NxCore Plugin

NxCore (pronounced n'core) is a library for retreiving high-resolution live and historical price data, suited for HFT trading and HFT simulation. The latter is supported by Zorro S. NxCore Tape files can be read and evaluated through the assetHistory and callback functions.

NxCore tapes are usually split in 24-hour files that contain price quotes with volume and exchange time stamps of selected assets in a proprietary compressed format. For evaluating a tape, copy the NxCoreAPI.dll that you received together with the data in the Zorro main folder and select NxCore in the account scrollbox. For a script example, see HFT Simulation.

Supported broker API functions

The NxCore plugin can be accessed with the following functions:

login(int Mode);
// opens the NxCore DLL when Mode is nonzero.

brokerCommand(SET_HISTORY, Name);  
// opens the tape file Name and calls the callback function for any asset in the tape, passing a pointer to a QUOTE struct.

typedef struct QUOTE {
  char Name[24];
  // name of the asset, with preceding 'e'
  var Time; 
// the exchange time stamp in microsecond resolution
  var Price; 
// the ask price (positive) or bid price (negative)
  var Size; 
// the ask or bid size

See also:

HFT fill mode, broker plugin

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