Market data request format

A

abarzov

I'm trying to request programmatically NQM11 (E-Mini NASDAQ 100 {Jun 11}) market data. I know that different data feeds use different symbols for NQM11 (@NQM11, \ NQM11 etc.) . Whatever I try for TWS – I get TWS error:

“Error ID 200 No security definition has been found for the request “

It may have something to do with Exchange name. I tried GLOBEX, SMART etc. but for no avail.
Could someone help me and give an example of a correct TWS request - Symbol and Exchange name ( and whatever else is relevant ) for this security or, better, a document reference where I can find this info?

Thank you in advance for your help.
 
more details. are you doing this in excel, java,c++

for the latest java API you need to get the contractDetails() and use that contradId when you request the data
 
NQ looks something like:

Symbol = "NQ"
Expiry = "201106"
Exchange = "GLOBEX"
Currency = "USD"
SecurityType = "FUT"

Edit: This is just for IB/TWS. For IB I use the Kts C# library and I really like it.
 
Thank you all for your help.
1. <more details. are you doing this in excel, java,c++>
I'm doing it in C++.
2.<for the latest java API you need to get the contractDetails() and use that contradId when you request the data>

A request for market data uses structure Contract, which includes cusip (for bonds), but does not include conid. There is no place to put conid from ContractDetails.

Last combination I tried, was:
contract.symbol ="NQ";
contract.secType = "FUT";
contract.expiry = Real expiry date;
contract.multiplier = "20";
contract.exchange = "GLOBEX";
contract.primaryExchange = "GLOBEX";
contract.currency = "USD";
contract.localSymbol= "NQM1"

Damned thing does not work anyway.
Something wrong with the weather, probably :-)
Thanks again for your contribution.
 
Issue is solved. It was a wrong date format.
Special thanks to rdg.
Regarding C#, to my experience C# is not fast enough to handle a massive data flow ( in a good day it may be up to 1000 records a second ). That why I prefer C++. Still have problems putting such amount of data in database in real time. Best result I achieved - 0.08 milliseconds per record.
 
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