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COM/.NET Equilla Extension API with asynchronous evaluations and strategy signal hooks

Equilla now supports a new mechanism for providing extension objects and functions (the previous mechanism remains fully supported, but will not be further enhanced). First an author must create one or more objects that support the IEquillaExtension interface in any COM-aware language: C++, C#, VB.NET, etc. and then register the DLL containing that object on the target system (normal COM registration with regsvr32.exe). Once registered, the object can be used from Equilla using the new "objects" block.

Tradesignal includes four sample projects that demonstrate the various extension features, including overlaying RSS data on a chart (C#), pushing trading data into Microsoft Excel (C#) and reading text files (C++).

Read text files from Equilla scripts

Using the Equilla.TextFileReader extension object it is possible to read text files that are present on the local or a network file system. The source code of this object is included in the setup.

Access RSS feeds from an Equilla indicator

A new indicator is available called RSS that allows the URL of an RSS feed to be given as input; it will overlay the events from that feed as clickable markers onto a chart. This indicator uses the Equilla.RSSReader extension object; the source code of which is included in the setup.

Active strategy orders persist across bars

When an order generated by an Equilla Trading Strategy remains active over subsequent bars with no changes (or just modifications) the Trading Engine will no longer cancel and regenerate these orders for each bar, but rather keep them active until they are filled or the script cancels them.

45° degree snap mode for point and figure trendlines

Tools drawn into a point & figure chart will be in snap mode by default (snapping to the nearest box), and will only allow drawing of 45 degree, horizontal or vertical lines. Holding of the Ctrl key will allow free drawing of lines (or by toggling off the snap mode option).

Workspace item tabs synchronized with primary chart item display name

The default title for a workspace chart item (as found on the workspace item tab) will now be obtained from the first instrument or spread found in the chart. This title will stay synchronized with the chart item even if the display name changes due to a rollover or a spread is updated to contain new constituents. The title may be manually changed either by moving an alternative instrument to the top of the chart or by using the workspace item rename operation found by right-clicking on the workspace item tab.

Automatically update linked synthetic symbols

Synthetic symbols that are used in charts, watchlists, etc. that have been added from the symbol list toolbox will now automatically be updated when the symbol in the toolbox is changed. The automatic update will apply to all open and closed workspaces. If the symbol is edited directly in a chart an option will be presented to apply this to all charts using the symbol or to unlink the symbol and make a local copy.

Additional Features:

• The formula editor window should remember the user set window size.
• It should be possible to E-Mail workspaces with SMTP, if that is preferred over MAPI.
• Add Dark Spread, Clean Dark Spread and Climate Spread indicators to the Tradesignal package.
• Forward curves based on manually added predefined lists always use list path instead of chain id.
• Symbol lists with symbol codes (e.g. Reuters chain RICs) should display the code in the symbol list toolbox next to the list name. This allows the code to be easily found, for example, when entering a chain code into an indicator that accepts such a code as input to the Instruments: List("") function.
• Excel correlation calculation option to the correlation indicator and a Correl() user function.
• Detrending Price Oscillator indicator and Detrend function for performing cyclic analysis.
• GradientColor and NormGradientColor Equilla functions
• Optimized memory usage for many full-screen charts, where most are non-visible due to stacked workspace tabs.
• Tradesignal now includes a limit for maximum open instruments and a limit for maximum free memory before certain large memory consuming tasks can be started (e.g. scanning and optimization). Both of these limits can be increased/decreased in the options dialog, although this is not recommended.
• System resource monitor now runs more frequently, to identify problems earlier.
• New Equilla functions to query the order id of a given order: GetActiveOrderId(index) returns the current id of the order at the given index. FilledOrderId(position, index) returns the current id of the filled order from the specified position and index within that position.
• It is now possible to set the default history length for daily, intra-daily and tick charts up to 50,000 bars (up from 10,000).
• It is now possible to set the history length of a scanner up to 500,000 bars (up from 5,000).

Weekday and Month contract filtering for Trayport Continuous Contracts

It is now possible to create continuous contract symbols for the Trayport feed that exclude specific contracts, if the contract sequence type is monthly or daily. When month filtering is used, a contract rollover will always jump over any months that have been excluded. When weekday filtering is used, a contract rollover will always jump over any excluded weekdays. It is therefore possible to create a continuation that rolls from Monday to Monday, and another for Tuesday to Tuesday if it is so desired.

Simplified symbol mapping for Trayport symbols

Implemented new mapping approach based on alias names specifiable by instrument, sequences, and a generation pattern for sequence item ids. This feature allows an administrator to provide a one time mapping of each instrument ID and sequence ID and a definition of how sequence items should be described. Thereby preventing the need to map every symbol individually.

Faster creation of Trayport continuation symbols 

Server calculated Trayport continuation symbols will now load significantly faster. A new configuration option was created that allows to skip further contract history requests when a number of consecutive requests for newer contracts did not yield any data. This is especially helpful for daily contracts, saving hundreds of useless request.

Name Change

Tradesignal Market Data System is changing to Tradesignal DataConnect

With the current update the name of Tradesignal Market Data System 5.4 (TMDS) will be changed to Tradesignal DataConnect 5.4. Thereby the name will be shortened and an abbreviation is not so necessary.

Bugfixes in Tradesignal Version 6.3.0 

• Tool alerts on Volume Charts can generate incorrect signals.
• Candles change color when the value scale is inverted.
• TMDS connection may cause a crash if the connection gets restored after a failed ping pong, due to a very slow server (with CPU problems).
• Dropping a compressed chart onto another subchart inserts a tick chart instead of the original period.
• Not possible to select the parent for a tool if snap mode is used.
• Indicator is not drawn in a chart although the available source data is sufficient to evaluate.
• Panoramic scroll bar does not update immediately when its parent (e.g. line chart, indicator) has its input changed.
• Heikin Ashi chart is losing its volume when opened from a saved workspace or replacing the symbol.
• Some tools and the target cursor on a chart for an instrument already present in the dictionary are using wrong future timestamps.
• The volume of manually entered ticks via the TMDS Console for OpenConnect instruments will be added to the prior candle.
• Duplicated trend lines are not parallel after one is moved in a zoomed out chart.
• Equilla: Prices returned by the GetActiveOrderPrice function for built-in stops are not tick size aware.
• Daily Trendline in a mixed Daily Candle Volume / Hourly Candlestick Chart is drawn incorrectly if the left most trendline point is off screen and the right most point is past the daily candle.
• Candles in a Heikin Ashi Chart with the IKH indicator stop updating after an indeterminate period.
• Copy & Paste a chart into a new workspace on another desktop is not working when using the paste-button.
• Price labels on Andrew's Pitchfork remain visible when scrolling into the past.
• Select All does not work for a HTML Editor when in secondary desktop.
• Syntax highlighting in composite symbol editor is not enabled unless the Equilla editor is shown first.
• Adding a composite symbol from one chart to another via drag & drop looses the composite symbol.
• Spread between forward curves limited to max number of contracts shows wrong results.
• Error message when creating a forward curve chart from a symbol list created by manually entering a Reuters chain code.
• Unhandled exception occurs when copying text from the output window if another application has locked the clipboard.
• Clicking on a colored square on the optimizer heat map does not select the result row in the grid.
• A composite symbol might be replaced by an indicator when loading a chart.
• Replaced inline symbols may not be updated correctly when loading a document.
• Static variables in Equilla functions may get initialized more than once when called multiple times from different depths of nested statements.
• Forward curves based on a manually created symbol lists do not create contracts on a TMDS if they are not already present.
• Toolbox splitter moves significantly to the left on start-up when the application is maximized and Windows is set to use over 100% font DPI scaling.
• Equilla enum inputs in optimizer results are replaced with integer values when exported to Excel.
• Brute-force optimizer returns an error when the data source is only a signal Trayport TMDS without currencies enabled.
• Cannot convert currency for legacy client-calculated continuous future symbols.
• Chart will not be redrawn with new candles after deleting current candles in the TMDS while order routing is active when using a composite instrument.
• A watchlist globally symbol linked to a chart in another desktop (and no other chart in the same workspace) will open a new chart in the same workspace instead of updating the linked chart.
• Tradesignal may unregister licenses using a different username than the one that acquired the licenses when changing the DACS user.
• Composite/spread instruments may stop updating when displayed as point and figure.
• Composite/spread instruments using draw/drawline on a calculated chart type do not show latest price in legend.
• A strategy or indicator applied to a composite/spread symbol displayed as a compressed chart type may not properly remove X/O columns when the price receeds.
• Composite/spread symbols displayed as compressed chart types might, very occasionally, generate odd results.
• Heikin Ashi and Renko chart types do not calculate correct results for composite/spread symbols that can return different results during one evaluation run (as a result of using static variables in their calculation).
• Unhandled exception occasionally occurs when an auto save is being performed at the same time as the optimizer is running due interference between the two concurrent processes. An option has been added to the autosave settings to suspend autosaving of a specific workspace while a contained optimizer is running. The workspace will be backed-up when the user clicks the start optimizer button instead, and autosave normally when the optimizer run is complete. This option is on by default.
• Export chart data series to a CSV file only ever uses two decimal places for prices.
• Extension symbol lists for Trayport, Bloomberg and OpenConnect may not be reloaded after TMDS restarts.
• Optimizer stores temporary files as part of roaming user profile which may be limited in space and crashes when running out of disk space.
• Point & figure chart stops drawing updates after a chart, that does not fill the history length with data, passes the history length value with data from realtime updates.

Bugfixes in Tradesignal 6.3.1

• Calculated, non-compressing, chart types such as Heikin Ashi sometimes do not set the BarStatus to BarStatusClosingTick. Compressing chart types should return the BarStatus value of the underlying price series in the same was as indicators do.
• Temporary tool will not be removed when switching to target cursor mode in web edition.
• Strategy alerts in the web edition do not contain sufficient information.
• Occasional division by zero error when switching a chart with an indicator from a variable width chart type to a fixed width type.
• Pressing the delete key while selecting the parent for a pitchfork tool causes a crash in the web edition.
• Post-to-forum button should not be shown in the collapsed publish ribbon menu in the Japanese edition.
• Instant target cursor lines are sometimes not drawn in web edition.
• Dragging an instrument over a deselected workspace tab does not focus the deselected workspace.
• Crash occurs when compiling an indicator that uses the "crosses over" operator with a parameter that is an input variable acting as an alias for a user function.
• Crash occurs when running an indicator or strategy using a variable declared in a instruments block with the "crosses over" operator.
• Equilla "print" function only outputs empty text strings in the web edition.
• Workspace tabs replace ampersand character (&) with an underscore on the next character.
• Occasionally a crash occurs when connected to a TMDS with a failover host configured when the TMDS shuts down or restarts.

Bugfixes in Tradesignal 6.3.2

• Alerts generated by the Equilla alert() function do not display fractional prices.
• Incremental functions such as XAverage generate incorrect results when an instrument declared in an instruments block with a higher period than the indicator's parent is used.
• Runtime error quoting "invalid pure virtual function call" very occasionally occurs, when Tradesignal has been over-installed, most frequently when automatic order routing to IB is active.
• Value scale is incorrectly sized when displaying values with thousands abbreviated to T.
• Optimizer results cannot be reopened when saved with certain application versions.
• Chart with invisible tools can take a long time to render on the chart server.
• Crash can occur when replacing orders during automatic order routing.
• Low memory warning is shown after less than 2 GB are used on XP machines with /3GB flag.

Bugfixes in Tradesignal 6.3.3

• Periodic log file entries for "System Handles" are always zero.
• Crash occurs when opening a workspace containing an instrument that goes stale (on the TeleTrader provider) before the workspace is completely loaded.
• Walk forward optimization uses incorrect parameter ranges (start, end and step) for inputs when calculating the second and all subsequent time spans (samples).
• Crash occurs when applying an indicator that uses expressions bound to an instrument-block element as function arguments.
• Instruments used only as parents for indicators, and that are not shown in the chart, will be incorrectly added to the chart when the workspace is saved and reloaded.
• Error message occurs when adding a Bid/Ask Channel indicator to a watchlist when using the TeleTrader data feed.
• Data loading indicator spins endlessly when adding an indicator with dynamic inline instruments for BID or ASK to a DAX Performance Index instrument in a watchlist. 

Bugfixes in Tradesignal 6.3.4

• Currency converted Bloomberg instruments using TMDS on-demand mode show only the latest bar of data.

Bugfixes in Tradesignal 6.3.5

• Memory corruption issue in the MSXML3 component on Windows XP can occasionally cause a crash when requesting instruments from a TXML server.
• Tradesignal Online watermark is not visible in a screenshot of a chart with a black background.
• Mixing data from standard data provider and file-based topup may lead to unexpected behavior.
• Mixing data from standard data provider and TXML-based topup may lead to unexpected behavior.
• Optimizer stops execution following a report of low memory, when run over an extended period.
• Certain orders may not be released when automatic order routing is active leading to a very slow memory leak.
• Fill sequence of orders for the following bar may be incorrect when a large number of orders are generated in a rather specific combination.

Bugfixes in Tradesignal 6.3.6

• Equilla extension class EquillaConstants is not thread safe although it is marked as being free threaded.

Bugfixes in Tradesignal 6.3.7

• Possible crash when connection is lost and restored and a Heikin Ashi chart is displayed.
• Equilla: "Crosses" operator does not work as expected when passing a back reference to a function.
• Using an inline instrument and a parent instrument with two different AverageFC() functions can cause an infinite loop to be reported.
• Connection to Tradesignal Market Data System is continuously dropped and re-established each time a realtime update occurs to an instrument with a symbol that is longer than 65 characters.
• Trendline "appearance" properties are hidden due to a very rare issue that occurred when saving a workspace containing migrated Trayport symbols with the 6.2.1 version that was created with the 5.5 version and later opened with the 6.3.0 version.

Bugfixes in Tradesignal 6.3.9

• Crash can occasionally occur when running a trading system that fills a conditional order when multiple other conditional orders are pending for the same bar
• Order prediction: Predicted risk stop orders may have an incorrect stop/limit price attached
• Order prediction: In some rare case a cancelled event for a placed order is missing.
•  Percent trailing stop may not trail correctly intrabar when already activated on a previous bar

Bugfixes in Tradesignal 6.3.10

• Combined instruments based on tick data do not handle multiple ticks within the same second so ticks can be lost in the combined symbol
• Indicators are not always fully recalculated when an updated history is received for a member of a combined symbol beyond the first

Bugfixes in Tradesignal 6.3.11

• Backfilled Top-up data vanish from chart when you force the refresh of historical data
  
  

Bugfixes in DataConnect 5.6.0  

• The volume for the current day is not available for the Reuters symbol /EWJ
• Snap requests for Reuters RICs starting with "te" (e.g. "test") are timing out

Bugfixes in DataConnect 5.5.0 

• DataConnect Feed Handlers do not generate an error when their listen port is already in use, resulting in an non-connectible feed.
• Spurious error messages appear in the TMDS Permission Server log when stopping the service.

Bugfixes in DataConnect 5.5.1

• Windows event log entries for extension feeds (OpenConnect, Trayport, Bloomberg) are not listed in the support log package

Bugfixes in DataConnect 5.5.2

• A Trayport order whose side was corrected (e.g. from Bid to Ask) was duplicated on both sides of the order book 

Bugfixes in DataConnect 5.5.3

• Empty history when requesting 10000 data points for the Bloomberg symbol EUR Curncy in an 8 hour chart in Tradesignal
• OpenConnect source data conversion from arbitrary timezones does not incorporate Daylight Savings Time correctly
• Long configuration entries may not fit the internal buffer when the MDS.INI file is very short

Bugfixes in DataConnect 5.5.4

• Unable to create the Bloomberg symbol ELGBYR1 Index

Bugfixes in DataConnect/Tradesignal Market Data System Version 5.4.0 

• Periodic service times specified as local time in the DataConnect Console and the actual execution time may be off by one hour, due to daylight savings time shift.
• "Select existing symbols" button is disabled in the synchronize dialog if the destination server has all symbols found on the source server.
• Incorrect shifting of periodic service start and end times that are specified in UTC by the local time offset.
• When stopping the Trayport service using the DataConnect Console, and a Bloomberg service is also installed, the user is incorrectly asked if they want to shutdown bbcomm.exe as well.
• Balloon tooltips for Bloomberg Backfill and Push Port are meant for Trayport.
• Extension feed request tracing cannot be activated in the DataConnect Console.
• Requesting too many data points from the DEX API results in an error instead of just returning all available data points. A new setting has been added to the Thomson Reuters feed settings to set the maximum requested history length independently from the data collection limits.
• Resizing of the console grid will not be handled correctly on a Japanese operating system, leading to obscured labels and unused space.
• It is possible to create OpenConnect symbols that are longer than the name limit of 150 characters also with FID names longer than 20 characters.
• Creating a new Tickpump OpenConnect sample symbol without a name results in an 'invalid data format' error but also creates a symbol with prefix as name.
• Yesterday's open price for the Bloomberg symbol "DAX Index" is sometimes replicated in today's candle for a short time in the morning.

Bugfixes in DataConnect Version 5.4.1

• Reloading the historic data for TP82.19.NEAR and similar Trayport Prompt Continuation instruments displays a Timeout error in the log file.
• CDS instruments (such as FRGV5YEUAC=R) do not provide all the valid fields (e.g. MID).
• GR10YT=RR cannot display YIELD.
• The average realtime lag statistics calculation method may rarely lead to negative values and may trigger false alerts stating the internal processing delay was too high.
• Trayport Prompt instruments must not generate rolling forward symbol lists.
• In rare circumstances an application thread may hang when performing a large number of TS1 updates and deleting symbols at the same time.
• Volume for CFI2Z2 is frequently too low when compared to Thomson Reuters Kobra 3000.

Bugfixes in DataConnect Version 5.4.2

• The current candle's Open/High/Low is incorrect when opening a Bloomberg currency in 1 hour periodicity using pass-through mode.

Bugfixes in DataConnect Version 5.4.4

• Trayport level II information can go out of date in the specific, rare cases of order correction.
• The session of the first Bloomberg instrument requested after DataConnect starts up may be shifted in rare cases. 

Bugfixes in DataConnect Version 5.4.5

• Withheld Trayport orders must not be listed in Level 2 / Market Depth views
• Volume indicator displays E3001 (Volume series not available) although the underlying instrument appears to have the volume data available when using Bloomberg in pass-through mode.
• Realtime updates for the BID field of a Bloomberg currency can be ignored, although the last field (which is also based on bid is correct.

Bugfixes in Tradesignal Market Data System Version 5.3.0

• Specify a timeout value, that when exceeded by a request to openconnect, logs a warning (or error) to the windows event log.
• Reuters JGB futures have no expiry date or contract size set.
• The Field for last trade date time is often blank (only visible in Tradesignal 6.3).
• Resolving an IP address to its hostname does not work on Windows XP as seen by missing hostnames in the active user dialog.
• Incorrect display name for some currencies.
• Currency deposits and forwards may not display negative prices in realtime updates.
• Period based backfill may request less data then needed when requesting ticks for a long expired symbol.
• Candle cache size statistics is not correctly updated when instruments are removed.
• Cache-related statistics may not appear in TMDS Console when no instruments were present when connecting the console.
• TMDS does not copy data when cloning an instrument.
• TMDS Console removes the wrong symbol from its list when deleting an alias.
• No way to distinguish Alias from Source symbol when viewing symbols by name.
• Removing a TMDS connection from the Management Console does not ask for confirmation.
• Adding multiple users to a license does not write its given information into the license file under some circumstances.
• Importing an export file into an empty database creates the instruments but not import the data.
• Occasionally some or all intraday periods for instruments stop ticking in the morning or slowed database operations are observed.
• A few ticks of data may not be recovered on startup when recovering instruments that are fast-ticking at the time of recovery.
• Currency reference data may be cleared in the nightly property update for some classes of Bloomberg symbols.
• Extension symbol lists for Trayport, Bloomberg and OpenConnect, may not be resent to Tradesignal following a TMDS restart, leading to unavailable lists.

Bugfixes in Tradesignal Market Data System Version 5.3.1

• Timeout can occur when logging in a user to the DACS system either when a significant amount of user log-on attempts have previously failed or multiple DACS servers are available with simultaneous log-ons. 

Bugfixes in Tradesignal Market Data System Version 5.3.2

• The Last series is not collected for Reuters currency symbols provided via the D2 and EBS contributors.
• Changing Trayport rolling forward back-adjustment to none or proportional is not reflected in symbol lists so that rolling forwards will always be absolutely back-adjusted.
• Historic inserts may result in ticks inserted into the wrong candle when 3 or more ticks are already present at exactly the same timestamp and that timestamp is the first second in a minute.
• Very rare cumulation error can occur for very specific combinations of hours, minutes, seconds and milliseconds.
• Usernames containing special characters (like underscore) cannot be entered into the console.
• When two services use the same user/host pair, TMDS Console writes services definition in a format that is neither fully supported by TMDS nor by Tradesignal.
• TMDS Console crashes when the [Services] section in MDS.INI contains two identical configured service (by manually editing the file).
• Out of session tick filter ignores session parts for Reuters instruments that are separated with spaces (instead of the standard comma separator).
• Following a Trayport feed restart, some instruments may occasionally remain marked as stale (normally when left open in a Tradesignal watchlist).

Bugfixes in Tradesignal Market Data System Version 5.3.3

• Unhandled exception may occur when the number of incoming ticks exceeds the limit that causes an event log warning to be generated.
• Deadlock may occasionally occur and prevent certain other operations from completing, when an alias symbol that is used in an active Tradesignal watchlist is deleted on the server.
• Crash may occur in the rare circumstance that an exception is caught in the process of preparing candle data to be sent to clients.
• Incomplete Trayport history may be stored when the GlobalVision data source provides DealDate timestamps with millisecond granularity (after a recent GlobalVision client update) and the history is obtained directly from the SQL Server.
• Out of memory crash can occur when configuring an extremely high value for maximum number of log entries and then using the "E-Mail support logs" feature.
• Infrequent crash may occur when Trayport tick corrections and new updates are processed at roughly the same time.
• In rare cases, backfill retrieval could be repeated endlessly for the same UDC constituent contracts leading to a high CPU load on Trayport SQL database servers.
• Crash can occur when UDC rollover was detected roughly at the same time when new data was processed.
• A failed DBU backfill may lead to an incorrect warning message in the log.

Bugfixes in Tradesignal Market Data System Version 5.3.4

• Some SNMP clients report an error in the TMDS-MIB.mib file due to missing quotes.
• Console does not support displaying Trayport symbol map data if it exceed 32000 characters.
• When using symbol maps, Trayport feed handler does not send updates for both the original and mapped symbol when the client subscribes to both symbols.
• Console may occasionally crash after installation if no data feeds are configured and the set licenses dialog is displayed.
• Checking checkbox for 'generate SNMP Trap....' will not be stored.
• Console does not always write the correct "collected history limit" setting for the daily period.

Bugfixes in Tradesignal Market Data System Version 5.3.5

• CDS instruments (such as FRGV5YEUAC=R) do not provide all the valid fields (e.g. MID).
• GR10YT=RR cannot display YIELD.
• Volume for CFI2Z2 is frequently too low when compared to Reuters Kobra.
• Level II data is not forwarded to Tradesignal correctly.

Bugfixes in Tradesignal Market Data System Version 5.3.6

• The current candle's Open/High/Low is incorrect when opening a Bloomberg currency in 1 hour periodicity using pass-through mode.
• Add Implied Yield data collection to futures symbols based on government bonds (e.g. FGBLc1, USc1).

Reuters Entitlement Proxy-Server

The Tradesignal Market Data System now acts as a proxy to the DACS entitlement system, so that Tradesignal clients no longer need to make their own connections to any other server than a Tradesignal Market Data System. This new service will automatically be used by an installed Tradesignal Market Data System for all Tradesignal clients from version 6.2. The old client-side behaviour will continue to function for Tradesignal versions 6.1 and earlier. The same DACS settings entered into Tradesignal (User and Position) will continue to work with the new system. The Tradesignal Market Data System-Console allows configuration of this service in the connection settings for a Reuters feed. Log messages will be dumped to the main console log.

Please note: Tradesignal 6.2 clients will no longer be able to permission symbols on earlier Tradesignal Market Data System versions unless the Reuters SFC components are installed by a local administrator to the Tradesignal install directory. 

Reuters Level II data for Nasdaq and NYSE

The Tradesignal Market Data System can now forward market depth data for Nasdaq and NYSE for displaying in the Tradesignal Level II workspace element.

The new Tradesignal now provides you with various assistants that will considerably facilitate your work.

The new Tradesignal Market Data System – 5

Alongside the new Tradesignal we are introducing the even more powerful and efficient new Tradesignal Market Data System.