SmartQuant Discussion

OpenQuant Switching Feeds
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Author:  azuric [ Fri Jan 03, 2014 10:45 am ]
Post subject:  OpenQuant Switching Feeds


I want to use IQFeed for historical data to trade in simulation.

When the simulation gets to current time, I want to switch from IQFeed to TTAPI and use this feed in live mode.

How do I accomplish this? bearing in mind that IQFeed and TTAPI use completely different symbols.

Also along the same lines I am not sure how to download historical data programmatically from IQFeed. Can anyone show me how to do this?

Author:  Dr. Anton Fokin [ Sat Jan 04, 2014 5:36 pm ]
Post subject:  Re: OpenQuant Switching Feeds


I am not sure I understand what you want to do. You can not use historical data directly from IQFeed to backtest a strategy (unless you call things like OnBar with IQFeed data manually yourself, but this is not really a simulation). You should download data into local OpenQuant database and then OpenQuant can backtest your strategy with this data.


Author:  azuric [ Sun Jan 05, 2014 11:01 am ]
Post subject:  Re: OpenQuant Switching Feeds


Sorry I was probably not being very clear.

At the moment I use this piece of code:

public class MyScenario : Scenario
public override void Run()
this.Solution.StartDate = new DateTime(2013,11,04);
this.Solution.StopDate = Clock.Now;
this.ResetOnStart = false;

This code allows me to continuously switch from simulation mode to live mode using scenario:


I want to do this but instead, I want to use IQFeed for the simulation part,, then switch from sim to live at current time (Clock.Now) and use TT for live pricing and trading.

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