Tick collection

Hey Tom,

For DTN,
tick - 8 days
minute intervals - 120 days
daily - several years

For esignal, I think the tick goes back 10 days.

Stephen

Quote from wincorp:

Hi Stephen,

Thanks for the info.

Quick question - Using the API how far back does the tick
data go? Can you get at least a few days worth?

Thanks,
Tom
More...
 
Stephen,

>tick - 8 days
excellent.

BTW - what did you code your interface in - if you don't mind me asking.

Thanks,
Tom

Quote from schan:

Hey Tom,

For DTN,
tick - 8 days
minute intervals - 120 days
daily - several years

For esignal, I think the tick goes back 10 days.

Stephen
More...
 
I used Python. There are libraries for everything you can think of.

It is interpreted and people say it isn't as fast as C/Java, but simple optimizations make it ten times faster. for example, when receiving your packets, don't concatenate strings by going: data = data + packet

Instead, store packet in array and then go: data = string.join(packet_list) . Since the string lib is in C, it goes full speed.

I also use scipy / Numeric to for analyzing and storing data in memory.

You can also use psycho, a JIT-compiler for python, amazingly simple to use and get almost as fast as C some code.

Quote from wincorp:



BTW - what did you code your interface in - if you don't mind me asking.

Thanks,
Tom
More...
 
Quote from schan:

I used Python. There are libraries for everything you can think of.

It is interpreted and people say it isn't as fast as C/Java, but simple optimizations make it ten times faster. for example, when receiving your packets, don't concatenate strings by going: data = data + packet

Instead, store packet in array and then go: data = string.join(packet_list) . Since the string lib is in C, it goes full speed.

I also use scipy / Numeric to for analyzing and storing data in memory.

You can also use psycho, a JIT-compiler for python, amazingly simple to use and get almost as fast as C some code.
More...

Thanks for posting Schan...

I have been looking at DTN API for developers for awhile - i would like to do the following in real time do you think it is possible...

For all sp500 stocks i would like to grab only the actual printed trades that have a tradeVolsize of 10,000 shares or greater in real time and drop them in an MSDE or AccessDB... do you think i could do this...

i looked at their api docs and it says you can filter for trades only - but can i also filter or only grab trades by certain sizes... for this many stocks... 500?... do you think this is possible without choking my CPU - willing to go to dual opterons if needed...

hope i was clear as to specs...

cj
 
Hi cj,

I don't think DTN has a block size filter.

Even so, I think you can do it. My 50 watch symbols peak at 2000 updates/sec, 25 KB/sec bandwidth, processing 250 KB/sec text with unoptimized python. My PC is a 2.2 Gig Althon handles it ok with charts and IB java app running also. Your sp500 might be 10X this. If 10K blocks are 2% of all trades, 400 seperate inserts/sec might break the database unless you batch them up.

I'm waiting to get a AMD dual-core :)

Good luck,

Stephen

Quote from EdgeHunter:

Thanks for posting Schan...

I have been looking at DTN API for developers for awhile - i would like to do the following in real time do you think it is possible...


For all sp500 stocks i would like to grab only the actual printed trades that have a tradeVolsize of 10,000 shares or greater in real time and drop them in an MSDE or AccessDB... do you think i could do this...

i looked at their api docs and it says you can filter for trades only - but can i also filter or only grab trades by certain sizes... for this many stocks... 500?... do you think this is possible without choking my CPU - willing to go to dual opterons if needed...

hope i was clear as to specs...

cj
More...
 
Quote from EdgeHunter:

Thanks for posting Schan...

I have been looking at DTN API for developers for awhile - i would like to do the following in real time do you think it is possible...

For all sp500 stocks i would like to grab only the actual printed trades that have a tradeVolsize of 10,000 shares or greater in real time and drop them in an MSDE or AccessDB... do you think i could do this...

i looked at their api docs and it says you can filter for trades only - but can i also filter or only grab trades by certain sizes... for this many stocks... 500?... do you think this is possible without choking my CPU - willing to go to dual opterons if needed...

hope i was clear as to specs...

cj
More...

There is no function to filter the quotes in the API, but you can definately do this in your program. Watching 500 symbols shouldn't be an issue (I have watched thousands of symbols on a P4 1.8ghz laptop). Just have your program look for trade volume >10,000 and write that to the database. The relative number of trades with volume > 10,000 is pretty low, so even with 500 symbols you should be able to write that to a database without any issue.

Jay
 
Quote from iqfeed:

There is no function to filter the quotes in the API, but you can definately do this in your program. Watching 500 symbols shouldn't be an issue (I have watched thousands of symbols on a P4 1.8ghz laptop). Just have your program look for trade volume >10,000 and write that to the database. The relative number of trades with volume > 10,000 is pretty low, so even with 500 symbols you should be able to write that to a database without any issue.

Jay
More...

Thanks Jay... helps me better understand my options ...

cj...

:)

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