECBOT Time & Sales
- Esignal Tick Data
The User Defined Format Text file is the latest addition to the
playback data source choices in AutoTrader. This is the
recommended data source to use since you can easily generate the data file
using AutoTrader Backfill data download feature and is available
as long as you can log on to your TWS account. I may eventually retain
only this, AutoTrader data, and Random Number as the supported playback
data sources. Since you can essentially use the User Defined Format
Text file option to playback CME or ECBOT data files.
The Random Number generator is useful such that you do not need any
data file to playback, as data is generated randomly based on the
specifications you provide in the setup for this source.
The AutoTrader Data option plays back data file created using the
AutoTrader market data collector. This option is useful if you want the
playback to include market depth. The market depth data is available
via the TWS API Server playback mode and any TWS API client can
connect to AutoTrader and request market depth data.
Sierra Playback
Sierra Playback writes the playback data directly to Sierra 46 mnd file
format inside the SierraChart data directory. SierraChart will then
read the mnd file directly and display the data as it is written. You
do not need to connect Sierra to TWS or to AutoTrader for it to display
the data. The advantage of using this mode is you are able to fast
forward, rewind or pause the playback. The time dsplayed in SierraChart
is the same as the playback timestamp. If say you are playing back data
from March 1, 2005 9:30 EST, as you data starts playing back, the chart
display on SierraChart will show the same time, March 1, 2005 9:30EST.
TWS API Server
This playback mode will make AutoTrader emulate a TWS API Server. TWS
must not be running for this work. Any chart program that connects to
TWS to receive market data can be used in this mode to receive and
display market data. The chart programs do not even know that
they are connected to AutoTrader. The advantage of using this mode is
you can use any TWS API client based charting program to display the
playback data. The disadvantage is you do not have fast forward,
rewind or pause control for this playback mode. Also, the time base
displayed in the chart will be based on the current computer clock and
not the playback data timestamp since TWS API market data is not
timestamped. This has changed in TWS API version 20 but will require
charting programs to modify their handling of timestamp. I am sending
messages to chart program authors so they update their client code to
TWS API version 20, once they do and they honor the TWS Server time as
the time base for chart display, then the chart display time can be the
same as the playback data timestamp.
Unregistered users are restricted to one TWS API client connection to AutoTrader TWS API Server.
The Playback Symbol
It is important to remember that whenever you playback data for a
specific symbol, that you do not need to see the same symbol in your
chart program. In fact, you MUST NOT use the same symbol during
playback, otherwise the playback market data will get saved together
will true data that is stored by your charting program and mess up the
data for that symbol altogether. For this reason, you need to use a
hypothetical symbol that does not exist or trade in any of the
exchanges. The defualt symbol used for playback is ATPB. You may select
one of the predefined hypothetical symbols, or you may enter your own
by typing the symbol directly into the Playback Symbol combo box. If
you type in a real symbol, AutoTrader will automatically append ".R" to
the symbol name in order to avoid overwriting the data of a similar
symbol that may exist in your charting program database.
Known Limitations
Playback data files that contains multiple lines with the same
timestamps are not supported. For example, data files containing minute
timestamp only, and lists 60 lines for the same minute.
Each data file must contain data for only one symbol.
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