I'd lilke to have the following: 1) Ability to immediately attach a conditional order just like I can attach a stop order, and then transmit the original trade order + the attatched conditional order. 2) Ability to quickly add conditional orders to an order. In other words, have the original order, let's say a buy at 113 01 on US 30 year bond, and attach a protective sell stop of 112 28, and a profit sell stop at 113 10. A fill of either stop would immediately cancel the other. 3) A variation of #2 would be to somehow exit trade MOC, and cancel both protective stops MOC. By the way, if anyone knows how to easily do the above, let me know.
Why not do a reqMarketData () wait for bid/ask/last or whatever you want, and then cancel the market data request. Keep a pool of market data 'resources' and just cycle through them. Very doable.
There is a limit to the number of subscription requests per day to something like 50K because some people decided it would be a good idea to do this to get almost live quotes on many more symbols than the streaming limit.
An interesting idea, but it in the worse case scenario it could significantly increase the computer resources we would need (internally) to make it available. (i.e. we would need to process and distribute each ticker stream twice: real-time and delayed. How would you feel about it if we charged for it? (obviously not the same amount as for the real-time quotes)
I can see it requiring a separate processing queue to delay the quotes, but I don't think it would increase distribution too terribly much, since I don't think it will get used much. That is, most people subscribe to real-time quotes for the stuff they actively trade. Delayed quotes are going to pretty much be used in a snapshot fashion to look at EOD quotes, charts, etc., and probably not stay subscribed for very long. Also, the processing/distribution can take bottom priority to everything else, since the exact amount of delay is not all that important, as long as it's timestamped (I think). You can probably also up the aggregation window to a second or more. Not too happy to pay for it, since I already do so in two other places, but I might Thanks for listening.