Streaming Data Provider API
Author: walkerjoe
Creation Date: 5/19/2010 10:21 AM
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walkerjoe

#1
I've seen at various locations and with various time stamps entries on the WL forums, KB etc that the API documentation for building Streaming Data Adapters e.g. for iqfeed or IB will be available "SOON".

As none of the 3rd party streaming adapters is seemingly available anymore / available for V5.6 when will it be possible to use streaming data other than from Fidelity or Yahoo (which is of course no real streaming provider).

This is an absolutely must-have feature - you're rendering your great product useless if no such function is available for use with 3rd party providers !!!!

And "SOON" will not provide any benefit anymore - if I recall this right the first time mentioning this will "SOON" be available is more than 12 months ago.

Many thanks
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Eugene

#2
Really sorry for the inconvenience, but there are technical reasons why our providers keep getting delayed. Speaking of 3rd party solutions, the MTiQs real-time provider is available and should be functioning.

It's hard to tell if/when Fidelity, the owner of the product, releases the streaming provider API documentation. To compensate for that and and provide a working sample to motivated developers, I'll be preparing to publish the source code of a streaming provider (probably, Excel DDE streaming provider but time will tell).
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walkerjoe

#3
Eugene thanks for the quick reply.

I've tried to get hold of the MTiQ real-time provider but their site seems to be dead since quite some time. While it is still possible to download their adapter (a beta version) it seems to be impossible to get a license code from them to make it functional.

As you might have realized I've not even asked when Fidelity will provide an open rt adapter that also seems promised since quite some time - I've just asked for some documentation.

A sample implementation would already be of great help of course but only if available really soon - so is there a time frame when you would provide such code for an real time adapter or is that another "soon".

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Eugene

#4
As to the streaming provider sample code, let's say June. On my to-do list, it sits right next to finishing a bunch of providers I've been working on lately.
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DaveAronow

#5
I have considered developing one but I have to confess I just don't have the time to develop it and also troubleshoot/debug it while I try to figure out what each method is supposed to do. I'm sure having the API documentation would help (I can't see how it wouldn't help) and I can't for the life of me figure out why Fidelity won't release it. The Broker API I can understand not documenting, but streaming data?

Edit: Eugene I know I'm preaching to the choir here, I just wish they'd release the documentation.
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Eugene

#6
Making good progress on developing DDE (streaming) and SQL Server (static/streaming) providers. One of them, or maybe the ODBC provider (the choice will ultimately depend on the code complexity, as the example should stay comprehensible) - is going to make it open source this month.
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DaveAronow

#7
Eugene please remember to comment your code -- maybe with the actual API documentation :)

I have actually had a bit of time of late and I hope to release a beta version of an IBCollector static data adapter along with an IB real-time streaming adapter in the next few weeks. It would definitely be nice to see your sample code so I can verify I won't cause WL to choke loading my streaming adapter.

Dave
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Eugene

#8
With the release of our DDE streaming provider, its source code becomes open to any known customer interested in creating their own RT provider.

A few technical notes for the fellow developers. There are more DDE flavors than meets the eye. Every data vendor invents their own implementation. Some require a one-time act of initiating a DDE connection, and then returning the DDE data on a so called "Advise loop". Some can't work with the advise loop. Some put the Topic before the Item and some are doing just the opposite thing, and so on. Considering there's no backfill with DDE, it makes very little sense to develop a full-blown provider capable of handling all these quirks.

On the other hand, Excel (or OpenOffice Calc) can be used as a "proxy" for multiple simultaneous DDE sources. You can create a spreadsheet (only one spreadsheet can be active at a time), set up as many live DDE links as you like, configure Aliases for them in the Data Manager, and have it all running smoothly. The DDE streaming provider is an example of asynchronous operation and is using NDde. Check it out on the project's home page.