Getting Started Trades

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Basic:	Intro/Trade	Quote	Category	Status	Symbol	Options
Detailed:	Trade	Quote

Getting Started and Introduction to Trades

This is a simple introduction to writing code using NxCore. If you are not ready to begin writing code, check out Time and Sales to extract NxCore Data using a GUI. This example will cover printing the price and size of trades.

Getting Started

Download and extract the zip which includes everything you need to get started: here
Set the TargetFramework or TargetFrameworkVersion in the .csproj file to the installed .NET version.
Compile the code using the included .csproj files. If you are creating your own .csproj file, ensure the path to the NxCoreAPI .cs file for your system is specified as a compile include.

On Windows: open the MSVS Developer Command prompt and run msbuild tradeSample.csproj /p:Platform="x64"
On macOS and Linux: run dotnet build tradeSample_Linux.csproj

Ensure the dynamic library file can be found.

On Windows, ensure the working directory contains the .dll files

On Linux, add the .so file to LD_LIBRARY_PATH: export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:/Nanex/library/path/

On macOS, add the .dylib file to DYLD_FALLBACK_LIBRARY_PATH : export DYLD_FALLBACK_LIBRARY_PATH=$DYLD_FALLBACK_LIBRARY_PATH:/Nanex/library/path/

Run the executable specifying the path to the demo.XU.nx2 file as the first argument

Code

using System;
using NxCoreAPI;
class tradeSample {

    static unsafe int OnNxCoreCallback(NxCoreSystem* pNxCoreSys, NxCoreMessage* pNxCoreMsg) {
        if (pNxCoreMsg->MessageType == NxCore.NxMSG_TRADE) {

            NxCoreHeader* pHeader = &pNxCoreMsg->coreHeader;
            String symbol = new String(&pHeader->pnxStringSymbol->String);
            NxTime* pTimestamp = &pHeader->nxExgTimestamp;
            
            NxCoreTrade* pTrade = &pNxCoreMsg->coreData.Trade;
            double price = NxCore.PriceToDouble(pTrade->Price, pTrade->PriceType);
            uint size = pTrade->Size;

            Console.WriteLine("Trade for {0:s} at {1:d2}:{2:d2}:{3:d2} {4:d} shares at ${5:f2}",
                symbol, pTimestamp->Hour, pTimestamp->Minute, pTimestamp->Second, size, price);
        }
        return NxCore.NxCALLBACKRETURN_CONTINUE;
    }

    static unsafe void Main(string[] args) {
        if (args.Length < 1)
            return;
        int returnValue = NxCore.ProcessTape(args[0], null, 0, 0, tradeSample.OnNxCoreCallback);
        NxCore.processReturnValue(returnValue);
    }
}

Import

This creates an alias for the System and NxCore namespace. The NxCore Namespace is from one of 3 files depending on CPU architecture: "NxCoreAPI.cs" for 32-bit Windows, "NxCoreAPI64.cs" for 64-bit Windows, or "NxCoreAPI_Linux.cs" for linux and macOS. The NxCore .cs file is determined by the .csproj file used. The NxCoreAPI namespace loads a corresponding dynamic library("NxCoreAPI.dll", "NxCoreAPI64.dll", "libnx.so", or "libnx.dylib") from the working directory or library path. If you receive a System.DllNotFoundException error, ensure the program can find the dynamic library. For Windows, place the dll in the working directory. For Linux, include the library folder in LD_LIBRARY_PATH. For macOS, include the library folder in DYLD_FALLBACK_LIBRARY_PATH.

using System;
using NxCoreAPI;

Callback Function

The NxCore API uses a callback function to deliver tick data. OnNxCoreCallback must be defined with 2 parameters of type NxCoreSystem and NxCoreMessage, respectively. The callback should return NxCALLBACKRETURN_CONTINUE to receive the next message.
The type of message is set in the MessageType field of the NxCoreMessage object. Since we only want to process trades we check that MessageType equals NxMSG_TRADE.

static unsafe int OnNxCoreCallback
(NxCoreSystem* pNxCoreSys, NxCoreMessage* pNxCoreMsg) {
    if (pNxCoreMsg->MessageType == NxCore.NxMSG_TRADE) {
        ...
    }
    return NxCore.NxCALLBACKRETURN_CONTINUE;
}

Message Header

The coreHeader member in NxCoreMessage contains general information about the message. For this example we will get the Symbol from pnxStringSymbol and exchange timestamp. For most feeds nxExgTimestamp will have millisecond resolution.

NxCoreHeader* pHeader = &pNxCoreMsg->coreHeader;
String symbol = new String(&pHeader->pnxStringSymbol->String);
NxTime* pTimestamp = &pHeader->nxExgTimestamp;

Trade Message

The Trade member in the coreData member in NxCoreMessage contains details of the trade when MessageType is NxMSG_TRADE. For this example we will get the size of the trade and the price as a double. PriceToDouble can be used to convert NxCore integer Prices into a double floating-point price.

NxCoreTrade* pTrade = &pNxCoreMsg->coreData.Trade;
double price = NxCore.PriceToDouble(pTrade->Price, pTrade->PriceType);
uint size = pTrade->Size;

Printing

This simply prints the values we found earlier in the code.

Console.WriteLine("Trade for {0:s} at {1:d2}:{2:d2}:{3:d2} {4:d} shares at ${5:f2}",
    symbol, pTimestamp->Hour, pTimestamp->Minute, pTimestamp->Second, size, price);

Start Processing

ProcessTape begins processing the file in the first argument. The callback declared earlier should be the fifth argument. For this simple example all other arguments can be ignored. ProcessReturnValue prints the result of ProcessTape.

int returnValue = NxCore.ProcessTape(args[0], null, 0, 0, tradeSample.OnNxCoreCallback);
NxCore.processReturnValue(returnValue);

Next:
Quote
Detailed Trade

API Documentation