how to incorporate live data feed

Discussion in 'Data Sets and Feeds' started by abaazov, Aug 22, 2007.

  1. abaazov


    hi guys, sorry if this is a newbie question. i would like to know, once i have my trading system programmed, how and from where can i incorporate the live data feed into it? do i have to use the live data feed of the platform i am using? i.e. TT or some other platform? can i connect directly to the exchange? any help regarding this question would be greatly appreciated.
  2. I'd suggest you work on the tester, first.

    Obviously, you haven't made one because the tester (and the system) you used doesn't incorporate live conditions.

    Let's say you have all the historical backtesting engine and testing done. You just have to convert the historical data reader to a live feed reader.

    I guess people need to be reminded that backtesting is a "trading simulation using historical data".
  3. abaazov


    the back testing has been done, extensively. what i am trying to understand now is how does the actual connection work between a trading program and a live feed provider. do i have to go to, for example, TT, and ask them for a live feed? is it as simple as that? are there other choices? does the live feed cost money? i am guessing i will need x-trader pro.
    i just want to know how does a live feed go into my system.
  4. Sockets. (Remoting)
  5. You'll have to pay.
    You'll have to have software that can
    connect to the data provider, login, make requests for data, cancel, logout, etc.
    All provide an API for doing those things; the better ones have an IP (internet/ethernet) API; others require that you run their app. on Windows, which would also have an API.
  6. abaazov


    which are the better ones?
  7. Davdse


    Could you please give me some examples of such providers?
  8. No. APIs are not OS driven but language compatibility issue.

    (Unless you're talking about .NET)
  9. Better based on what?

    What language is your original tester / model coded in? How much cost can you pay? What's your capital? What the F*ck do you expect from what you post? You expect ET to be some psychic service?

    I'm really skeptical about the model you've developed based on the basis of thought process you've provided so far.

    Give us one good reason (You say extensive tests but give us what you actually did and results of those tests), ET should take you seriously.


    Added after the above:

    The first 2 posts by the OP is him just opening a prop. firm.

    Considering the competency you have have towards ATS (Automated Trading System), I would not consider trying to get retail system developer into your portfolio.

    System trading / development is very very very tricky. If you (or partners) don't have direct experience developing models for a living... I wouldn't suggest touching it. It's a lot more easier to trade / train discretionary traders, unlike the general view of computerized trading.

    (There's quite a few developers who combine discretionary and systems. But there not a lot of pure systematic traders, even in ET. It's very hard/rare to find someone who's paid their bills just by pure systematic trading for over 3 years... I've only seen "confidently" to identify about 10-15 posters seems to have what it takes to make a living... in ET that is...)

    Good luck with your endeavor.
  10. abaazov


    ganngalt, what the hell are you talking about? if you have an answer to my question give it to me, if you dont be quiet. i am enough of an experienced trader to not have to listen to your baseless opinionated suggestions. i asked a simple question, which are the better ones.

    as for my prop firm, thank you very much it is quite succesful. i dont know how many traders you have coached in your life, but since opening less than two years ago, with OUR OWN CAPITAL, we now have 12 profitable futures traders, and we are hiring five more in the next 3 weeks. i dont need trading advice from you.

    obviously my IT knowledge is limited. thats why i turned to this forum, one which i believe is populated by intelligent traders of various backgrounds. i just want to try and understand exactly how a live feed works, simple. my program is written in c++ but we have just begun rewriting in in c-sharp, because seemingly there is much more "help" for c-sharp written programs than there is for c++. i am just trying to understand how it works. what should i expect to have to pay for this service, and who would be the service providers to use. i have called TT, they said it was quite simple, and my programmer has assured me it is easy. but i want to know what other choices are there. what are people using, and why. basically it is an intra-day system, that will use the tick data feed. do i have to go through a serice provider to get this feed, or is there a way to plug directly to CME ( e-mini)?
    any help would be appreciated.

    p.s. this sytem development has nothing to do with my personal trading or my prop firm.
    #10     Aug 22, 2007