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PostPosted: Sun May 10, 2015 2:44 pm 
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Joined: Mon Nov 16, 2009 11:14 am
Posts: 33
Hi
I try to capture real-time data using QR+QB,
the result is strange,
when Bid(Bidsize) and Ssk(Asksize) change the same time,
the data in quantbase will become 2 quotes,

ex:
DateTime,Bid,BidSize,Ask,AskSize
2015-05-08 09:15:08.893,4530.8,4,4531.2,2
2015-05-08 09:15:09.393,4529.6,16,4531.2,2
2015-05-08 09:15:09.393,4529.6,16,4530.2,2

It update bid info fist,then ask info,
turn one quote into two quotes,
On the other hand,using the same dataprovider(user developed) in openquant
the data captued will show

ex:
DateTime,Bid,BidSize,Ask,AskSize
2015-05-08 09:15:08.893,4530.8,4,4531.2,2
2015-05-08 09:15:09.393,4529.6,16,4530.2,2

Since OQ could recevie correct data,
userprovider should be no problem,
the same problem will continue all day repeatly,
as long as Bid(Bidsize) and Ask(Asksize) change the same time,
could you give some suggestion?

thanks a lot !


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PostPosted: Sun May 10, 2015 3:35 pm 
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Joined: Mon Nov 16, 2009 11:14 am
Posts: 33
Hello,
I try QuantRouter + Openquant,
same thing happen!
But , OQ can capture data correctly by iteself.
It seens like the problem is working with QR ?

I have check serveral symbol,
all got this problem.

Plese give me some help! thanks.


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PostPosted: Tue May 12, 2015 12:45 pm 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 386
Hello Chu.Jack.
I think since QR designed to work with new OpenQuant2014, all Quotes is sending separately for Bids/Asks.
Also can you please say what versions of QR/QB/OQ do you use?


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PostPosted: Tue May 12, 2015 2:52 pm 
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Joined: Mon Nov 16, 2009 11:14 am
Posts: 33
Hello skuvv
QR 2.4.1
QB 2.4.1

If like you say "QR designed to work with new OpenQuant2014, all Quotes is sending separately for Bids/Asks"
How should I make it work correctly using QR+QB+QT ?
or it can't be done now?

thanks for help!


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PostPosted: Tue May 12, 2015 3:20 pm 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 386
First, I recommend you update all programs, maybe it solve some of problems.
Second, Bids and Asks not depends each other and almost all time are changing in different time(your data provider can aggregate them if you see both changes in one record often).
So if QR sends updates in two records instead one, it should not affect to anything.


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PostPosted: Tue May 12, 2015 8:23 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6778
Hi,

are you saying that you use the same custom data provider in OQ and QR and get different results if you receive/record data to QB through QR or directly in OQ?

Basically OQ works with Quote object, which has bid and ask fields and if anything changes (bid/ask price or size) it emits a new Quote. So if for example ask price chages, you will receive a new Quote with new ask price but old (last) bid price and size. In case of user data provider it's up to developer of this particular provider when to emit a Quote. It can be emitted when both bid and ask change. Perhaps this is what makes you confused? Do you see what I mean?

Regards,
Anton


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PostPosted: Wed May 13, 2015 5:38 am 
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Joined: Mon Nov 16, 2009 11:14 am
Posts: 33
Hello Dr.
the situation you mention is exactly what I mean !
same user provider,but different outcome in OQ and "QR+QB"

I update all software and try to rebuild "user provider" yesterday , didn't solve the problem!
user provider event is below:

Quote Update in User Provider==========================

Private Sub MyOqKgiQ_OnRcvMessage(sender As Object, package As Package.PackageBase) Handles MyOqKgiQ.OnRcvMessage
If SubscribedInstruments.TryGetValue(package.Symbol, Qinstrument) = True Then
MyBase.EmitNewQuote(Qinstrument, Clock.Now, package.BUY_DEPTH(0).PRICE,package.BUY_DEPTH(0).QUANTITY, package.SELL_DEPTH(0).PRICE,package.SELL_DEPTH(0).QUANTITY)
End If
End Sub
==========================

data provider always send one quote message about 8 times a second with both bid/ask ,
but bid/ask may change the same time or just one of them,

When New event coming,If only bid or ask change, It show correct result,
the problem happen when they change the same time,
QR will turn one quote update into two updates,but the same time stamp.
I can modified the custom data provider,
but seems no function I can Update them together?
QR seems tend to detect bid/ask changes,and update them separately.

I think my question should be "If I receive a message bid/ask both change ,how could I update quote in QR+QB and stay one quote not two ?"

thanks!


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