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Creating a data feed connection provider for NT
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Creating a data feed connection provider for NT

  #11 (permalink)
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Omer עומר / Israel י
 
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What a bummer....

I was able to create a small FIX server and bring the connection up.
(Logon message working and heartbeat message working...)

When i connect to IQfeed and then to the FIX server, both connecitons are up.

If i request a normal symbol then that works on IQfeed

When i request a symbol that is only defined for the FIX connection (TT) then the
request does not arrive in my FIX server and gives an invalid symbol error.

When i bring the IQfeed connection down, then the message comes in the FIX server.

That kind of invalidates my plan for having an IQfeed connection and next to it
my own synthetic data feed in parallel ... @Big Mike was right on that, doesn't work.


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  #12 (permalink)
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Omer עומר / Israel י
 
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6 weeks later...

I was able to create my own synthetic data server and it provides now both historical and streaming data to Ninjatrader and my own trading engines. I have it also working on Ninjatrader 8.0 as there were some subtle differences in how they pull the data, that was a nice experience.

For the future I plan to start doing my developments in parallel on 7.0 and 8.0. While NT 7.0 stays the production environment, slowly getting up-to-speed in Nt 8.0

NT 7.0 and NT 8.0 and my own platform now concurrently connect to my data-server. No difference in update speed, the charts blink at the same moment.

I also noticed, if I do "wrong" things, it can make Ninjatrader 8.0 spin like a wheel and it will be difficult to bring it back under control. But that's only in a development environment. In that respect NT 7.0 seems to be a bit safer when you present it mall formatted information.

At the end i have chosen to write all data out to the DB and pull it back from the DB. The number of instruments is only a bit more than 100 and the speed is not critical, within a few seconds is perfectly acceptable.

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  #13 (permalink)
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rleplae View Post
6 weeks later...

I was able to create my own synthetic data server and it provides now both historical and streaming data to Ninjatrader and my own trading engines. I have it also working on Ninjatrader 8.0 as there were some subtle differences in how they pull the data, that was a nice experience.

For the future I plan to start doing my developments in parallel on 7.0 and 8.0. While NT 7.0 stays the production environment, slowly getting up-to-speed in Nt 8.0

NT 7.0 and NT 8.0 and my own platform now concurrently connect to my data-server. No difference in update speed, the charts blink at the same moment.

I also noticed, if I do "wrong" things, it can make Ninjatrader 8.0 spin like a wheel and it will be difficult to bring it back under control. But that's only in a development environment. In that respect NT 7.0 seems to be a bit safer when you present it mall formatted information.

At the end i have chosen to write all data out to the DB and pull it back from the DB. The number of instruments is only a bit more than 100 and the speed is not critical, within a few seconds is perfectly acceptable.

Nicely done. There would be some uses for this, if you consider sharing it at some point in the future it may benefit some.

Mike

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  #14 (permalink)
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rleplae View Post
6 weeks later...

I was able to create my own synthetic data server and it provides now both historical and streaming data to Ninjatrader and my own trading engines. I have it also working on Ninjatrader 8.0 as there were some subtle differences in how they pull the data, that was a nice experience.

For the future I plan to start doing my developments in parallel on 7.0 and 8.0. While NT 7.0 stays the production environment, slowly getting up-to-speed in Nt 8.0

NT 7.0 and NT 8.0 and my own platform now concurrently connect to my data-server. No difference in update speed, the charts blink at the same moment.

I also noticed, if I do "wrong" things, it can make Ninjatrader 8.0 spin like a wheel and it will be difficult to bring it back under control. But that's only in a development environment. In that respect NT 7.0 seems to be a bit safer when you present it mall formatted information.

At the end i have chosen to write all data out to the DB and pull it back from the DB. The number of instruments is only a bit more than 100 and the speed is not critical, within a few seconds is perfectly acceptable.

What kind of connection are you emulating? I tried once and gave up. I ended up implementing my own data feed in the open protocol created by SierraChart, called DTC. Working very nice, but I miss some 3rd party software I have on Ninjatrader. Any hint? The Ninjatrader guys keep saying the only way to get data is using the available connection types.

[]s
GentleTrader

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  #15 (permalink)
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GentleTrader View Post
What kind of connection are you emulating? I tried once and gave up. I ended up implementing my own data feed in the open protocol created by SierraChart, called DTC. Working very nice, but I miss some 3rd party software I have on Ninjatrader. Any hint? The Ninjatrader guys keep saying the only way to get data is using the available connection types.

[]s
GentleTrader

I am using the IQfeed connector that is built-in to NinjaTrader.

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  #16 (permalink)
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rleplae View Post
I am using the IQfeed connector that is built-in to NinjaTrader.

Does your software pretends to be IQFeed actual software? Is the comunication between Ninja and IQFeed made by sockets, even if it's local, or am I wrong? Does it use a special/proprietary protocol?

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  #17 (permalink)
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Omer עומר / Israel י
 
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rleplae's Avatar
 
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GentleTrader View Post
What kind of connection are you emulating? I tried once and gave up. I ended up implementing my own data feed in the open protocol created by SierraChart, called DTC. Working very nice, but I miss some 3rd party software I have on Ninjatrader. Any hint? The Ninjatrader guys keep saying the only way to get data is using the available connection types.

[]s
GentleTrader


GentleTrader View Post
Does your software pretends to be IQFeed actual software? Is the comunication between Ninja and IQFeed made by sockets, even if it's local, or am I wrong? Does it use a special/proprietary protocol?

You are right, the proxymodule, pretends to be iQfeed and then goes out to the real IQfeed for the normal symbols, or to my data server for my private symbols.

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  #18 (permalink)
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rleplae View Post
You are right, the proxymodule, pretends to be iQfeed and then goes out to the real IQfeed for the normal symbols, or to my data server for my private symbols.

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very interesting , could you share some more about the proxy ??

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  #19 (permalink)
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gztanwei View Post
very interesting , could you share some more about the proxy ??

It is a program that listens on a TCP/IP port for an incoming request from NT.
It analyses that message and decides to forward that request to the left or to the right.
The answer that is received is then returned to NT.

It is very similar to any other proxy that is able to interpret the protocol.
a web proxy would do the same and block certain request based on the URL or serve the request from
it's cache if it already knows the answer. This is what is commonly known as a "proxy".

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  #20 (permalink)
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rleplae View Post
It is a program that listens on a TCP/IP port for an incoming request from NT.
It analyses that message and decides to forward that request to the left or to the right.
The answer that is received is then returned to NT.

It is very similar to any other proxy that is able to interpret the protocol.
a web proxy would do the same and block certain request based on the URL or serve the request from
it's cache if it already knows the answer. This is what is commonly known as a "proxy".

Understand the concept , but how can we Point IQFeed to my own Database source?? are we need to build another machine to be "IQFeed" Server ? I would like to do something similar , which Point I need to start ??

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