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Thank you for your answers.
Answering your original question - plugin send WM_USER_STREAMING_UPDATE
not only when new trades or bid/ask appear.
They send it also:
a) when general update is sent (data sources periodically send quotes even
if there is no new trade or bid/ask to ensure that you get last quotes after trading session is over
or when there is period of inactivity)
b) the update is also sent when bid/ask SIZE changes (even though bid/ask price does not)
c) periodic messages can be sent as well (all our plugins send WM_USER_STREAMING_UPDATE
every one second, even if data source does not send anything).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "mikesmith930b" <mikesmith930b@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, December 18, 2008 4:02 PM
Subject: [amibroker] Re: Capturing IQFeed streaming tick data via plugin
> 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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