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How to change Quotedata?

Moderators: Alexei Kurov, Dr. Anton Fokin

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fliesch

Post subject: How to change Quotedata?

Posted: Thu Jan 04, 2018 2:15 pm

Joined: Thu Mar 16, 2006 12:15 pm
Posts: 184

I try to filter quote data:
- I can delete bad quotes with something like this: DataManager.DeleteQuote(thisinstrument, quote.DateTime);
- But I cannot change a quote. E.g. I there is a mistake with the . that the quote is 1005 instead of 100.5...
How to solve that?

I mean I can do something like:
{lastquoteask = quote.Ask/10;
...
DataManager.Add(thisinstrument,myquote);

the problem is: I cannot save myquote, change a quote.

Thanks for help!

_________________
Expect the unexpected. May your MM/RM be with you.

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skuvv

Post subject: Re: How to change Quotedata?

Posted: Tue Jan 09, 2018 11:08 am

Joined: Wed May 05, 2010 9:49 pm
Posts: 580

Hello fliesch,
you cannot update quotes or other market data in database.
You should delete old record and next add updated record.

Script example:

Code:

public class MyScript : Script
{
   public override void Run()
   {
      Instrument instrument  = InstrumentManager.Instruments["DAX Mar18"];
      
      QuoteSeries quotes =  DataManager.GetHistoricalQuotes(instrument, DateTime.MinValue, DateTime.MaxValue);
      
      Console.WriteLine("total quotes: {0}", quotes.Count);

      foreach(Quote quote in quotes)
         Console.WriteLine(quote);
      
      Console.WriteLine("update quote");
      
      DataManager.DeleteQuote(instrument, quotes[0].DateTime);
      
      Quote newquote = new Quote(quotes[0].DateTime, quotes[0].Bid+1, quotes[0].BidSize, quotes[0].Ask+2, quotes[0].AskSize);
         
      DataManager.Add(instrument, newquote);

      quotes =  DataManager.GetHistoricalQuotes(instrument, DateTime.MinValue, DateTime.MaxValue);
      
      foreach(Quote quote in quotes)
         Console.WriteLine(quote);
   }
}

log:

Code:

Build succeeded.
total quotes: 1
09.01.2018 10:50:57 bidSize=1 bid=100 ask=102 askSize=2
update quote
09.01.2018 10:50:57 bidSize=1 bid=101 ask=104 askSize=2

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Dr. Anton Fokin

Post subject: Re: How to change Quotedata?

Posted: Tue Jan 09, 2018 12:36 pm

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817

Hi, I think we are talking about OQ 3 here, correct?

OQ 2014 has DataSeries.Update method

public virtual void Update(Int64 index, DataObject obj)

Regards,
Anton

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HarlandB

Post subject: Re: How to change Quotedata?

Posted: Thu Nov 15, 2018 3:12 pm

Joined: Fri Jun 15, 2018 1:15 pm
Posts: 1

Hi Dr. Anton, is there more info about the DataSeries.Update method anywhere that I can check out?

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