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Tomasz,
> What exactly you are writing?
My interest is in indicators that combine information on varying time
scales for an automated trading system to Interactive Brokers via
AmiBroker. For the shortest time scale I want to get as close to the
raw data feed as I can.
I want to use IQFeed's streaming feed rather than IB's 250ms snapshots.
> How do you exactly use AmiBroker IQFeed plugin ?
In the help file you discuss the limitations of GetRTData(); so I am
writing my own plugin version of GetRTData() which updates as fast as
the data used for the Time&Sales window.
> You can not normally see the WM_USER_STREAMING_UPDATE.
A plugin dll can see all Windows messages.
> Are you really writing external application that mimics AB interface
and connects to our plugin?
Not at all. I'm just looking for a way to access the data stream in
real time to try to make a better indicator.
The bigger problem may be that the timestamps are in seconds (not ms).
And relying on reception times as an accurate reflection of tick
timing may render this aspect of the indicator unusable.
Tomasz, if you have any further questions or concerns about what I am
doing, or if you would rather answer my initial questions privately,
please feel free to contact me via email.
You should have my address from our Dec 3rd correspondence regarding
Delphi.
Regards,
Mike S
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> What exactly you are writing? How do you exactly use AmiBroker
IQFeed plugin ?
> You can not normally see the WM_USER_STREAMING_UPDATE.
> Are you really writing external application that mimics AB interface
and connects to our plugin?
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: mikesmith930b
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, December 18, 2008 5:55 AM
> Subject: [amibroker] Capturing IQFeed streaming tick data via plugin
>
>
> Hi,
>
> I'm writing a plugin that analyzes the IQFeed streaming tick data,
(and also saves it to a file for later use). My main database is
1-minute, not tick.
>
> Since GetRTData() is called at the chart refresh rate, I am
getting the the data in real time by monitoring the message loop for
WM_USER_STREAMING_UPDATE, (which I believe is called whenever a new
tick arrives), and then reading RecentInfo directly.
>
> Looking at ADK/QT.cpp as an example of how RecentInfo, (ri in the
code below), is filled I see:
>
> (*1) if( ri->fLast != fOldLast || ri->fAsk !=
fOldAsk || ri->fBid != fOldBid )
> {
> ri->nDateUpdate = ri->nDateChange;
> ri->nTimeUpdate = ri->nTimeChange;
> }
>
> ri->nBitmap = RI_LAST | ( ri->fOpen ?
RI_OPEN : 0 ) | ( ri->fHigh ? RI_HIGHLOW : 0 ) | RI_TRADEVOL |
RI_52WEEK |
> RI_TOTALVOL | RI_PREVCHANGE |
RI_BID | RI_ASK | RI_DATEUPDATE | RI_DATECHANGE;
>
> (*2) ri->nStatus = RI_STATUS_UPDATE |
RI_STATUS_BIDASK | RI_STATUS_TRADE | RI_STATUS_BARSREADY;
>
> Now with IQFeed I see plenty of ticks where (*1)is false, and they
don't seem to be used by the Time&Sales, so what do they represent?
>
> Also I would expect nStatus to generally not be zero, see (*2),
but it is zero - once the initial feed gets up to date. Why?
>
> Thanks,
> Mike S
>
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