Click or drag to resize

Instrument identifier

The instruments in the S# from different sources have the SecurityId uniform identifier. This is done in order to the code of trading algorithm does not depend on the type of connection (OpenECry, Rithmic, Interactive Brokers etc.). For the instrument identifier the following syntax used - [instrument code]@[board code]. For example, for the Apple inc shares identifier will be AAPL@NASDAQ. For the derivatives market instruments board will be NYSE (or other board name where AAPL futures trades). For example, for the June futures on the ES index the identifier will be ESM5@NYSE.

Note Note
The S#.Data application for market data download enumerates folders with a history based on the same mechanism.

Identifiers generation algorithm overriding

  1. To start the instrument identifiers generation on the own algorithm, you must create the descendant of the SecurityIdGenerator class, and override the SecurityIdGeneratorGenerateId(String, ExchangeBoard) method:

    class CustomSecurityIdGenerator : SecurityIdGenerator
        public override string GenerateId(string secCode, ExchangeBoard board)
            // will be generate in CODE--BOARD form
            return secCode + "--" + board.Code;
  2. Then, the created generator must be passed to the connector:

    var trader = new RithmicTrader();
    trader.SecurityIdGenerator = new CustomSecurityIdGenerator();