Market data request format

Discussion in 'Data Sets and Feeds' started by abarzov, Mar 20, 2011.

  1. abarzov

    abarzov

    I'm trying to request programmatically NQM11 (E-Mini NASDAQ 100 {Jun 11}) market data. I know that different data feeds use different symbols for NQM11 (@NQM11, \ NQM11 etc.) . Whatever I try for TWS – I get TWS error:

    “Error ID 200 No security definition has been found for the request “

    It may have something to do with Exchange name. I tried GLOBEX, SMART etc. but for no avail.
    Could someone help me and give an example of a correct TWS request - Symbol and Exchange name ( and whatever else is relevant ) for this security or, better, a document reference where I can find this info?

    Thank you in advance for your help.
     
    #1     Mar 20, 2011
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  2. rosy2

    rosy2

    more details. are you doing this in excel, java,c++

    for the latest java API you need to get the contractDetails() and use that contradId when you request the data
     
    #2     Mar 20, 2011
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  3. rwk

    rwk

    Try 'NQM1' for LOCALSYSMBOL and 'NQ' for SYMBOL.
     
    #3     Mar 20, 2011
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  4. rdg

    rdg

    NQ looks something like:

    Symbol = "NQ"
    Expiry = "201106"
    Exchange = "GLOBEX"
    Currency = "USD"
    SecurityType = "FUT"

    Edit: This is just for IB/TWS. For IB I use the Kts C# library and I really like it.
     
    #4     Mar 20, 2011
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  5. abarzov

    abarzov

    Thank you all for your help.
    1. <more details. are you doing this in excel, java,c++>
    I'm doing it in C++.
    2.<for the latest java API you need to get the contractDetails() and use that contradId when you request the data>

    A request for market data uses structure Contract, which includes cusip (for bonds), but does not include conid. There is no place to put conid from ContractDetails.

    Last combination I tried, was:
    contract.symbol ="NQ";
    contract.secType = "FUT";
    contract.expiry = Real expiry date;
    contract.multiplier = "20";
    contract.exchange = "GLOBEX";
    contract.primaryExchange = "GLOBEX";
    contract.currency = "USD";
    contract.localSymbol= "NQM1"

    Damned thing does not work anyway.
    Something wrong with the weather, probably :)
    Thanks again for your contribution.
     
    #5     Mar 20, 2011
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  6. abarzov

    abarzov

    Issue is solved. It was a wrong date format.
    Special thanks to rdg.
    Regarding C#, to my experience C# is not fast enough to handle a massive data flow ( in a good day it may be up to 1000 records a second ). That why I prefer C++. Still have problems putting such amount of data in database in real time. Best result I achieved - 0.08 milliseconds per record.
     
    #6     Mar 20, 2011
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