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 Post subject: Multiple connections via
PostPosted: Mon Jan 23, 2012 9:04 pm 
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Joined: Wed Apr 27, 2005 4:41 pm
Posts: 609
Location: Helsinki, Finland
Hi,

how would I configure, if I wanted multiple connections via Integral? I happened to notice that they are actually a technology provider for multiple brokers: http://www.integral.com/partners/truefx_brokers.htm and it could be interesting to keep on eye on the spreads between the brokers. But as far as I understand QO and QR, a connection to Integral using broker can exists only once. I already happen to have test accounts for two brokers using Integral.

Thx,
Eelofi


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PostPosted: Tue Jan 24, 2012 3:05 am 
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Joined: Sun Oct 30, 2011 12:12 am
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Same here. I don't think OQ handles that at the moment (only 1 settings instance per provider).
The only quick workaround I can imagine is to use several OQ instances... and therefore several computers / VMs...


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PostPosted: Tue Jan 24, 2012 10:57 am 
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Joined: Thu Sep 20, 2007 6:43 pm
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Location: Poland
Hi :)

My sentence is exactly the same.

Regards
MaRCHeW

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"Your worst day with OpenQuant is better than your best day with most of the other stuff."


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PostPosted: Tue Jan 24, 2012 11:50 am 
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Location: Helsinki, Finland
PBJ wrote:
Same here. I don't think OQ handles that at the moment (only 1 settings instance per provider).
The only quick workaround I can imagine is to use several OQ instances... and therefore several computers / VMs...


Hmmm, would that even work? All quotes have now the providerid. For all quotes coming via Integral they'd have the same providerid. As far as I see no way of programatically comparing then, without altering the providerid's.

Br,
Eelofi


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PostPosted: Tue Jan 24, 2012 4:57 pm 
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AFAIK, quotes or bars are not assigned a ProviderID property.
This piece of info is rather held at the Instrument level (AltSource property for example).

If your goal is to compare bid/ask spreads and/or volumes, I guess you have to:
- if you want multiple settings instance for the same provider (ie capture Integral from FCStone and Integral from FXCM): set up several boxes / VMs to be able to run several instances of OQ
- if you don't need that (ie compare Integral and IB): just use 1 reliable box / VM
- use the Data Capture windows for each provider, add instruments, select 'Quotes' only and click the 'Play' button
- let it run at least 1 week to capture a full cycle of liquidity profiles (ie night and day but also Sunday / Friday)
- after 1 week, either:
a) open the Data Manager, select all instruments for all providers you captured data for, right click > Export to CSV, open CSV files with Excel and run your analysis
b) create a Script in OQ, call DataManager.GetHistoricalXXX() for each instrument and play with the data. Note that if you have several boxes / VMs you will have to use step a) to export to CSV from one of the machines and import these CSV in your main instance before running b)

Hope it helps.


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PostPosted: Mon Jan 30, 2012 6:44 pm 
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Joined: Wed Apr 27, 2005 4:41 pm
Posts: 609
Location: Helsinki, Finland
So how about this?

How do I go about creating multiple connections to different brokers all using Integral as the connectivity method? Or for that matter most of the providers seem to be used by multiple brokers, so the question is rather generic.

Thx,
Eelofi


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PostPosted: Mon Jan 30, 2012 6:56 pm 
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You have to use several instances of OQ running on separate Windows instances.
Or maybe with QuantRouter you can create several connections, each having its specific set of settings for Integral. I don't use QuantRouter so I don't know but that should be a feature.

I see no other workaround.


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PostPosted: Mon Jan 30, 2012 7:48 pm 
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Joined: Wed Apr 27, 2005 4:41 pm
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Location: Helsinki, Finland
Hi,

this is not what I'm looking for. I'd want a single OQ and a single QR with connectivity to multiple brokers - mostly probably multiple of Currenex. After all that's what QR is meant for consolidation of feeds. So what I'd need the SmartQuant team to develop is the possibility of having multitudes of the same provider or the possibility of using a generic one multiple times.

Thx,
Eelofi


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PostPosted: Wed Feb 01, 2012 1:04 am 
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Joined: Sun Oct 30, 2011 12:12 am
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I'd be interested to see that too.


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PostPosted: Wed Feb 01, 2012 9:27 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6816
Hi,

I think this is something for the future. This feature would require an additional provider sub ID, which should be propagated through the framework. But this is an interesting feature indeed.

BTW as a workaround you can try to develop your own user provider (actually two or as many as you need) that would wrap OQ Currenex provider. This way you can effectively have as many Currenex providers as you like. Though I've never tried this and I have no idea what kind of problems you can face. Just an idea.

Regards,
Anton


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