Discussion in 'Trading Software' started by Antonio Leite, Oct 7, 2005.

  1. Created this thread to continue discussion started here:



    RTD is simply not suited for tick data nobody ever claimed it. That is very clear in MS documentation not need to waste time testing.
    The reason is because RTD was written to work the other way around; when something (i.e. a server event) says that data has changed RTD protocol specifies that the client side(Excel) will come and get it by calling other method. There is no queue of events being handled only current value will be fetched. If the throttle value is 0, it means ‘as fast as possible’ otherwise it means come at least once within the given number of milliseconds
    I don’t know what their design goals were but I believe Excel architecture didn’t let them many other choices. This is not just another import option but something that must be deeply integrated with Excel and its calculations mechanism. For the most of it they have succeeded because it can handle enormous quantity of data without limiting the application.

    Now back to your problem one solution is to use COM API which is also included with QuoteLink subscription and but is completely unrelated to RTD formula technology. With COM API you can receive and requested updates within Excel in VBA directly with no need for deep socket programming. Every single update as they come from servers will come through VBA events of the QuoteLink objects (not by hacking with cells and sheet events)

    There are both event driven and synchronous examples on site. The documentation is not complete yet but the VBA API is robust.

    Certainly that will work fine and be usable for many applications.

    But MS Excel designers avoided to push data into their application and we are now going
    to do it with VBA?

    Fortunately there is a much better way.

    Since the RTD formulas fit well in Excel and are an interesting way to tell Excel to go and get data somewhere (see above) why not use them to retrieve the data that was collected elsewhere either in another thread, locally or in a server?

    That is exactly what QuoteIN does with RTD series formulas.

    The series RTD support daily and minute series using Marketfeed (there are examples on site) This can and will be extended to tick. The series drivers for the other providers are not yet written.

    QuoteIN and APIs (.NET and COM) are suited not only for macro level programmers but also for advanced programming the main reasons are the use of standard APIs and the commitment for extreme speed and to minimize the number of pieces of software between the final application and the exchanges.
    At this point and for quotes it has been for the most of it accomplished other areas will follow.

    Antonio Leite
  2. Here's a small snip that I pulled from msdn. The article was specifically geared to address why RTD as opposed to DDE. It seams that the following points are pretty clear about RTD's functionality...


    Snippits from the article...
    The latter part of the article was the reason why I shifted to RTD. Essentially, it is designed specifically so that Excel can pull the data at it's app limit until all the data that has been pushed, by the RTD server, to excel has been entirely pulled, by the excel RTD client... Somewhere in a related article, it is stated that to implement this aspect requires that the RTD server be coded to QUEUE the data being PUSHED such that an RTD Client can PULL the RTD Server's QUEUE of PUSHED data. Without a queue built into the RTD server, the PUSH/PULL is as stated in that a throttle of ZERO would mean just get the current PUSH as opposed to the QUEUE of waiting PUSHED data... Hack or no hack, it is one of the premier differentiators between the RTD and DDE technologies...

    Kind Regards...
  3. Hello,

    Their word update must be read on their context and it does not mean a tick.
    They simply mean that changes are always integrated and every single cell will go to its most updated state sooner or later (i.e the pull mechanism will come and get it for sure).

    It is not possible to handle ticks correctly because interface’s UpdateNotify method has no arguments not even a cell. To keep each tick’s quote/time/shares associated all the way would be very hard.
    QuoteIN series RTD server gets the best of the two worlds by collecting data elsewhere in a separated thread using code written specifically for that as mentioned earlier not a simple queue. In that system Excel is forced to specify what it wants precisely by given a minute, day or tick order.

    1 - there are 2 registered RTD servers one for quotes and other for series
    2 - only daily and minute data are available right now

    For those interested feel free to contact support@quotein.com

    Antonio Leite
  4. Hi Antonio,

    With your connection to Comstock can that pull tick by tick into your QuoteIn RTD format or ???