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Direct MessagesDate/Time: Fri, 03 May 2024 11:55:29 +0000
Post From: Allow Disabling of Compression or Do It in Another Thread
| [2013-11-18 07:53:06] |
| bfalk - Posts: 33 |
|
I'm very interested in the SC Futures data. I'll probably give it a try for a month, especially as it would eliminate the issues of needing to run two copies of SC and also it would be much better supported as you guys would be in complete control of the API. However, there are a few things that still have me hooked in IQFeed. Mainly the fact that I need to have a real-time feed with an API for my own custom applications. Things I need IQFeed for: I need IQFeed because it has a lightweight data provider API (iqconnect) and available protocol specifications. This allows me to personally develop real-time trading and analysis tools which I already depend on. From SC I would want to have a way of accessing the data without having to run SC. If this means I would have to sign an NDA to get access to a developer API, I would be willing. I would be even more interested in protocol specifications for a direct connection to the SC data provider (no bridge, no SC running, I would directly connect to the server). I have very little tolerance for crashes, and I have found crashes in both SC and IQFeed by this point in time and thus I would prefer to be in control of parsing and decompression of data. Things I would like to get: One big issue with IQFeed is the fact that it provides data as CSV. It receives it as binary, converts it to CSV locally, then I convert it right back to binary... which is a huge waste of CPU time. I want my feed to come in as binary data, and preferably without any floats, as floating point operations are more expensive than integer operations. I would like to get more than 120 days of historical tick data. I would like to get historical BBO or market depth data. Better than millisecond level resolution, however I'm not sure if CME offers this to anyone but huge organizations. Things that have already made me happy for SC's feed: SC's dev team has full control, thus better integration with SC. Ability to have a high quality feed for my trading service without running two copies of SC (which at times seems buggy). -B |