Trading Instrument Data

FinInfo - current quotes on paper

The ISecurity.FinInfo property provides current data on paper. For example, you can see the current bid / ask prices, open price, open interest, expiration date, if any, warranty and more.

The full list can be found here.

An example of a script that logs the current bid and ask prices at each recount:

using TSLab.Script;
using TSLab.Script.Handlers;

namespace MyLib
{
    public class GetFinInfo : IExternalScript
    {
        public void Execute(IContext ctx, ISecurity sec)
        {
            var fi = sec.FinInfo;
            var txt = string.Format("{0}: {1} ({2})  -  {3} ({4})", fi.LastUpdate, fi.Bid, fi.BuySqty, fi.Ask, fi.SellSqty);
            ctx.Log(txt);
        }
    }
}

Bars - candle list

The ISecurity.Bars property provides a list of candles. This list consists of IDataBar objects that contain time, price, volume, open interest.

A detailed description of the source text files can be found here.

An example script that calculates and displays the median price in bars on a chart:

using System.Linq;
using TSLab.Script;
using TSLab.Script.Handlers;

namespace MyLib
{
    public class GetMedian : IExternalScript
    {
        public void Execute(IContext ctx, ISecurity sec)
        {
            var prices = sec.Bars.Select(x => (x.High + x.Low) / 2).ToList();
            ctx.First.AddList("Median", prices, ListStyles.LINE, ScriptColors.Magenta, LineStyles.SOLID, PaneSides.RIGHT);
        }
    }
}

Price list

For convenience, the ISecurity interface provides various price lists:

OpenPrices	List of open prices
ClosePrices	List of close prices
HighPrices	List of highs
LowPrices	List of minimums
Volumes	List of volumes

An example of a script that displays the maximum and minimum prices on a chart:

using TSLab.Script;
using TSLab.Script.Handlers;

namespace MyLib
{
    public class GetPrices : IExternalScript
    {
        public void Execute(IContext ctx, ISecurity sec)
        {
            ctx.First.AddList("HighPrices", sec.HighPrices, ListStyles.LINE, ScriptColors.Green, LineStyles.DOT, PaneSides.RIGHT);
            ctx.First.AddList("LowPrices", sec.LowPrices, ListStyles.LINE, ScriptColors.Red, LineStyles.DOT, PaneSides.RIGHT);
        }
    }
}