Rithmic Zorro Plugin

This project is a plugin for the Zorro Automated Trading System, integrating with Rithmic's R | API+ to provide market data and trading capabilities.

Table of Contents

• Installation
• Usage
• Configuration
• Development
• License

Installation

To install the plugin, follow these steps:

1. Download the latest release from the releases page.
2. Unzip the downloaded file.
3. Copy the rithmic.dll from rithmic_zorro_plugin.zip into the plugin folder under Zorro's root path.
4. Copy the rithmic.dll from rithmic_zorro_plugin64.zip into plugin64 folder under Zorro's root path.
5. Copy the rithmic_ssl_cert_auth_params into Zorro's root path.

Usage

To use the plugin, follow these steps:

1. Open Zorro, select Rithmic as the broker.
2. Enter the Your Rithmic User ID in the User ID input box.
3. Enter the Your Rithmic Password in the Password input box.

Configuration

The plugin needs to be configured through the Zorro.ini or ZorroFix.ini file (preferred). Following are the Rithimc specific configurations:

MML_DMN_SRVR_ADDR=rituz00100.00.rithmic.com:65000~rituz00100.00.rithmic.net:65000~rituz00100.00.theomne.net:65000~rituz00100.00.theomne.com:65000
MML_DOMAIN_NAME=rithmic_uat_dmz_domain
MML_LIC_SRVR_ADDR=rituz00100.00.rithmic.com:56000~rituz00100.00.rithmic.net:56000~rituz00100.00.theomne.net:56000~rituz00100.00.theomne.com:56000
MML_LOC_BROK_ADDR=rituz00100.00.rithmic.com:64100
MML_LOGGER_ADDR=rituz00100.00.rithmic.com:45454~rituz00100.00.rithmic.net:45454~rituz00100.00.theomne.com:45454~rituz00100.00.theomne.net:45454
MML_LOG_TYPE=log_net
MML_SSL_CLNT_AUTH_FILE=rithmic_ssl_cert_auth_params
RithmicLogLevel=info     // 0=TRACE, 1=DEBUG, 2=INFO, 3=WARNING, 4=ERROR, 5=CRITICAL, 6=OFF Default to 2(INFO).

MML_DMN_SRVR_ADDR, MML_DOMAIN_NAME, MML_LIC_SRVR_ADDR, MML_LOC_BROK_ADDR, MML_LOGGER_ADDR, MML_LOG_TYPE:

Theses are Rithmic's environment configuration. The values provided by your broker. If not set, they are default to Rithmic's Test environment as shown above.

MML_SSL_CLNT_AUTH_FILE: Specify where is the rithmic_ssl_cert_auth_params located. If the file is not in Zorro's root folder, it needs to be full path to the file.

RithmicLogLevel: Sets the plugin's logging level. Default to INFO.

Assets.csv

In the assets.csv, there must be a Symbol column which has .<exchange> at the end of an asset. For example:

Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Market,Multiplier,Commission,Symbol
ESH5,5993.75,0.25,0.0,0.0,0.25000,0.0100000,-98.7,0,1.00,0.0,*.CME

Supported Broker Commands

Following Zorro Broker API functions have been implemented:

• BrokerOpen

• BrokerLogin

• BrokerAsset

  • Only support Balance

• BrokerHistory2

• BrokerBuy2

• BrokerTrade

  • Only output pOpen, the average fill price.

• BrokerCommand

  • GET_COMPLIANCE
  • GET_BROKERZONE
  • GET_MAXTICKS
  • GET_POSITION

    // The Symbol needs to be in <Asset>.<Exchange> format
    brokerCommand(GET_POSITION, "ESH5.CME");

  • GET_AVGENTRY
  • SET_ORDERTEXT
  • SET_SYMBOL
  • SET_ORDERTYPE (0:IOC, 1:FOK, 2:GTC)
  • SET_WAIT
  • GET_PRICETYPE
  • SET_PRICETYPE
  • SET_AMOUNT
  • SET_DIAGNOSTICS
  • SET_LIMIT
  • DO_CANCEL
  • GET_VOLTYPE

  Plugin specific commands:

  • 2000: Set logging level

    brokerCommand(2000, loging_level);
    // Valid logging levels are:
    // 0: TRACE
    // 1: DEBUG
    // 2: INFO
    // 3: WARNING
    // 4: ERROR
    // 5: CRITICAL
    // 6: OFF

  • 2001: Override default order type to DAY. This command has no effect if GTC order is used.

    brokerCommand(2001, 1 or 0);
    // 1: Use Day order type
    // 0: Use default order type, IOC

Development

Prerequisites

• CMake 3.16 or higher
• Visual Studio
• Rithmic API SDK
• Zorro Trading Platform

Installing Dependencies

Rithimic Zorro Plugin relies on several external libraries. You can install these dependencies using vcpkg. Follow these steps to install the required libraries:

1. Install vcpkg:

   git clone https://github.com/microsoft/vcpkg.git
   cd vcpkg
   ./bootstrap-vcpkg.sh

2. Install Required Libraries:

   ./vcpkg install spdlog

3. Integrate vcpkg with CMake: Add the following line to your CMake configuration to use vcpkg:

   cmake .. -DCMAKE_TOOLCHAIN_FILE=/path/to/vcpkg/scripts/buildsystems/vcpkg.cmake

Building the Plugin

1. Clone the repository:

   git clone https://github.com/yourusername/rithmic_zorro_plugin.git
   cd rithmic_zorro_plugin

2. Set the environment variables for the Rithmic API SDK:

   set RITHMIC_API_INCLUDE_DIR=path/to/rithmic/include
   set RITHMIC_API_LIB_DIR=path/to/rithmic/lib

   If using VSCode, these variables can also be set in setting.json under .vscode folder

   "cmake.configureEnvironment": {
       "RITHMIC_API_INCLUDE_DIR": "<path to RApiPlus include directory>",
       "RITHMIC_API_LIB_DIR": "<path to RApiPlus lib directory>",
       "ZORRO_ROOT": "<Path to Zorro root directory>"
   }

3. Run CMake:

   cmake -S . -B ./build

4. Build the project:

   cmake --build ./build --config Release

Contributing

Contributions are welcome! Please open an issue or submit a pull request on GitHub.

License

This project is licensed under the MIT License. See the LICENSE file for details.