Is there any chance we could get multi-threaded decompression in IQConnect? I'm bottlenecking on CPU rather than download bandwidth.

Currently I just pull all my symbols at once, which means I bottleneck on bandwidth which makes me happy. However I would like to pull a single symbol at full network bandwidth.

Another thing that could allow me to implement this on my end is if you add a 'get number of ticks', so I could query how many ticks of history there is for a symbol. Once I get that number I could start at trades/threads offsets and do a multi-threaded pull.

Any chance this could happen soon?

-Brandon
Edited by gamozo on Sep 19, 2013 at 05:22 PM

Assuming you are talking about historical data downloads, each socket connection to the lookup port is handled in it's own thread. Therefore, you can simply create multiple socket connections to the feed and balance your requests across the sockets to do a multithreaded pull.

Yep. That's what I currently do. However that only works with multiple symbols. It would be nice to have one symbol at full speed. And the only way I could think of doing this is if I knew how many ticks there were historically, with that I could start multiple queries at different starting points. I guess I could do it in chunks of 100k trades or so and just guess for now, but it'd be nice to know how many trades to expect.

How large of requests are you making? Have you looked into requesting data by timeframe instead of by X number of datapoints?

Just tick-level on pretty much all the top 20 most traded futures. I think @ES# has about 55 million datapoints at tick level.

I pull at ticklevel as I postprocess all the data and frequently use tick data for simulated fills rather than n-length bars.

It's not a huge issue, I usually just pull once and then have the files around forever. I'm just requesting the feature if it's easy to add as it would be nice here and there.

-Brandon