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»Forums Index »Archive (2017 and earlier) »DTN.IQ Client Software Support »Streaming bars with multiple symbols and intervals
Author Topic: Streaming bars with multiple symbols and intervals (8 messages, Page 1 of 1)

sweigner
-Interested User-
Posts: 7
Joined: Sep 26, 2017


Posted: Dec 15, 2017 09:55 AM          Msg. 1 of 8
It is my understanding that streaming bars need multiple connections to the derivative port to handle multiple intervals. I want to watch a few hundred stocks on 1, 5, 10, and 60 minute intervals. Can I use 4 connections to the derivative port or is it one per interval per stock? (I would need lots of connections then!)

Scott

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Dec 15, 2017 10:46 AM          Msg. 2 of 8
The streaming bars can actually handle multiple intervals of the same symbol and it can also handle multiple symbols (of the same or differing intervals) on the same connection as well.

You simply need to specify a unique value in the RequestID on each of your bar watch requests (so submit 4 bar watch requests for each symbol, each with a unique RequestID).

With that said, you might run into some issues dealing with performance based on your description of what you need if you put everything on a single socket. Since it's entirely hardware dependent, I can't say for sure if you will run into problems but I just mention it so you're aware that it could come up. If you do have issues, and assuming you aren't saturating all cores on the CPU, you will need to spread your symbols across multiple connections to streaming bars. Streaming bars is multithreaded on a per client basis so each connection you make to streaming bars will be handled on it's own thread. If that becomes an issue, make sure you keep all intervals of a single symbol on the same connection for maximum performance.

sweigner
-Interested User-
Posts: 7
Joined: Sep 26, 2017


Posted: Dec 15, 2017 11:01 AM          Msg. 3 of 8
The reason I thought it could only handle 1 interval was a response Tim Walter made to somone's question:

"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. "

I am currently seeing some bars dropped so that is why I ask the question. It seemed to have been working before then I added a couple more intervals and noticed bars being dropped. CPU usage was staying around 50%.

Scott

sweigner
-Interested User-
Posts: 7
Joined: Sep 26, 2017


Posted: Dec 15, 2017 12:16 PM          Msg. 4 of 8
So are you recommending one connection per stock with all the intervals on that connection? Or one connection per interval?

Scott

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Dec 15, 2017 12:31 PM          Msg. 5 of 8
Can you give an example of the dropped bars issue?

No, I wouldn't split this out the extent of one per symbol. I would try to get it working with a single connection first and then only scale it out if you need to, starting with 2-4 connections and working from there.

sweigner
-Interested User-
Posts: 7
Joined: Sep 26, 2017


Posted: Dec 15, 2017 12:39 PM          Msg. 6 of 8
Originally things were working with 1 connection. I was using 200 stocks with intervals of 1,2,3,4,5,10,20,and 60 minute bars. I then added in another 100 stocks and additional intervals of 30,40, and 50. That's when I noticed some bars were missing. For example, on AAPL today, it got the 11:10 and 11:20 bars but there was no 11:15 bar. It seems to be intermittent and across all stocks and intervals.

Scott

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Dec 15, 2017 01:08 PM          Msg. 7 of 8
In that case, I would try splitting to up to 2 connections with 150 symbols each or 3 connections with 100 symbols each and see if the problem goes away.

sweigner
-Interested User-
Posts: 7
Joined: Sep 26, 2017


Posted: Dec 15, 2017 01:11 PM          Msg. 8 of 8
I will try that. Thanks for the awesome support and quick responses!

Scott
 

 

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