Time sales data

[dvaello]

Can anyone tell me how much time will it take to pull 1 day worth of times and sales data for a symbol like "ES #F" using ActiveX Data API's following functions:

RequestTimeSales(ref filter);

Assume that you have a dual core machine with 4 GB RAM.

If you want to test please use the TsSample Project posted on the website.

I appreciate any help on this.

[AChan]

To obtain a full day of T&S data via the Desktop API, you can take a look at the Time_And_Sales_in_VB.zip sample. It does demonstrate how to obtain historical T&S data.

In terms of how long it takes to download the data, it varies depending on system resources. In general, a dual core or quad core processors run faster than older P4 processors.

[dvaello]

The sample doesn't work. It fails with the following exception.

A first chance exception of type 'System.InvalidOperationException' occurred in System.Windows.Forms.dll


This is because in the function
Private Sub esignal_OnTimeSalesChanged(ByVal lHandle As Integer) Handles esignal.OnTimeSalesChanged

the UI object is accessed from the thread different from the thread on which it is created.

Please modify the code and let me know so that I can estimate the time that this program will take to pull the data.

If I have to get an estimate that will allow you to sell the product, what would you say. Think if this question is asked to your sales department by a prospective client. Thanks a lot.

-Nitin

[AChan]

We have run this sample on our end to download 1 full day of historical ticks for ES #F. It took roughly 2 minutes to finish. During this time, eSignal does consume higher CPU than when no historical data is requested due to the fact that it's
single-processed.

As to the reason why this particular sample is causing an exception on your system, we are not sure at this point. Did you run this under Visual Studio 2003? What operating system are you on?

We do have clients running this sample before without a problem.

[dvaello]

Thanks! 2 minutes looks very promising.

Can you send me the code or just paste the event handler code?

Also, I am compiling the application in Visual Studio 2008. XP Professional operating system. P4 is processor with 2.2

I am still not finding time to send you code that will produce this problem.

[AChan]

The eSignal Desktop API currently only support up to Microsoft Visual Studio 2003 .Net framework 1.1. The Time_And_Sales_in_VB.zip sample is not compatible with Visual Studio 2008. We ran the sample under VS 2003 and provided you with the download speed. Keep in mind that sample code on our fileshare are provided as-is and modification is required on your end to run in your environment.

[dvaello]

Finally I got a sample (attached with this post) that will try to pull the history data for 1 day and display it. In order to keep the UI functionality low, instead of adding it to the list I have added a label whose caption contains the current tick data being pulled.

Please follow the following:

1. Enter a symbol ES #F
2. Click on "Tick Server (Intraday History")

This will pull 1 day history. I have only modified the funtion esignal_OnTimeSalesChanged and also the filter. The filter is set to only get trade data.

Notice the following:
1.When the histroy data is being pulled eSignal is not responsive.
2. Only eSignal UI does not respond to my mouse clicks.
3. I can work in word outlook, excel and other programs. I agree the system becomes slow but still other program atleast responds intermittently.
4. Forget about locking. It takes forever for me to download the history data. I didn't complete the history download for one day even after hour. “2 mins look too good to be true.”

I appreciate if there is any help. Getting history data is impossible using API. Even if you get it after an hour it is not worth the effort.

Any code, or your 2 min download code can help.

[AChan]

We ran the sample you included below. We were able to download historical T&S data for ES #F within minutes and real-time ticks afterwards. The sample does lock up in the end but the point is that we were able to download 1 full day of ticks for ES #F without a problem.

It is a known issue that eSignal would become non-responsive while historical time&sales data are being downloaded.

Right now, we recommend you to run the Time_And_Sales_in_VB.zip sample under Visual Studio 2003 instead.

For further inquiry, please email us at [email protected].

[dvaello]

Sir,

It took me 75 min to download one day data at 8.30 pm when market feed is very slow. How long did it take for you to get the historical data?

What machine you are using. Is dual core with XP fast enough to make this sample run in less than 5 min? Let me know.

Nitin