- ago
As you all know, live trading is impossible without streaming data. It turned out that “Request a broker provider for Russian market (QUIK)” is about Broker Provider only).

So let’s make Streaming Data Provider too. Live trading on Russian market is impossible without it by now.
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- ago
#1
What about the MOEX streaming provider?
https://www.wealth-lab.com/extension/detail/Russia

Don't forget to vote for your request from this page:
https://www.wealth-lab.com/wishlist
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#2
I was even going to bug report because I haven't ever heard or MFD or MOEX streaming and it didn't work that time. I thought that it couldn't be streaming.

Tried it again on Chart - the price is not moving.
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#3
Please create a bug report. Thanks.
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#4
I think there's a good chance we'll have a QUIK streaming provider included in Russia's build 10 or 11.
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#5
Wow. What’s going on here!?).

Looking forward!
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#6
We are still waiting for all of the Russians who upvoted the feature to purchase their subscriptions. Obviously we are not good enough yet so we are working harder to make the extensions worthy of the subscription payment!
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#7
Oh, I see.

That sounds productive!
Yes, a good product is the best marketing).

I'm sure being able to trade within the platform (not just backtest) makes it much more attractive to algo-traders. Of course if bugs and issues do not put a spanner in the works).

Really, it's the best marketing if someone could install trial version and try backtesting and trading the same day without getting stuck or surprised by bugs, exceptions or something, without asking 100500 "howto" questions in the forum just to run the base pipeline.


I'm sure you are on the right track. I'm glad you've been paying attention to Russian extension. I'm glad I don't have to spread the word again to make streaming happen)), because I do like spreading the word like: look, guys, such a great product! And I don't like so much spreading the word like: look guys, this is going to be a great product.
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#8
btw, QUIK static data is also supported now in Russia build 10. Its data loading depth depends on your broker.
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#9
There is nothing about streaming data in change log... but the news is posted in this topic... and I can see SDP in the SDP list...


it's show testing time!

Eugene, thanks for the update!
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#10
QUOTE:
There is nothing about streaming data in change log

Added now.
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#11
Quik testing report:

SDP:

I couldn’t get this working. None of windows where streaming can be seen works with this streaming. (Lua script is running).
For example:



HDP:
I can see the charts, but I can’t update data properly, whatever I do. These are screenshots after my attempts to update (today) using appropriate windows.





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#12
I can only suggest you review the WL7 Help section on setting up the data export in QUIK. Its own user manual is helpful too as it covers the subject in detail. How is QUIK configured?
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#13
Oops, sorry, I forgot to look into help section.

Btw, it's great that you update help section with new updates!
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#14
Testing report.

SDP:

Seems to work fine! I hope so, I’ll keep on testing.


HDP:

1. I couldn’t make it work. Although I followed the TF rule. And if I uncheck all the other HDPs, the initial dataset update gets nothing – the data series have 0 bars. If I try Historical Data Loading Testbed, it says: The data provider returned null. Charts also show: “couldn’t obtain…”.
2. There is a problem with this TF matching rule. Quik doesn’t let me create more than one TF for the single ticker, so I can only use one TF per ticker for historical data, is there a way to overcome this?
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#15
Glad you got it working.

1. I had some issues loading the historical data but at last made QUIK return some limited historical data. Not a big deal though, I don't plan to support the HDP anyway.
2. Yes, this is a QUIK limitation.
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#16
That's sad)). I hoped Quik HDP + Quik SDP would be much better (faster, more trusted) tandem than Quik SDP + Finam/MFD/MOEX HDP since the moment I learned there is a Quik HDP). Another reason is the less elements you have in your chain the more reliable it is.

Maybe there is something else you could do to make it work?

#ЯМыQuikHDP
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#17
Curb your internal perfectionist. ;) The amount of historical data that the provider can backfill varies from broker to broker. In my quick testing I got it to work but having the three sources is enough. It's not critical for now.
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#18
Have you configured QUIK to return "Все доступные значения" ("All available values")? As said in the online help you won't get the historical data otherwise.
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#19
QUOTE:
Curb your internal perfectionist. ;)

When it comes to money, perfectionism is a normal state of mind)).

QUOTE:
The amount of historical data that the provider can backfill varies from broker to broker

I'm considering Quik HDP just for live trading not backtesting.

QUOTE:
Have you configured QUIK to return "Все доступные значения" ("All available values")? As said in the online help you won't get the historical data otherwise.


Yes, I have.



I'll read online help then, maybe there is something special there.
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#20
Your QUIK is set up correctly but "The data provider returned null" error message in the test bed clearly suggests there's a failure to read the named pipe with historical data. Can you download this utility for troubleshooting?

https://docs.microsoft.com/en-us/sysinternals/downloads/pipelist

Once you do and have QUIK data export running, launch cmd.exe and run this command:

pipelist64 | findstr QUIK

Select the block of text with the mouse, press Enter and then Shift-Insert (Ctrl-V) into "Your Answer" here. Thanks.
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#21
QUIK_SBER_5MINUTES 1 -1
QUIK_SBER_5MINUTES_EXISTING_DATA 1 -1
QUIK_GRNT_5MINUTES 1 -1
QUIK_GRNT_5MINUTES_EXISTING_DATA 1 -1
QUIK_SIU1_5MINUTES 1 -1
QUIK_SIU1_5MINUTES_EXISTING_DATA 1 -1
QUIK_MXU1_5MINUTES 1 -1
QUIK_MXU1_5MINUTES_EXISTING_DATA 1 -1
QUIK_AFU1_5MINUTES 1 -1
QUIK_AFU1_5MINUTES_EXISTING_DATA 1 -1
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#22
OK there is no daily pipe for QUIK. The testbed returns null for a reason. You should choose "5 Minute" from the dropdown, nothing else would work.
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#23
Sorry, I misleaded you a little - my screenshot of the testbed was with Daily TF, but I tried both - m5 and daily - both return null. I've just tried to configure Daily export in Quik and daily on the testbed - the same result - null.

These pipes were added:

QUIK_MGNT_DAY 1 -1
QUIK_MGNT_DAY_EXISTING_DATA 1 -1
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#24
Hang on. I spotted a couple bugs there. Will fix them in Russia's build 11.
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#25
Yippie!
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#26
Also in build 11 I'm going to add support for partial bar to the QUIK HDP.
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#27
Great! I guess it's for Streaming Bar option.
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#28
Russia build 11 is out!
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Best Answer
- ago
#29
Eugene, thanks for the update.

1. Different timeframes work fine, thanks.

2. Changes are now informative... in Data Manager - DataSets... but columns are empty in Quotes window.





3. Changing TF when streaming issue. Far right candle. To reproduce: chart window, activate streaming, change TF when streaming is activated.



4. As I can see in change log, changes to prevent “10 symbols were not processed” are not done yet? Anyway I tried pulling and streaming and have the same result as using build 10 (“10 symbols were not processed”). Or does it work for you? - Or do you get the same result?

5. Streaming bar is not there too, am I right? As I can't choose it.
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#30
1. Good to know.

2. Empty Change columns in Quotes window suggest the historical data is missing or cannot be found. Not critical.

3. Not critical.

4. Yes, it works for me.

5. I did not intend to implement streaming bars for QUIK.

In general I think that we should see sufficient following from Russian paid subscribers to invest time and effort into this going forward.
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#31
2. I see, as m1 Quik export cannot be converted to Daily+ and I unchecked other HDP while testing, there were no Daily data for change calculations.

3. Not critical, but still a bug)).

4. What can I do to make it work for me to?) As live trading is the core idea of the whole Quik streaming / Quik broker provider.

5.
QUOTE:
Also in build 11 I'm going to add support for partial bar to the QUIK HDP.

I thought this one was about streaming bar.

QUOTE:
In general I think that we should see sufficient following from Russian paid subscribers to invest time and effort into this going forward.

Agree, but you should have at least MVP state product (I'm talking about Russian extension) for that. The key idea of WL7+Russian extension is to be able to:

- get Russian data. DONE.
- backtest strategies. DONE.
- send orders, update order states. DONE.
- live trading. NOT DONE.

As for me, the whole system doesn't work without this last block).

And I'm not even talking about such product must be polished to motivate traders to use for trading their money.

Live trading still doesn't work for me in WL7. I still have nothing to say to traders, but: hey, guys, come on, there is so much betatesting job out there, you will not regret it)), and maybe you'll finaly get this good trading framework.
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#32
QUOTE:
2. I see, as m1 Quik export cannot be converted to Daily+ and I unchecked other HDP while testing, there were no Daily data for change calculations.

If the QUIK HDP doesn't suit you then there's no shortage of other static data providers for Russian markets: MOEX, Finam and MFD.

QUOTE:
I thought this one was about streaming bar.

No it's the partial bar for today in the HDP.
https://www.wealth-lab.com/Support/ExtensionApi/HistoricalDataProvider

Streaming Bars are an optional feature of a SDP when their data vendor supports subsciptions to streaming bars of data.
https://www.wealth-lab.com/Support/ExtensionApi/StreamingDataProvider
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#33
Oh, I see. It's even better). I was going to check data consistency between HDP and SDP data later.
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#34
QUOTE:
2. Changes are now informative... in Data Manager - DataSets... but columns are empty in Quotes window.

Not a provider bug.

Reason: when you add an intraday symbol to a Quotes window, QUIK SDP tries to get the symbol's daily data from QUIK HDP which fails because of a QUIK limitation (a symbol may only be exported in one timeframe).

In a Quotes window these columns will work on Daily scale only with QUIK provider.
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