Ticks (Last Traded Price) ... float or double?

Simmer Down Mr. hftvol:

No one here is really interested in this style of theatrics.
If you choose to listen you may learn something too from this generally positive discussion. No one is stopping you or criticizing your programming/data conversion choices.

Makis knows this subject matter from the inside and very well.
The API layer is clearly client side.


Read the B-Pipes docs your posting and you should have realized your converting string representations of prices.

Page 119 Schemas
Event Type: The requested data event type
TRADE string Corresponds to LAST_PRICE
BID_BEST string Depending on the exchange bid ticks will be
returned as BID, BID_BEST or BEST_BID.
ASK_BEST string Depending on the exchange ask ticks will be
returned as ASK, ASK_BEST or BEST_ASK.
Example Syntax: request.Set("eventType", "TRADE");

*** Edit ***
I'm correcting myself here: just read page 151
prices are Float64
**********


Obviously you've got some coding skills... Calculate adding the expense of string conversions to your data types and see how much hardware you'll need to process 10 Million messages a second.

Maybe Bloomberg carries a respected brand name but B-PIPE API is not cream of the crop. I think you were on the right track with Nanex NxCore.

Just keep this discussion civil and productive. If you want to call bull shit do it through PM's.

Quote from hftvol:

You are a total cheat!!! Not only do you talk bullshit on the C thread but here as well.

Here is the Bloomberg B-PIPE API, anyone can see on page 119 and following that you are simply wrong. You are an evil minded troll who makes up lies or you really have no clue, but for a matter of fact you make up stories:

http://www.openbloomberg.com/files/2012/03/blpapi-developers-guide.pdf

Even though ITCH(nasdaq feed) pumps out prices with decimals (NO CONVERSION), just that they show the full integer as one integer and the fractional part as another integer, THERE IS NO CONVERSION TO INTEGERS GOING ON IN THIS FEED AT ALL, HENCE NO CONVERSION FACTOR.

Reference: your own API documentation link

Next: BATS, they disseminate prices as byte arrays. ALSO FULL DECIMAL representation when converted to actually value type. AGAIN YOU ARE WRONG, NO INTEGER CONVERSION GOING ON

Reference: Your own link.

Next: OPRA: Same here, byte arrays, prices are, after conversion of pure decimal type. NO INTEGER CONVERSION GOING ON HERE AS WELL!!!

Reference: your own link.

You know nothing at all about data feeds and this post makes it abundantly clear!!!

ET is full of morons like you and I call you a cheat and liar because you lied!!! If I get booted off this site for saying that then so be it, I do not have a problem with that. But fact remains that you claim to know things which just flow into your face and which are just plain wrong!!!
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Quote from hftvol:

You are a total cheat!!! Not only do you talk bullshit on the C thread but here as well.

Here is the Bloomberg B-PIPE API, anyone can see on page 119 and following that you are simply wrong. You are an evil minded troll who makes up lies or you really have no clue, but for a matter of fact you make up stories:

http://www.openbloomberg.com/files/2012/03/blpapi-developers-guide.pdf

Even though ITCH(nasdaq feed) pumps out prices with decimals (NO CONVERSION), just that they show the full integer as one integer and the fractional part as another integer, THERE IS NO CONVERSION TO INTEGERS GOING ON IN THIS FEED AT ALL, HENCE NO CONVERSION FACTOR.

Reference: your own API documentation link

Next: BATS, they disseminate prices as byte arrays. ALSO FULL DECIMAL representation when converted to actually value type. AGAIN YOU ARE WRONG, NO INTEGER CONVERSION GOING ON

Reference: Your own link.

Next: OPRA: Same here, byte arrays, prices are, after conversion of pure decimal type. NO INTEGER CONVERSION GOING ON HERE AS WELL!!!

Reference: your own link.

You know nothing at all about data feeds and this post makes it abundantly clear!!!

ET is full of morons like you and I call you a cheat and liar because you lied!!! If I get booted off this site for saying that then so be it, I do not have a problem with that. But fact remains that you claim to know things which just flow into your face and which are just plain wrong!!!
More...

Lets start with some facts:

1) Whoever starts the name calling first is usually the one loosing the argument.

2) As I said earlier, vendors convert within their API to whatever type they want, in order to make it easier for C# kinda programmers to code to their api.

3) Your exact quote was "Most direct exchange feeds also use floating point price data. Saying all use integer type feeds is factually wrong. ". Why you can't come up with one such exchange feed?

4) Right... I am such a liar, most exchanges disseminate prices as integers, but some exchanges disseminate prices as TWO integers. You got me there...... Are you serious?

You brought up exchange feeds. I provided you links from feed specs that they disseminate prices as integers and not doubles. You are calling me a moron because you read on those specs that some of those feeds are actually using two integers. Dude, your credibility goes down faster than Lindsay Lohan's.

You can come back with more name calling or a direct exchange feed that disseminates floating point prices, your call.
 
Fair points made re conversation layout.

However, I was right about Bloomberg B-Pipe, and Reuters RMDs, both are the most heavily used data feed handlers in investment banks globally. Of course when talking high frequency trading one wants to look at direct exchange feeds, but fact remains pretty much all the DMA desks at investment banks are hooked up to B-PIPE or Reuters RMDS, and both do not convert to integer types.

Also several of Makis' mentioned direct exchange feeds do NOT convert to integer types, ITCH being a pretty prominent of those. When I say integer conversion I mean converting the dull decimal value to an integer by introducing a conversion factor.

Maybe my comments at time throw overboard civil conversions but clearly Makis' claims are factually incorrect. I know he will now turn and twist it to no end, exactly as he did in the C thread. In the end he however had to admit that Stackoverflow is the absolute programming authority around at the moment. It just took many pages of sifting through many of his wrong claims and correcting him before he admitted my points were correct. Now he again puts up factually incorrect stuff. It is simply not true that all exchange feeds peruse integer conversion nor is it true that Bloomberg or Reuters does.

By the way, I strongly hint at the possibility that OP is not interested in connecting with a direct exchange hft feed otherwise he would have never asked such question. Thus, it is safe to say that he has much less stringent requirements in regards to his platform.

I stand by my point that it is nonsense for such person to convert everything to integer type values because again

(a) it potentially introduces very hard to debug errors
(b) it costs computational resources to potentially adjust the conversion factor upon each arithmetic procedure
(c) it costs memory to carry around a conversion factor for each field, thus completely defeating the purpose of maintaining a lean interface. The little upside of added precision can be had by using doubles or decimals. I have never in my 13 years as quant finance student, quant at trading desks, prop trader and now principal and portfolio manager of my own funds heard that decimal values do not provide sufficient precision. To the contrary, most libraries content themselves with 4 or 8 byte floating point types. Saying that a moving average suffers from lack of precision means that such person does not understand how to properly and highly efficiently calculate a moving average. Nor would such person actually grasp the fact that a moving average in terms of signal generation does not gain any value add by higher precision, its a completely wasted endeavour because moving averages by nature are just a guideline and nobody cares nor suffers whether a moving average value is 12.213 or 12.214.

Those were my points and I think most all are valid, directly targeting the OP's concern and invalidate factually wrong claims by a certain poster.



Quote from PocketChange:

Simmer Down Mr. hftvol:

No one here is really interested in this style of theatrics.
If you choose to listen you may learn something too from this generally positive discussion. No one is stopping you or criticizing your programming/data conversion choices.

Makis knows this subject matter from the inside and very well.
The API layer is clearly client side.


Read the B-Pipes docs your posting and you should have realized your converting string representations of prices.

Page 119 Schemas
Event Type: The requested data event type
TRADE string Corresponds to LAST_PRICE
BID_BEST string Depending on the exchange bid ticks will be
returned as BID, BID_BEST or BEST_BID.
ASK_BEST string Depending on the exchange ask ticks will be
returned as ASK, ASK_BEST or BEST_ASK.
Example Syntax: request.Set("eventType", "TRADE");

*** Edit ***
I'm correcting myself here: just read page 151
prices are Float64
**********


Obviously you've got some coding skills... Calculate adding the expense of string conversions to your data types and see how much hardware you'll need to process 10 Million messages a second.

Maybe Bloomberg carries a respected brand name but B-PIPE API is not cream of the crop. I think you were on the right track with Nanex NxCore.

Just keep this discussion civil and productive. If you want to call bull shit do it through PM's.
More...
 
all the proof is in my previous post addressing you. One such feed broke down decimal fields into two integers, which actually means that all they do is split up the value, it does not mean they converted to integers in the sense of scaling down/up with adjustment factor which is the precise definition of integer type conversion. All other of your mentioned feeds except BATS do not perform integer conversions, but disseminate essentially floating point values. If you still reject to see the truth in your own quoted references then I do not know how much clearer to make it.

Quote from Makis:

Lets start with some facts:

1) Whoever starts the name calling first is usually the one loosing the argument.

2) As I said earlier, vendors convert within their API to whatever type they want, in order to make it easier for C# kinda programmers to code to their api.

3) Your exact quote was "Most direct exchange feeds also use floating point price data. Saying all use integer type feeds is factually wrong. ". Why you can't come up with one such exchange feed?

4) Right... I am such a liar, most exchanges disseminate prices as integers, but some exchanges disseminate prices as TWO integers. You got me there...... Are you serious?

You brought up exchange feeds. I provided you links from feed specs that they disseminate prices as integers and not doubles. You are calling me a moron because you read on those specs that some of those feeds are actually using two integers. Dude, your credibility goes down faster than Lindsay Lohan's.

You can come back with more name calling or a direct exchange feed that disseminates floating point prices, your call.
More...
 
"There are not A LOT of exchanges that distribute fixed points."
--hftvol 04-08-13 11:28 PM

"ALL exchange feeds disseminate prices as Integers."
--makis 04-09-13 09:22 AM

"Most direct exchange feeds also use floating point price data. Saying all use integer type feeds is factually wrong."
--hftvol 04-09-13 05:43 PM

"Please show me where I am factually wrong. Can you name an exchange feed that disseminates prices as floating points?"
--makis 04-09-13 08:28 PM

"You are a total cheat.....they show the full integer as one integer and the fractional part as another integer"
--hftvol 04-09-13 09:39 PM

"Also several of Makis' mentioned direct exchange feeds do NOT convert to integer types,"
--hftvol 04-09-13 11:03 PM

"but clearly Makis' claims are factually incorrect."
--hftvol 04-09-13 11:03 PM

I hope there is no language barrier here. You said 'distribute', where the proper industry term is 'disseminate'. I never talked about any kind of conversions.... I directly addressed your claim of distribution.

Bottom line, the fact is that feeds disseminate prices as integers. One or two of them. Conversion or no conversion.

You can keep repeating my claims are incorrect... but you still have not show us any exchange feed disseminate/distribute prices as floating point.
 
1) That was in response to you claiming there are "A LOT". Later you even said "ALL" -> You were proven incorrect.

2) As said above -> Proven incorrect.

3) That is absolutely correct, even out of the 7 (including BB and Reuters) 5 use floating point data types. That falls under the category "majority". Same as you said previous in the C thread "C and C++" are the most popular languages, later you admitted they rank Wayyyyyy below C# and other languages in terms of popularity) -> Again you fabricate stuff.

4) I named several exchanges by name and pointed to YOUR links.
-> Again, you asked for something, I showed you proof.

5) Exactly. And if you still do not grasp that splitting up 100.50 into an int of 100 and another int of 50 is FUNDAMENTALLY different than doing an Integer conversion which represents the value as an int of 1005 with adjustment factor "10" then you cannot be helped.

6) Proven, read and go to the links YOU PROVIDED, you should not link to sources you have not even read nor understand.

7) Among MANY, were you not the one who "worked many years with data vendors", did you not say that is your "living" and in the same post claimed Bloomberg's BPIPE and Reuters RMDS use integer value conversions? So yes, you were FACTUALLY incorrect on numerous counts.

Ha, and now the "twist and turn". Did I not predict this will happen? You now come to talk about word choices of dissemination vs distribution and you are trying to tell us you ALL ALONG did not claim "ALL exchange feeds perform integer conversions"? Integer conversions were CLEARLY DEFINED by an earlier poster, now you say you did not mean that? What a TOOL YOU ARE!!!

I will not respond to ANY of your posts ever again. You are trying to pull your ass out with semantics? Ridiculous!!!


Quote from Makis:

"There are not A LOT of exchanges that distribute fixed points."
--hftvol 04-08-13 11:28 PM

"ALL exchange feeds disseminate prices as Integers."
--makis 04-09-13 09:22 AM

"Most direct exchange feeds also use floating point price data. Saying all use integer type feeds is factually wrong."
--hftvol 04-09-13 05:43 PM

"Please show me where I am factually wrong. Can you name an exchange feed that disseminates prices as floating points?"
--makis 04-09-13 08:28 PM

"You are a total cheat.....they show the full integer as one integer and the fractional part as another integer"
--hftvol 04-09-13 09:39 PM

"Also several of Makis' mentioned direct exchange feeds do NOT convert to integer types,"
--hftvol 04-09-13 11:03 PM

"but clearly Makis' claims are factually incorrect."
--hftvol 04-09-13 11:03 PM

I hope there is no language barrier here. You said 'distribute', where the proper industry term is 'disseminate'. I never talked about any kind of conversions.... I directly addressed your claim of distribution.

Bottom line, the fact is that feeds disseminate prices as integers. One or two of them. Conversion or no conversion.

You can keep repeating my claims are incorrect... but you still have not show us any exchange feed disseminate/distribute prices as floating point.
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Is there anything or anybody out there to take the keyboard away from that idiot hftvol or whatever his name is?? Jebus f**in ch**st, once in 3 years end up reading a thread or two, and curse hours after that, why I wasted 15 mins of my life.... Endless suply of morons with unlimited energy to go and bull**t for months until moving to the next forum to molest another group of people. No wonder good guys/girls leave the forum eventually.... Arrgghh, ppl, how you can cope and answer and debate that guy? Now everybody go and have a beer and leave that expert doing his 100,000 loops in C#...

And by the way, regarding a different thread, HDF5 is NOT a database, good for you that you were able to figure out that much, moron... The fact you DON'T KNOW how to use something doesn't mean it's bad, it's just YOU DO NOT KNOW.

Don't bother replying, Elvis has left the building...
 
...because I tested HDF5 performance and it was anything but impressive. Not only does it pose one of the most complex schemata and data structures but it comes along with a long list of short comings. One of the biggest is you cannot just delete an object. Oh wait, I was wrong, you can, its just that the space does not get released, LOL. Here you go, http://www.hdfgroup.org/hdf5-quest.html#del

It was great until noSQL DBs came along but since then it has become a dinosaur.

Do you not think you are a hypocrite? You complain about others but yourself add zero value other than being personal. Prove me wrong, show me clearly what I said is wrong and why and you can be as personal to me as you like. Being personal just for the sake of it qualifies you as a troll.





Quote from 6yaNYCjm5m:

Is there anything or anybody out there to take the keyboard away from that idiot hftvol or whatever his name is?? Jebus f**in ch**st, once in 3 years end up reading a thread or two, and curse hours after that, why I wasted 15 mins of my life.... Endless suply of morons with unlimited energy to go and bull**t for months until moving to the next forum to molest another group of people. No wonder good guys/girls leave the forum eventually.... Arrgghh, ppl, how you can cope and answer and debate that guy? Now everybody go and have a beer and leave that expert doing his 100,000 loops in C#...

And by the way, regarding a different thread, HDF5 is NOT a database, good for you that you were able to figure out that much, moron... The fact you DON'T KNOW how to use something doesn't mean it's bad, it's just YOU DO NOT KNOW.

Don't bother replying, Elvis has left the building...
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Sorry forgot my beer :D , had to come back...

Have to apologize to the original poster... have a very short fuse for "hftvol" experts.
Integer is way to go, all knowledgeable ppl already explained everything, nothing to add. Listen to the wise man.

And you "hftvol", told you don't bother responding. Can't hear you, what, what, la, la, la, talking to the hand dude... OK, seriously now, pack it and go, let good people help good people.

Now I am really gone...
 
ha, you are one of the good people? Where is the good value you added? I tried to solve problems and help, and part of that I understand is to correct incorrect and false information. That is what I did. Sorry that my tone and way of putting things does not fit into your politically correct, academic theoretical world. I am clearly not associating with your type nor do I appreciate it much because the value-added here as well as generally in life is just often getting lost in all that abstract speak of your kind.

Quote from 6yaNYCjm5m:

Sorry forgot my beer :D , had to come back...

Have to apologize to the original poster... have a very short fuse for "hftvol" experts.
Integer is way to go, all knowledgeable ppl already explained everything, nothing to add. Listen to the wise man.

And you "hftvol", told you don't bother responding. Can't hear you, what, what, la, la, la, talking to the hand dude... OK, seriously now, pack it and go, let good people help good people.

Now I am really gone...
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