Instrument identifier

In S#, instruments from different sources use a unified Security.Id. This keeps trading algorithm code independent of the connection type, such as OpenECry, Rithmic, or Interactive Brokers.

Instrument identifiers use the following syntax: [instrument code]@[board code]. For Apple Inc. shares, the identifier is AAPL@NASDAQ. For derivatives, the board code is the board on which the contract is traded. For example, the June futures contract on the ES index can be identified as ESM5@NYSE.

Overriding the identifier generation algorithm

1. To generate instrument identifiers with your own algorithm, create a descendant of the SecurityIdGenerator class and override the SecurityIdGenerator.GenerateId(System.String secCode, System.String boardCode ) method:

   class CustomSecurityIdGenerator : SecurityIdGenerator
   {
      public override string GenerateId(string secCode, string boardCode)
      {
         // generate identifiers in CODE--BOARD format
         return secCode + "--" + boardCode;
      }
   }
   

2. Pass the created generator to the connector:

   connector.SecurityIdGenerator = new CustomSecurityIdGenerator();