2008 May 23 - Fri

A Half Hearted Day

Last night I got some chart software programming accomplished. I can now see bars, trades and quotes. Over the weekend my task to get some indicators on to them, particularily pivots, Bollinger Bands of two or three different time frames, volume historgrams, and a zig zag indicator. A little further down the road, the zig zag indicator will be used for 'snapping' trend/support/resistance lines in to place to help solidify some chart patterns.

I looked in on COIL again this morning. I got sidetracked watching it and didn't realize the rest of the market had opened. When I did notice what was happening, a lot of things went south. It was all well and good that I didn't do anything. There will always be another trading day, and hopefully for Tuesday I can have my basket trading in place.

That is, I'm hoping to finish off the order entry bit that talks to Interactive Brokers. In doing so, I can then finish the integration my order basket tracking. Each evening, I run three different stock selection filters and come up with a total of about 40 different symbols with associated entry parameters. If all goes well, I can do some semi-automated trading: ie let the computer get my entries in first thing in the morning, then I can monitor the profit curve and start setting stop-loss points to generate automated exits.

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RCF - Interprocess Communications for C++

For a couple of distributed computing projects, I've been trying to come up with a feasible and easy to use method for making applications talk to each other, whether they be on the same machine or across a network.

I started off doing some work with Douglas C. Schmidt's ACE: The ADAPTIVE Communication Environment. I plowed through ACE's three primary programming books to see what would be the best bit of the environment I would need. I ended up implementing a demo with the Acceptor - Connector framework, just to see how things worked.

I then started on thinking on the messaging structure and the event handling structures. ACE's mixture of macros and classes turned out to be a little overwhelming for what I wanted to accomplish.

During my stint with ACE, I started to use ASIO, from the Boost libraries. I was first introduced to ASIO through working with WT: WebToolKit. I used Wt as a frontend to a voip call sign in server.

The next step in the evolution is to present a real time call summary report to authorized management as the calls are authenticated, authorized, and accounted for from a Radius server. This means sending call detail messages from the Radius server to a central dispatch server, and then publish to active web clients (with the clients written with Wt).

As Wt uses ASIO for its underlying network communications, and I had read a remark somewhere that ASIO is the new improved ACE, I started to look into it as the mechanism for my inter-process communications. I even got a good chunk of messaging infrastructure written as was about to get it testing when I found it was all for nought.

I came across RCF - Interprocess Communications for C++. It is a library that has been in development for the last few years by a talented fellow by the name of Jarl Lindrud. The library has implemented all the stuff that I only dreamed about doing: publish/subscribing, stream encryption, payload filtering, and any number of other nifty features.

I had a few painful moments in getting the library built. After a couple of messages back and forth to the author, I realized I was trying to build the whole thing into a static library rather than using an 'include' technique to get the platform specific files built.

The client and server examples built and ran without a hitch. I must admit that I was impressed by the examples in the ACE books as well: they compiled and ran with little or no messing about.

The RCF library is better because it deals with serializing native values back and forth, something that ACE only accomplishes when you get into the TAO and CORBA levels of the environment.

So now with Boost (which includes ASIO), RCF (which uses ASIO), and Wt (which also uses ASIO), I think I have all the interprocess tools I need to make my modules talk to each other. Now I can get on with the meat of my projects.

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