Handle Question

[JimBecker17]

cj,

I've been able to get independent streams and visually they "look ok". But have not yet compared that to what eSignal reports.

The one thing have found is there can be a misordering of the streams, where the oldest history data gets overwritten with current day data. Simon reported he was able to reproduce this, but don't know if anyone looked into solving it yet.

A check I did yesterday was add up total volume and also high/low information for each day. These came pretty close to what Yahoo reported for what symbols were checked. So it appeared there weren't big chunks of trade data missing at least..

I am still working on my logic for all this and will repost if can thumbs up/down your question, but for right now can tell you not positive one way or other.

-Jim

[chrisjames]

Hi Robi,

getting plenty of TSales data

we are just trying to get everyting right with two stocks and then we want to pull 100

if we do your code(TS.Sample.zip) - which runs one stock it comes in correct amount of data and in correct time sequence...

to get more than one we built two arrays...
if we do our code + arrays then the time sequence sometimes gets out of order and makes no sense and the more active stock dominates the data received... so if we use MSFT and GE we get lots of MSFT but hardly any GE and sometimes MSFT is out of sequence in terms of time...

it's like the handles are jumping one another... or something

are we missing the IsTimeSalesReady or something like it in the onTimeSalesChangedEvent area or ??

cj
sample in Access 2000 attached & also code below:


******************************************
Option Compare Database
Option Explicit

Dim WithEvents esignal As IESignal.Hooks

Dim lTsHandle(2) As Long
Dim lLastTsRtCount As Long
Dim ltHandle As Long

Dim sLastSymbol As String
Dim mySymbol As String
Dim Symbols(2) As String


Private Sub CreateHandles_Click()

Dim tsFilter As IESignal.TimeSalesFilter, i As Integer

Symbols(1) = "MSFT"
Symbols(2) = "GE"

Set esignal = New IESignal.Hooks
esignal.SetApplication ("put login NAME HERE")

If MsgBox("esig open", vbYesNo, "Ok or No") = vbNo Then
Exit Sub
End If

esignal.ReleaseAllHistory
esignal.ReleaseAllTimeSales
esignal.ReleaseHistory (ltHandle)
esignal.ReleaseTimeSales (ltHandle)

ReleaseTS

'assigning handles for the symbols in our ARRAY
For i = 0 To 2
If Symbols(i) <> "" And IsNull(Symbols(i)) = False Then
esignal.DoSymbolLink Symbols(i)
esignal.RequestSymbol Symbols(i), True
tsFilter.sSymbol = Symbols(i)
tsFilter.bQuotes = False
tsFilter.bTrades = True
tsFilter.lNumDays = 1
tsFilter.bFilterPrice = False
tsFilter.bFilterVolume = False
tsFilter.bFilterQuoteExchanges = False
tsFilter.bFilterTradeExchanges = False
lTsHandle(i) = esignal.RequestTimeSales(tsFilter)
ltHandle = lTsHandle(i)
Debug.Print ltHandle & " - ltHandle"
End If
Next i

End Sub


Private Sub esignal_OnTimeSalesChanged(ByVal lHandle As Long)
FillTS (lHandle)
End Sub

Private Sub FillTS(ByRef lHandle As Long)

Dim bsSQL As String, lNumBars, lNumRtBars, lBar, lDiff As Long, sBar As String, i As Integer
Dim item As IESignal.TimeSalesData, LastSize As Double, caseSize As Double, sSymbol As String
Dim quote As IESignal.BasicQuote, myBid As Double, myAsk As Double, myPrice As Double

For i = 0 To 2
If lTsHandle(i) = lHandle Then
sSymbol = Symbols(i)
Exit For
End If
Next i

'only showing realtime bars.
lNumRtBars = esignal.GetNumTimeSalesRtBars(lHandle)
lNumBars = esignal.GetNumTimeSalesBars(lHandle)

'how many new bars since last time?
lDiff = (lNumRtBars - lLastTsRtCount) * -1

For lBar = lDiff + 1 To 0
item = esignal.GetTimeSalesBar(lHandle, lBar)
Select Case item.DataType
Case 4 'tsdTRADE
'do database stuff here
bsSQL = "Insert Into tbl_All (TransTime, symbol, TransSize, Price, Flag) VALUES ('" & item.dtTime & "', '" & sSymbol & "'," & item.lSize & "," & item.dPrice & ", " & item.lFlags & ")"
CurrentDb.Execute bsSQL, dbFailOnError
Case tsdBID, tsdASK 'do nothing
End Select
Next lBar

lLastTsRtCount = lNumRtBars

End Sub



Private Sub Form_Unload(Cancel As Integer)

ReleaseTS
Set esignal = Nothing

End Sub



Private Sub ReleaseTS()

Dim i As Integer
For i = 0 To 2
If lTsHandle(i) <> 0 Then
esignal.ReleaseTimeSales lTsHandle(i)
End If
Next i
ltHandle = 0
lLastTsRtCount = 0

End Sub

[JimBecker17]

You are pretty brave to use MSFT and GE in a test program!

If you are getting history it builds backward through time. So unless you wait until the history count stabilizes the data will change with the negative based indexing.

There is a call Simon alerted me to called SetAbsoluteIndexing(1) which will let you use positive array indecies, thus the data will not shift. If you don't use this there are other caveats in some of my prior posts.

I recommend setting it this way and seeing how things work.

-Jim

[chrisjames]

Jim,

We are pulling REAL TIME & Sales data from the T&Sales server -

If you are pulling history data you are pulling it from the History server...

When we run our program it opens the esig Application - empties eSig of any old handles, creates new handles for n stocks and starts the T&Sales data pull from right at that moment...

and the start time shows correctly in our dBase tables... in other words if we start at 9:10am - the first data is at that time and is correct as far as that goes... but from there on... not too good... i think i am not handling my handles right (sorry )...

we are not having a problem with back fill or pre fill - but intermittant duplicate fill yes - if we do more than one stock the time sales data gets SLIGHTLY out of TIME sequence for 3 to 10 data inputs then runs up to the correct time and then after a while goes out of time sequence for 3 to 20 data inputs ...

and also MSFT dominates the amount of inputs (100 to 1) since it is the more active of the two stocks...

cj

[JimBecker17]

I'm getting Tick data as well, but when you ask for 1 day of data you will get everything for the day, backfilling back to the earliest. So if there was something at 4:30AM you will get it as well.

My RequestHistory() stuff is all different than this.

What sounds like is happening is you start getting the 9:10 data, but then any earlier data gets filled in and you get messed up.

This will showup also if you are processing the data and new historical comes in when you ARE NOT IN THE MESSAGE HANDLER CALLBACK. The sand will shift from under you within your loop.

My suggestion on absolute indexing still applies.

Personally I don't do anything with the data until the T&S history records haven't been incremented for a few minutes.. but i'm patient..

-Jim

[chrisjames]

Ok...

Jim,

thanks for driving the point home on using the SetAbsoluteIndexing(1) call

i will try that first thing tomarrow...

fingers way crossed...

thanks...

cj

[chrisjames]

Jim,

1. tried esignal.esignal.SetAbsoluteIndexing(1) - no joy...
we started the code at 7:30 am and it never went forward...

2. Using same code as below without the indexing call we got the usual results of TS data being out of sequence and repeating.

just to note:
we can pull one stock in correctly for T&S into SQL Server ---
even with 9000 data inputs like for MSFT in one hour we can pull in correct data and time sequence BUT we cannot even come close with two or more stocks...

ANYBODY, using VB6
can you pull in data for two or more stocks using the Real Time - Time and Sales data stream from the api that ALSO matches the esignal applications Time and Sales charts for those stocks one to one... can you reconcile it as accurate - one to one... does it MATCH!

cj
*****************************

Option Compare Database
Option Explicit

Dim WithEvents esignal As IESignal.Hooks

Dim lTsHandle(2) As Long
Dim lLastTsRtCount As Long
Dim ltHandle As Long

Dim sLastSymbol As String
Dim mySymbol As String
Dim Symbols(2) As String


Private Sub CreateHandles_Click()

Dim tsFilter As IESignal.TimeSalesFilter, i As Integer

Symbols(1) = "MSFT"
Symbols(2) = "GE"

Set esignal = New IESignal.Hooks
esignal.SetApplication ("put login NAME HERE")

If MsgBox("esig open", vbYesNo, "Ok or No") = vbNo Then
Exit Sub
End If

esignal.ReleaseAllHistory
esignal.ReleaseAllTimeSales
esignal.ReleaseHistory (ltHandle)
esignal.ReleaseTimeSales (ltHandle)

esignal.SetAbsoluteIndexing(1)

ReleaseTS

'assigning handles for the symbols in our ARRAY
For i = 0 To 2
If Symbols(i) <> "" And IsNull(Symbols(i)) = False Then
esignal.DoSymbolLink Symbols(i)
esignal.RequestSymbol Symbols(i), True
tsFilter.sSymbol = Symbols(i)
tsFilter.bQuotes = False
tsFilter.bTrades = True
tsFilter.lNumDays = 1
tsFilter.bFilterPrice = False
tsFilter.bFilterVolume = False
tsFilter.bFilterQuoteExchanges = False
tsFilter.bFilterTradeExchanges = False
lTsHandle(i) = esignal.RequestTimeSales(tsFilter)
ltHandle = lTsHandle(i)
Debug.Print ltHandle & " - ltHandle"
End If
Next i

End Sub


Private Sub esignal_OnTimeSalesChanged(ByVal lHandle As Long)
FillTS (lHandle)
End Sub

Private Sub FillTS(ByRef lHandle As Long)

Dim bsSQL As String, lNumBars, lNumRtBars, lBar, lDiff As Long, sBar As String, i As Integer
Dim item As IESignal.TimeSalesData, LastSize As Double, caseSize As Double, sSymbol As String
Dim quote As IESignal.BasicQuote, myBid As Double, myAsk As Double, myPrice As Double

For i = 0 To 2
If lTsHandle(i) = lHandle Then
sSymbol = Symbols(i)
Exit For
End If
Next i

'only showing realtime bars.
lNumRtBars = esignal.GetNumTimeSalesRtBars(lHandle)
lNumBars = esignal.GetNumTimeSalesBars(lHandle)

'how many new bars since last time?
lDiff = (lNumRtBars - lLastTsRtCount) * -1

For lBar = lDiff + 1 To 0
item = esignal.GetTimeSalesBar(lHandle, lBar)
Select Case item.DataType
Case 4 'tsdTRADE
'do database stuff here
bsSQL = "Insert Into tbl_All (TransTime, symbol, TransSize, Price, Flag) VALUES ('" & item.dtTime & "', '" & sSymbol & "'," & item.lSize & "," & item.dPrice & ", " & item.lFlags & ")"
CurrentDb.Execute bsSQL, dbFailOnError
Case tsdBID, tsdASK 'do nothing
End Select
Next lBar

lLastTsRtCount = lNumRtBars

End Sub


Private Sub Form_Unload(Cancel As Integer)
ReleaseTS
Set esignal = Nothing
End Sub

[JimBecker17]

Chris,

Well you might be doing the correct thing.... I'm finding the data misorderings are more serious than expected, so who knows what the eSignal logic is doing.

It looks like trying to use the T&S data, particularly when one wants to put money on the result, will have to wait until these problems are corrected.. This is a major bummer.

From a small data sample, here is a snippet of what I'm seeing when just doing a date/time comparison on T&S consecutive records:


Update 'ANT' hist 3 min old.
Update ANT DHist 2998 Hist 3175 RT 177

Process First 0 Last 3175 nHist 3175
62: ANT 08/24/04 10:38:42 AM 33.50 3 Ask | NYSE | TrQAsk
63: ANT 08/24/04 10:22:20 AM 33.55 1 Bid | NYSE | TrQBid <<- Input Misorder
64: ANT 08/24/04 10:22:20 AM 33.56 6 Ask | PSE | TrQAsk
64: ANT 08/24/04 10:22:20 AM 33.56 6 Ask | PSE | TrQAsk
65: ANT 08/24/04 6:05:07 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
66: ANT 08/24/04 6:05:07 AM 132.08 1 Ask | THRD | TrQAsk
Update 'BG' hist 3 min old.
Update BG DHist 2141 Hist 2298 RT 157

Process First 0 Last 2298 nHist 2298
16: BG 08/24/04 10:38:28 AM 39.84 1 Bid | NYSE | TrQBid
17: BG 08/24/04 10:22:22 AM 39.87 15 Bid | NYSE | TrQBid <<- Input Misorder
18: BG 08/24/04 10:22:22 AM 39.89 22 Ask | NYSE | TrQAsk
19: BG 08/24/04 10:22:26 AM 39.87 18 Bid | NYSE | TrQBid
20: BG 08/24/04 6:05:14 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
21: BG 08/24/04 6:05:14 AM 118.22 1 Ask | THRD | TrQAsk
Update BG DHist 2141 Hist 2299 RT 158

Update 'BHP' hist 3 min old.
Update BHP DHist 2149 Hist 2235 RT 86

Process First 0 Last 2235 nHist 2235
1: BHP 08/24/04 10:22:39 AM 18.84 11 Ask | NYSE | TrQAsk
2: BHP 08/24/04 5:00:31 AM 19.10 3 Bid | PSE | TrQBid <<- Input Misorder
3: BHP 08/24/04 5:00:31 AM 58.24 1 Ask | THRD | TrQAsk
Update 'BLL' hist 3 min old.
Update BLL DHist 3099 Hist 3340 RT 241

Process First 0 Last 3340 nHist 3340
104: BLL 08/24/04 10:38:10 AM 37.36 200 Trade | THRD | TrInsd
105: BLL 08/24/04 10:22:19 AM 37.30 10 Bid | NYSE | TrQBid <<- Input Misorder
106: BLL 08/24/04 10:22:19 AM 37.31 2 Ask | NYSE | TrQAsk
108: BLL 08/24/04 10:22:20 AM 37.30 1300 Trade | NYSE | TrBid
109: BLL 08/24/04 6:18:08 AM 36.25 1 Bid | PSE | TrQBid <<- Input Misorder
110: BLL 08/24/04 6:18:08 AM 37.73 4 Ask | PSE | TrQAsk
Update 'BOH' hist 3 min old.
Update BOH DHist 2377 Hist 2609 RT 232

Process First 0 Last 2609 nHist 2609
89: BOH 08/24/04 10:38:52 AM 46.98 5 Bid | NYSE | TrQBid
90: BOH 08/24/04 10:22:18 AM 46.94 1 Bid | NYSE | TrQBid <<- Input Misorder
91: BOH 08/24/04 10:22:18 AM 46.95 8 Ask | NYSE | TrQAsk
94: BOH 08/24/04 10:22:46 AM 46.95 2 Ask | NYSE | TrQAsk
95: BOH 08/24/04 5:40:36 AM 45.84 21 Bid | PSE | TrQBid <<- Input Misorder
96: BOH 08/24/04 5:40:36 AM 47.74 21 Ask | PSE | TrQAsk
Update BOH DHist 2377 Hist 2610 RT 233

Update 'BOL' hist 3 min old.
Update BOL DHist 2738 Hist 2945 RT 207

Process First 0 Last 2945 nHist 2945
49: BOL 08/24/04 10:38:52 AM 65.43 3 Ask | NYSE | TrQAsk
50: BOL 08/24/04 10:22:32 AM 65.34 3 Bid | NYSE | TrQBid <<- Input Misorder
51: BOL 08/24/04 10:22:32 AM 65.37 17 Ask | NYSE | TrQAsk
54: BOL 08/24/04 10:22:45 AM 65.37 17 Ask | NYSE | TrQAsk
55: BOL 08/24/04 6:05:17 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
56: BOL 08/24/04 6:05:17 AM 67.67 1 Ask | PSE | TrQAsk
Update 'BSTE' hist 3 min old.
Update BSTE DHist 5777 Hist 6242 RT 465

Process First 0 Last 5000 nHist 6242
322: BSTE 08/24/04 10:38:51 AM 48.60 3 Bid | PSE | TrQBid
323: BSTE 08/24/04 10:22:35 AM 48.39 2 Bid | PSE | TrQBid <<- Input Misorder
324: BSTE 08/24/04 10:22:35 AM 48.44 4 Ask | PSE | TrQAsk
334: BSTE 08/24/04 10:22:43 AM 48.40 4 Bid | PSE | TrQBid
335: BSTE 08/24/04 4:30:00 AM 48.44 1 Bid | NMS | TrQBid <<- Input Misorder
336: BSTE 08/24/04 4:30:00 AM 48.71 1 Ask | NMS | TrQAsk
Update 'CCJ' hist 3 min old.
Update CCJ DHist 2346 Hist 2539 RT 193

Process First 0 Last 2539 nHist 2539
42: CCJ 08/24/04 10:38:48 AM 63.63 4 Ask | NYSE | TrQAsk
43: CCJ 08/24/04 10:22:16 AM 63.63 3 Bid | NYSE | TrQBid <<- Input Misorder
44: CCJ 08/24/04 10:22:16 AM 63.69 2 Ask | NYSE | TrQAsk
44: CCJ 08/24/04 10:22:16 AM 63.69 2 Ask | NYSE | TrQAsk
45: CCJ 08/24/04 6:05:23 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
46: CCJ 08/24/04 6:05:23 AM 195.54 1 Ask | THRD | TrQAsk
Update 'CHRW' hist 3 min old.
Update CHRW DHist 8700 Hist 9273 RT 573

Process First 0 Last 5000 nHist 9273
409: CHRW 08/24/04 10:38:43 AM 42.15 11 Bid | PSE | TrQBid
410: CHRW 08/24/04 4:30:01 AM 41.92 5 Bid | NMS | TrQBid <<- Input Misorder
411: CHRW 08/24/04 4:30:01 AM 42.04 4 Ask | NMS | TrQAsk
Update BSTE DHist 5777 Hist 6243 RT 466

Process First 5000 Last 6243 nHist 6243
Update 'COO' hist 3 min old.
Update COO DHist 2145 Hist 2394 RT 249

Process First 0 Last 2394 nHist 2394
75: COO 08/24/04 10:38:41 AM 57.77 1 Ask | NYSE | TrQAsk
76: COO 08/24/04 10:22:31 AM 57.75 1 Bid | NYSE | TrQBid <<- Input Misorder
77: COO 08/24/04 10:22:31 AM 57.82 1 Ask | PHIL | TrQAsk
78: COO 08/24/04 10:22:32 AM 57.82 1 Ask | NYSE | TrQAsk
79: COO 08/24/04 6:05:30 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
80: COO 08/24/04 6:05:30 AM 232.16 1 Ask | THRD | TrQAsk
Update 'EXBD' hist 3 min old.
Update EXBD DHist 3009 Hist 3225 RT 216

Process First 0 Last 3225 nHist 3225
99: EXBD 08/24/04 10:38:50 AM 59.00 100 Trade | PSE | TrAsk
100: EXBD 08/24/04 10:22:36 AM 58.94 1 Bid | NMS | TrQBid <<- Input Misorder
101: EXBD 08/24/04 10:22:36 AM 58.99 2 Ask | CSE | TrQAsk
104: EXBD 08/24/04 10:22:40 AM 58.94 100 Trade | CSE | TrBid
105: EXBD 08/24/04 4:30:02 AM 59.00 1 Bid | NMS | TrQBid <<- Input Misorder
106: EXBD 08/24/04 4:30:02 AM 59.15 1 Ask | NMS | TrQAsk
Update 'FDG' hist 3 min old.
Update FDG DHist 2028 Hist 2122 RT 94

Process First 0 Last 2122 nHist 2122
1: FDG 08/24/04 10:22:18 AM 45.40 2 Ask | NYSE | TrQAsk
2: FDG 08/24/04 5:21:51 AM 42.00 1 Bid | PSE | TrQBid <<- Input Misorder
3: FDG 08/24/04 5:21:51 AM 91.84 1 Ask | THRD | TrQAsk
Update 'FRK' hist 3 min old.
Update FRK DHist 6712 Hist 6837 RT 125

Process First 0 Last 5000 nHist 6837
19: FRK 08/24/04 10:38:40 AM 45.97 3 Bid | NYSE | TrQBid
20: FRK 08/23/04 5:06:03 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
21: FRK 08/23/04 5:06:03 AM 46.88 7 Ask | PSE | TrQAsk
4761: FRK 08/24/04 10:22:26 AM 45.92 100 Trade | THRD |
4762: FRK 08/24/04 6:05:55 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
4763: FRK 08/24/04 6:05:55 AM 142.06 1 Ask | THRD | TrQAsk
Update 'FTI' hist 3 min old.
Update FTI DHist 3822 Hist 4119 RT 297

Process First 0 Last 4119 nHist 4119
163: FTI 08/24/04 10:38:50 AM 29.84 6 Ask | NYSE | TrQAsk
164: FTI 08/24/04 6:05:55 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
165: FTI 08/24/04 6:05:55 AM 60.58 1 Ask | THRD | TrQAsk
Update FTI DHist 3822 Hist 4120 RT 298

Process First 0 Last 4120 nHist 4120
163: FTI 08/24/04 10:38:50 AM 29.84 6 Ask | NYSE | TrQAsk
164: FTI 08/24/04 6:05:55 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
165: FTI 08/24/04 6:05:55 AM 60.58 1 Ask | THRD | TrQAsk
609: FTI 08/24/04 10:22:22 AM 29.91 11 Ask | NYSE | TrQAsk
610: FTI 08/24/04 6:58:37 AM 30.00 1 Bid | NYSE | TrQBid <<- Input Misorder
611: FTI 08/24/04 6:58:37 AM 30.06 2 Ask | NYSE | TrQAsk
609: FTI 08/24/04 10:22:22 AM 29.91 11 Ask | NYSE | TrQAsk
610: FTI 08/24/04 6:58:37 AM 30.00 1 Bid | NYSE | TrQBid <<- Input Misorder
611: FTI 08/24/04 6:58:37 AM 30.06 2 Ask | NYSE | TrQAsk
Update 'GGC' hist 3 min old.
Update GGC DHist 46795 Hist 47007 RT 212

Process First 0 Last 5000 nHist 47007
191: GGC 08/24/04 10:38:15 AM 37.12 8 Bid | NYSE | TrQBid
192: GGC 08/11/04 5:10:31 AM 0.01 1 Bid | PSE | TrQBid <<- Input Misorder
193: GGC 08/11/04 5:10:31 AM 70.42 1 Ask | THRD | TrQAsk
Update CHRW DHist 8700 Hist 9273 RT 573

Process First 5000 Last 9273 nHist 9273
6918: CHRW 08/24/04 10:22:14 AM 42.08 5 Ask | AMEX | TrQAsk
6919: CHRW 08/24/04 9:13:59 AM 41.98 5 Bid | AMEX | TrQBid <<- Input Misorder
6920: CHRW 08/24/04 9:13:59 AM 42.00 3 Ask | CSE | TrQAsk
Update FRK DHist 6712 Hist 6838 RT 126

Process First 5000 Last 6838 nHist 6838
Update GGC DHist 46795 Hist 47008 RT 213

Process First 5000 Last 10000 nHist 47008
Update CHRW DHist 8700 Hist 9274 RT 574

Process First 5000 Last 9274 nHist 9274
6918: CHRW 08/24/04 10:22:14 AM 42.08 5 Ask | AMEX | TrQAsk
6919: CHRW 08/24/04 9:13:59 AM 41.98 5 Bid | AMEX | TrQBid <<- Input Misorder
6920: CHRW 08/24/04 9:13:59 AM 42.00 3 Ask | CSE | TrQAsk
Update GGC DHist 46795 Hist 47009 RT 214

[chrisjames]

Jim,

thank for your diligence and responsiveness...

cj

[Guest]

JimBecker17,

I was finally able to look into this stuff. I can't find a problem. Each of the "Input Misorders" that you noted are Bid/Ask pairs and are identical to the "Time and Sales" window in eSignal. They occur at the exact same time, so I don't understand how they are out of order.

If you are worried about the actual timestamp, there is an option to toggle a "Synchronize to Computer Clock" on and off. We have found that some places have network time updates and we are essentially fighting for the right to set the clock. We are doing some additional work in the next few weeks to ensure that our times are sync'd to our network time, which is milliseconds (network latency) off of the atomic clock.

I may not have understood the problem exactly, but have been working with T&S issues for the past few weeks, but as far as I can tell, the data is coming in as expected. I am looking for an error in the API specifically, not in our T$S data. Please use the T&S window in eSignal to compare, since the data is coming from the same server, they should be identical.

[Guest]

chrisjames,

I did not look into your problem as much, but noticed that you have 2 symbols in a 3 symbol array (starting with 0). It looked like you may be matching incorrectly. I may have a chance to look into it deeper in the next few days.

[JimBecker17]

Robi,

The "Input Misorder" line includes the entry prior and after in addition to where the error occurs. If you note the entry prior is always later in time than where the Input Misorder is noted. The entry after is ok.

The number on the left side is the index used to get the T&S data. Take a look at the sample code at bottom.

The data is not processed until it hasn't changed for about three minutes..

In this example note #62 is 16 minutes after #63. Same type thing with all the entries.


Process First 0 Last 3175 nHist 3175
62: ANT 08/24/04 10:38:42 AM 33.50 3 Ask | NYSE | TrQAsk
63: ANT 08/24/04 10:22:20 AM 33.55 1 Bid | NYSE | TrQBid <<- Input Misorder
64: ANT 08/24/04 10:22:20 AM 33.56 6 Ask | PSE | TrQAsk


sorry - can't figure out the tabs in this world..

lLastDate = 0;
lLastTime = 0;

for(i = nFirst; i < nLast; i++) {

ts = (TimeSalesData)((*m_piHooks)->GetGetTimeSalesBar(hData, i));

if( ts.dtTime == 0 ) // bad data.
continue;

ot = ts.dtTime;
lDate = (ot.GetYear() * 10000) + (ot.GetMonth() * 100) + ot.GetDay();
lTime = ot.GetHour() * 3600 + ot.GetMinute() * 60 + ot.GetSecond();

if( lDate < lLastDate || ((lDate == lLastDate) && (lTime < lLastTime)) ) {
ShowBar( pTC, i, 1, "Input Misorder" );
}
lLastDate = lDate;
lLastTime = lTime;
}


void CESignal::ShowBar( TDayCollection *pTC, int nBar, int nDelta, LPCSTR szText )
{
CString sBar, strLine;
int nFirst, nLast, nMax, nIndex;
TimeSalesData ts;

try {
nFirst = nBar - nDelta;
nLast = nBar + nDelta;
nMax = pTC->m_nHist;

if( nFirst < 0 )
nFirst = 0;
if( nLast > nMax )
nLast = nMax;

for( nIndex = nFirst; nIndex <= nLast; nIndex++ ) {

ts = (TimeSalesData)((*m_piHooks)->GetGetTimeSalesBar(pTC->m_hHist, nIndex));

sBar = FormatTSData(ts, pTC->m_strSymbol, nIndex);

if( nIndex == nBar ) {
strLine.Format("%s <<- %s\n", sBar, szText );
} else {
strLine.Format("%s\n", sBar );
}

ODBG(strLine);
}
}
catch (_com_error &e) {
COMErrorReset(e);
}
}

[chrisjames]

Originally posted by eSignal Robi
chrisjames,

I did not look into your problem as much, but noticed that you have 2 symbols in a 3 symbol array (starting with 0). It looked like you may be matching incorrectly. I may have a chance to look into it deeper in the next few days.

I was tweaking it so much i forgot to change the posted code to propertly reflect the arrray... even with them matching i cannot get it to work... out of sequence and repeating TS data even when you match correctly...

thanks Robi... hope you will have time to look into it soon...

cj

[Guest]

OK. I had a long talk with engineering about T&S. We are doing some changes to eSignal that deal with the timing of how data is displayed. I think that those changes will help alleviate the problem. What concerns me is more what some of you are attempting to use the API for. Some of it sounds very complicated and resource intensive and my concern is that it could be taxing the API pasts its limits. I personally think that in-depth number crunching on the E-mini T&S may be too much. Again, the relatively low cost of the API should be a sign that it may not work for everything. As I mentioned earlier, we are developing a much more robust API that will available to our retail customers. I expect that product to be ready for purchase in about 1-2 months. In the meanwhile, we are working on the timing of T&S within eSignal, which will be in a 7.8 Beta release. Simon has noted that there was another fix to T&S that was found to occur most apparently in the W2K environment, which may alleviate many of your problems. The next 2 updates of eSignal are working on your specific issues.

[JimBecker17]

Thanks for continuing to press this issue, Robi.

I look forward to getting the correct data, if there is anything you would like me to help with in terms of testing 7.8 Alpha or other let me know.

If the data returned was correct and eSignal did not crash my only issue with the existing ActiveX approach would be speed related. There are some minor things which could be done on your side which would cure this problem in my opinion.

Using the filesystem would totally satisfy speed issues.

If the COM interface continues to be used for all T&S data, your developers might want to try converting the BSTR data of the sExchange in the T&S data to an enumerated type. I think if they timed moving data across the interface with and without BSTR data there would be a big improvement without any other changes.

I'm willing to help in any of this if the effort is desired.

-Jim