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»Forums Index »Archive (2017 and earlier) »DTN.IQ Client Software Support »Streaming Interval Bars - Replaced Previous Watch
Author Topic: Streaming Interval Bars - Replaced Previous Watch (3 messages, Page 1 of 1)

jmcstone
-Interested User-
Posts: 5
Joined: Oct 29, 2017


Posted: Oct 29, 2017 10:09 PM          Msg. 1 of 3
I am just starting to use the streaming interval bars. I plan on streaming bars on multiple securities with each security having multiple different intervals (example: 1 min bars, 5 min bars, and 15 min bars - all on the same symbol).

The documentation states that a "S,REPLACED PREVIOUS WATCH,[Symbol],[RequestID]" message may be returned. Under what circumstances will a previous watch be replaced? That is, what fields in the request must match for it to replace a previous request (Symbol, Interval, IntervalType, BeginFilterTime, EndFilterTime, ...)?

Also, the documentation is not clear if the RequestId is the previous RequestId or the new RequestId (it would actually be nice to have both values returned). In fact, the RequestId should be on the SYMBOL LIMIT REACHED and the INVALID PARAMETERS FOR REQUEST messages also - so, that you can accurately associate the message to the request.

One last question - what is the use for Update Interval? Does it delay the sending of a bar - or, does it do something such as updating a 1 min bar every 15 seconds?

Thanks

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Oct 30, 2017 11:14 AM          Msg. 2 of 3
Streaming bars can only handle one interval per symbol, so multiple connections to the derivative port will be needed to achieve what you are looking for. That is the reason for the replacement, any BW on a symbol that has already been watched will be a replacement.

With multiple connections, one per interval you can have the different ids that you are looking for. I'll note the request for the error to include the RequestID.

We have no guaranteed way to know a bar has completed, except to receive a trade that is outside of the current interval. That is when a BC bar is sent. But, if there is an hour between trades, then you end up waiting for an update that you may need. So a time based update is the alternative to that.

By setting a interval of x seconds you will always get an update or a complete message within x seconds of the last trade.

What that means to you is that if a BU message is received you can update your app with it, but you should expect to either receive further BU messages or a BC message and you will need to update the interval with each.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Oct 30, 2017 11:51 AM          Msg. 3 of 3
I was incorrect regarding the replace. I never use request IDs in my code, so I never realized this, but when you send two watches with empty request IDs, say BW,GOOG,1 and BW,GOOG,5, it replaces the first. hence my answer.

However, it is actually the duplicated requestID that is replaced. So if you sent two watches with two requestIDs
BW,GOOG,15,,,10,,,GOOG15,,,1 and
BW,GOOG,20,,,10,,,GOOG20,,,1
that does work fine. So you can do everything in one socket.

So given that, each requestID should be unique in the system, and is only replaced when duplicated, I think this also takes care of the second question.

Sorry for my confusion.

Tim
 

 

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