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 Post subject: Instruments
PostPosted: Thu Apr 12, 2007 8:19 am 
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Joined: Fri Feb 02, 2007 8:00 pm
Posts: 61
Location: USA
I'm working on building my historical database and need some information before I spend too much time loading data into OpenQuant:

OpenQuant seems to only allow 1 instrument with the same symbol name. If the same symbol is traded at multiple exchanges, and I want to store historical data separately for each exchange, how can I do that? It does not seem possible if two exchanges use the same symbol.

If two Historical providers use different exchange codes for the same instrument, how does OpenQuant handle that? The SMART setting is not working for some instruments like CME E-Mini Futures like /ESM7 from Opentick. Exchange:EM (I'm not sure what SMART means anyway). Another historical provider or broker may not use EM.

What if my broker uses a different symbol or format from my Historical provider, how does OpenQuant handle that situation?


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 Post subject:
PostPosted: Thu Apr 12, 2007 8:07 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

we will add Alternatiove Security Definition (AltSymbol, AltSourceID and AltExchange) tomorrow to resolve this situation.

Regards,
Anton


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PostPosted: Fri Apr 13, 2007 3:40 pm 
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Joined: Fri Feb 02, 2007 8:00 pm
Posts: 61
Location: USA
Can you explain a little more how this will work? If I put something into AltSymbol, I would expect the GetHistoricalBars/Quotes/Trades() to use the AltSymbol if present.

I don't understand how AltExchange and AltSourceID would be used. For example, I could have MSFT:AMEX:OPENTICK and MSFT:NASDAQ:OPENTICK and MSFT:NYSE:OPENTICK as separate instruments. Each instrument would already have its own exchange code so what is AltExchange and AltSourceID for? Where are orders routed in live mode?

Is there any way to rename instruments? I can only delete.


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 Post subject:
PostPosted: Fri Apr 13, 2007 4:53 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
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Symbol (as well as Exchange) specifications can be different for different data providers or brokers for the same (OpenQuant) instrument. If you set AltSourceID (provider name), AltSymbol and AltExchange, then these properties will be used when you request data or send an order to the provider identified by AltSourceID. In all other cases (for other providers and brokers) Symbol and Exchange will be used.

Perhaps it's a good idea to rename AltSourceID to AltProvider. AltSourceID is FIX (Financial Information eXchange protocol) definition used by the core framework...


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 Post subject:
PostPosted: Sat Apr 14, 2007 1:49 am 
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Joined: Fri Feb 02, 2007 8:00 pm
Posts: 61
Location: USA
AltSymbol, AltProvider,AltExchange makes sense to me and will meet my immediate needs.

Even better would be a collection property called AltSymbols containing any number of alternate Provider/Symbol/Exchange combinations. This will be useful to me in a few months when I plan to open a 2nd brokerage account .

-Jeremy


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