This system aims to present an interface to trading software comprised of objects, procedures, and events that directly represent trading activities. Common API designs expose implementation details such as message packet parsing, message and field IDs, blocking, threading, and event handling mechanisms. This design seems to represent the point of view of the trading software implementor. Another goal of txTrader is to decouple the application software from strict timing and sequencing requirements.
This software implemements interfaces to the API for CQG's CQGNet application and Interactive Brokers' Trader Workstation. The servers provide access to realtime market data, historical barcharts, order management, execution reports, and position data.
The gateway is built on the twisted python server architecture. Each instance implements a TCP/IP ASCII line-delimited protocol as well as an XMLRPC interface. Both services are password protected using a simple username/password pair from a static configuration file.
Common interface code is used to provide identical access to CQG and TWS. Note that the contents of the returned objects may differ. Many fieldnames are common to the two environments.
Status change events are available on the TCP/IP streaming service. The data are JSON-formatted objects.
TxTrader's server daemons depend on external libraries for each configured API:
Interactive Brokers
CQG
RealTick
The txtrader.tws and/or txtrader.cqg servers run as a supervised process under daemontools
The service runs in its own directory under /etc/service/.
The service directory contains startup files: run, txtrader.tac.
Configuration data are read from environment variables, set up using envdir from /etc/txtrader.
Runtime information and errors append to log files: /var/log/<service_name>/current.
The Makefile will set up a user and group account named txtrader. The configuration files are owned by root and readable by this group. Group membership controls interaction with the configured API. To allow a user account to interact with txTrader, add the account to the txtrader group.
curl --location https://github.com/rstms/TxTrader/raw/master/bootstrap.sh | sudo shFor the command line tool, add the current user to the 'txtrader' group:
sudo usermod -a -G txtrader USERNAMEThe server implements the following JSONRPC calls:
add_symbol('symbol')
Request subscription to a symbol for price updates and order entry
cancel_order('id')
Request cancellation of a pending order
del_symbol('symbol')
Delete subscription to a symbol for price updates and order entry
gateway_logoff()
Logoff from gateway
gateway_logon('username', 'password')
logon to gateway
global_cancel()
Request cancellation of all pending orders
limit_order('symbol', price, quantity) => {'field':, data, ...}
Submit a limit order, returning dict containing new order fields (see market_order)
market_order('symbol', quantity) => {'field':, data, ...}
Submit a market order, returning dict containing new order fields
dict will include 'permid' field containing permanent order id string
dict will include 'status' field containing latest order status string
query_accounts() => ['account_name', ...]
Return array of account names
query_bars('symbol', bar_period, 'start', 'end')
=> ['Status: OK', [time, open, high, low, close, volume], ...]
Return array containing status strings and lists of bar data if successful
query_executions() => {'exec_id': {'field': data, ...}, ...}
Return dict keyed by execution id containing dicts of execution report data fields
query_order('id') => {'fieldname': data, ...}
Return dict containing order status fields for given order id
query_orders() => {'order_id': {'field': data, ...}, ...}
Return dict keyed by order id containing dicts of order data fields
query_positions() => {'account': {'fieldname': data, ...}, ...}
Return dict keyed by account containing dicts of position data fields
query_symbol('symbol') => {'fieldname': data, ...}
Return dict containing current data for given symbol
query_symbol_data('symbol') => {'fieldname': data, ...}
Return dict containing rawdata for given symbol
query_symbols() => ['symbol', ...]
Return the list of active symbols
set_account('account')
Select current active trading account
shutdown()
Request server shutdown
status() => 'status string'
return string describing current API connection status
stop_order('symbol', price, quantity) => {'field':, data, ...}
Submit a stop order, returning dict containing new order fields (see market_order)
stoplimit_order('symbol', stop_price, limit_price, quantity) => {'field':, data, ...}
Submit a stop-limit order, returning dict containing new order fields (see market_order)
system.listMethods [['array']]
Return a list of the method names implemented by this server.
system.methodHelp [['string', 'string']]
Return a documentation string describing the use of the given method.
system.methodSignature [['array', 'string'], ['string', 'string']]
Return a list of type signatures.
Each type signature is a list of the form [rtype, type1, type2, ...]
where rtype is the return type and typeN is the type of the Nth
argument. If no signature information is available, the empty
string is returned.
uptime() => 'uptime string'
Return string showing start time and elapsed time for current server instance
The default values for these configuration variables are copied from etc/txtrader to /etc/txtrader at installation. They are
loaded into the environment with envdir by the service run script.
| Variable | Description |
|---|---|
| TXTRADER_API_ACCOUNT | default API account, override with set_account |
| TXTRADER_API_CLIENT_ID | API credential; default to 0 (TWS Specific) |
| TXTRADER_API_HOST | hostname for API TCP/IP connection |
| TXTRADER_API_PORT | port for API TCP/IP connection |
| TXTRADER_API_ROUTE | trade execution route (Realtick specific) |
| TXTRADER_CALLBACK_TIMEOUT | default timeout for API status/response |
| TXTRADER_DAEMON_USER | username (used by run script) |
| TXTRADER_ENABLE_SECONDS_TICK | switch to control time tick update |
| TXTRADER_ENABLE_TICKER | switch to control bid/ask/last updates |
| TXTRADER_HOST | hostname used by client for txTrader |
| TXTRADER_HTTP_PORT | port used by client for txTrader JSON over HTTP |
| TXTRADER_LOG_API_MESSAGES | switch API message i/o logging |
| TXTRADER_DEBUG_API_MESSAGES | switch API message i/o hex dump |
| TXTRADER_LOG_CLIENT_MESSAGES | switch client message output |
| TXTRADER_MODE | backend mode (tws, rtx, cqg) |
| TXTRADER_PASSWORD | password for HTTP session |
| TXTRADER_SUPPRESS_ERROR_CODES | list of error codes to ignore (TWS) |
| TXTRADER_TCP_PORT | port used by client for txTrader ASCII output |
| TXTRADER_TEST_ACCOUNT | account used for regression test |
| TXTRADER_TIME_OFFSET | adjust clock for test system's 15-minute delayed data |
| TXTRADER_USERNAME | username for HTTP session |
| TXTRADER_VENV | virtualenv directory (used by run script, cli script) |
txTrader is designed to run under daemontools
The configuration files service/txtrader are the service template files.
An additional convention is added: if a file named disable is present in the service directory
at startup time, the service prints "Disabled" to its log and sleeps for a minute before restarting.