Real Time Data Now / Nest Trader to Amibroker, Fcharts
- Thread starter josh1
- Start date
VWAP never crashes and is very reliable for me, although slower sometimes. DT is unreliable if used multiple times a day - i use it EOD for Nifty index and that normally works.
Network bandwidth should not matter much if no other activity. A good quality low bandwidth connection should also do - it doesnt even use 1kbps for me.
But you are right, automated backfill during day can interfere - better it be manual. Only EOD can be automated if needed.
josh - 1) Server cannot send all ticks for liquid scrips due to network latency - it could in theory aggregate more of it in their server and send OHLC but they dont do that. So LTQ cannot be used as volume. But for boarders, it meets his requirements for OFA approximation. Volume logic was taken from your excel tool - its correct, LTQ wont work.
2) Refresh period does not impact ability to take ticks. We take ALL ticks that RTD gives us irrespective of Refresh period. So no impact on LTQ/volume, if you aggregate LTQ. Refresh period is only how often AB thread will read current OHLCV of each scrip and send it to AB. This will be removed once we switch to tick updates in future. Tick updates wont be more accurate - it will only update AB without delay.
Network bandwidth should not matter much if no other activity. A good quality low bandwidth connection should also do - it doesnt even use 1kbps for me.
But you are right, automated backfill during day can interfere - better it be manual. Only EOD can be automated if needed.
josh - 1) Server cannot send all ticks for liquid scrips due to network latency - it could in theory aggregate more of it in their server and send OHLC but they dont do that. So LTQ cannot be used as volume. But for boarders, it meets his requirements for OFA approximation. Volume logic was taken from your excel tool - its correct, LTQ wont work.
2) Refresh period does not impact ability to take ticks. We take ALL ticks that RTD gives us irrespective of Refresh period. So no impact on LTQ/volume, if you aggregate LTQ. Refresh period is only how often AB thread will read current OHLCV of each scrip and send it to AB. This will be removed once we switch to tick updates in future. Tick updates wont be more accurate - it will only update AB without delay.
my chart on crude mini with LTQ as base for volume
You may get correct volumes in commodities. There are hardly 40000 contracts in crude from 10:00 AM to 11:30 PM that is 12:30 hours of Trading.
That is 40000 contracts in 44280 seconds or 1 contract per second. Other commodities have even lesser contracts. I did not check commodities volumes since I did not have patience to wait for 12-13 hours.
We get approx. 4 contracts per second in Nifty Future which is one of the highest traded scrip on exchange. There are more than 8 per second when activity is very high.
My AFL takes less than 20 msecs to refresh charts. If yours is taking 1 to 5 seconds, that is just outrageous. Users having no RAM Drive and normal hard disk are also able to refresh charts in less than 1 second. There is something wrong with your AFL or hardware.
Edit-
@Tracerbullet
I did aggregate LTQ while sending it to AB. However, aggregated volumes did not match that with that of VWap table though charts(OHLC) were mostly matching. I am going to test again. Right now I am working on fork of your RTDMan with Ninja.
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Shift to NOW if you can. It is more stable and faster than Nest. I shifted two years back. TB shifted about a year ago.
Though both products are from Omnesys, NOW is officially distributed by NSE through its subsidiary, Dotex International. Nest is distributed by Omnesys with some functional enhancements.
Yes. Both give time stamp of HH:MM:ss but data was streaming. If we have to send ticks to AB, we have to add milliseconds from system clock. I did that but could not see milliseconds in Quote Editor.
. It seemed that AB was aggregating or overwriting ticks to 1 second internally. Have to test again.)
Though both products are from Omnesys, NOW is officially distributed by NSE through its subsidiary, Dotex International. Nest is distributed by Omnesys with some functional enhancements.
Yes. Both give time stamp of HH:MM:ss but data was streaming. If we have to send ticks to AB, we have to add milliseconds from system clock. I did that but could not see milliseconds in Quote Editor.
. It seemed that AB was aggregating or overwriting ticks to 1 second internally. Have to test again.)
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What i am saying is that RTDMan is as accurate as It can be right now itself. Accuracy is dependent on ability of NOW/Nest to send ticks. It seems to be good enough for me, although i have never tried/compared paid ones.
So, Even If we start updating AB immediately( ie TICKMODE - sending ticks) instead of waiting 1 second for buffer ( 1 second OHLC bar), there will be no increase in accuracy as josh seemed to have thought.
yes, as i said, they wont match for liquid scrips - try it for fun. OFA has some special needs - but for normal use current method is the only viable option.
If ms does not work, you can save ticks in array based on LTT - resend all ticks with same timestamp, so that AB can aggregate them. Once LTT changes erase array. See here and here. One way to do this is maybe to create HashMap with key = scrip and value = struct( LTT, Tick array) - So you can have array for each scrip.
So, Even If we start updating AB immediately( ie TICKMODE - sending ticks) instead of waiting 1 second for buffer ( 1 second OHLC bar), there will be no increase in accuracy as josh seemed to have thought.
yes, as i said, they wont match for liquid scrips - try it for fun. OFA has some special needs - but for normal use current method is the only viable option.
If we have to send ticks to AB, we have to add milliseconds from system clock. I did that but could not see milliseconds in Quote Editor.. It seemed that AB was aggregating or overwriting ticks to 1 second internally. Have to test again.)
. It seemed that AB was aggregating or overwriting ticks to 1 second internally. Have to test again.)
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Shift to NOW if you can. It is more stable and faster than Nest. I shifted two years back. TB shifted about a year ago.
Though both products are from Omnesys, NOW is officially distributed by NSE through its subsidiary, Dotex International. Nest is distributed by Omnesys with some functional enhancements.
Yes. Both give time stamp of HH:MM:ss but data was streaming. If we have to send ticks to AB, we have to add milliseconds from system clock. I did that but could not see milliseconds in Quote Editor.. It seemed that AB was aggregating or overwriting ticks to 1 second internally. Have to test again.)
Though both products are from Omnesys, NOW is officially distributed by NSE through its subsidiary, Dotex International. Nest is distributed by Omnesys with some functional enhancements.
Yes. Both give time stamp of HH:MM:ss but data was streaming. If we have to send ticks to AB, we have to add milliseconds from system clock. I did that but could not see milliseconds in Quote Editor.
. It seemed that AB was aggregating or overwriting ticks to 1 second internally. Have to test again.)
@TB,
Please explain this code of yours.
Why are you sending O H L and C as Last to Ninja? I understand volume/4 since one tick is divided into 4 records.
Please explain this code of yours.
Code:
/*
Send OHLC to NinjaTrader
Workaround - Send OHLC as ticks with 1/4 volume
*/
void Worker::pushToNT( const std::vector<ScripBar> & bars ){
int volume = 0 ;
size_t size = bars.size();
const ScripBar *bar;
for( size_t i=0 ; i<size ; i++ ){
bar = &bars[i];
volume = (int)bar->volume/4; // int should be atleast 4Bytes
ninja_trader->Last( bar->ticker, bar->bar_open, volume );
ninja_trader->Last( bar->ticker, bar->bar_high, volume );
ninja_trader->Last( bar->ticker, bar->bar_low, volume );
ninja_trader->Last( bar->ticker, bar->bar_close, volume );
}
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