Set up $Playback stream through the ActiveX ESignal API

[ylidor]

Please help me to read $PLAYBACK.EPF stream with a third party software through the ActiveX ESignal API. I'm a user, not a developer, so bear with my lack of familiarity with ActiveX programing. I subscribed yesterday to the API and my goal is to read the Esignal playback stream in a third party trading desk software (Futures-Trader, aqa FT), synchonized to the events occuring in the Tick Replay module of ESignal 7.4. The developer of FT provides, in addition to an access to ESignal datafeed, also an access to the Esignal ActiveX Datafeed. However, when I select the ActiveX datafeed it seems that FT is not communicating with it. Since there is no documantation on both sides (yours and FT) how to go about this issue, I would appreciate some help here.

I guess the first thing I need to know is how the $Playback symbol is represented internally on the ActiveX datafeed. This will allow me to set up properly the $PLAYBACK ticker in FT. I'm not clear what else I need to know or do in order to make it work. The developer of FT sent me an e-mail stating that "Matt Gunderson (developper of ESignal)" told him "that you can request the $Playback stream through the ActiveX ESignal API" but he is not clear how to go about it, so I guess it's up to me, you and him to sort it up together.

Awating your response, hopefully ASAP, Ron

[JayF]

Ron,

I'm unsure why FT is not working. When I pull up the TSSample application (an Visual Basic ActiveX example in the File Share group), and request Time & Sales for $PLAYBACK, the data starts to stream once I initiate the Tick Replay in eSignal. This says to me that ActiveX is working correctly with the Tick Replay feature in eSignal. You may want to double check the settings in FT with their support department.

[ylidor]

Possible other cause

Hi JayF,

Thanks for your response. Before I talk to the developer of FT I would like to check two more things:

1. In regards to the internal setting of the symbol just wanted to verify again that I need to call the word $PLAYBACK and nothing else.

2. FT was never certified by eSignal. It is my understanding, from reading your doc file, that “Applications that do not meet eSignal certification requirements or that do not work with eSignal to fulfill the certification process will not be granted access to the eSignal servers.” Is this has something to do with the failure to receive Active X data stream through FT?

Regards, Ron

[JayF]

Regarding #1, that is correct. You simply use the symbol $PLAYBACK and then invoke the Tick Replay with the desired replay file.

Regarding #2, that could be the reason. For a non-certified application, one would need a way to plug in their eSignal user name into the application. Not knowing how FT is programmed, I can't say for sure why this isn't working for you.

[ylidor]

$PLAYBACK bid/ask size data

Hi JayF,

We got e-signal $PLAYBACK stream to work on FT. One puzzle still remains: although eSignal "ets" file does show that bid/ask SIZE data are delivered with $PLAYBACK stream, FT can't read them. However, It does read these data real-time for ES and NQ via the Active X stream. Therefore, FT developer insists his program does not recieve bid/ask SIZE data from $PLAYBACK. Any suggestion?

[JayF]

I tried the sample Visual Basic Time & Sales ActiveX application, and this seems to pull down the Bid/Ask Sizes ok. Here's a screenshot of the sample application along side a Time & Sales window from eSignal. They seem to match up, so I'm not really sure why FT wouldn't be doing the same.

[ylidor]

Maybe we are on to something

Hi JayF,

I'm forwarding the last message received from FT’s developer. He narrowed down the possible cause for the trouble we encounter in reading size data from the ActiveX $PLAYBACK stream. Since the lingo is too technical for me, I forward them to you without editing:

“I know what's happening:

FT is requesting and looking for Symbol Quote Changes as this is the fastest way to be informed of ticker changes.

FT creates the T&S from this Symbol Quote stream received.
ESignal in a later stage of the ActiveX development also introduced a T&S stream, which delivers current Bid/ Ask and trade data, including size information.

While the Symbol Quote Change Event (esignal_OnQuoteChanged(ByVal sSymbol As String) Event) for a size change of the $Playback symbol is not fired, the corresponding T&S stream does include size information.

This is something which should be fixed by ESignal, as there is no reason, why the Symbol Quote Change Event is not fired for size change of the $Playback stream, or why the Event does not deliver any Size data at all, if, when a $Playback file is playing.

Sure there is a workaround to use the T&S object instead of the Quote object, if a $Playback file is playing. But as I see no advantage to change to the T&S object instead of the Quote object only to build a workaround for something the ActiveX should deliver, I would consider this change, which takes me 3 to 4 developing hours, only, if ESignal is not willing to fix their ActiveX code. As they fire the Event in case of price changes, it most likely is just an omission, that it is not fired for sizechanges, when a $Playback file is running."


Can eSignal Active X team make the changes requested by him?

Regards,

Ron

[ylidor]

Additional clarification

Hi JayF,

Since you have not posted yet a response to my last reply, I'm adding a clarification sent to me by FT developer:

"For clarification:

FT reads the Symbol Quote stream when reading the current Bid/Ask/Last values plus Sizes. This works for all realtime instruments as it should. But it does not work for the $Playback stream, as the ESignal API does not transmit Size information on the Symbol Quote Stream for $Playback.

ESignal does transfer Size information on the Time and Sales Stream, but this stream is not used within FT, as there is no obvious advantage in real trading for using the T&S stream instead of the Symbol Quote stream.

If Jay can confirm, that the T&S stream is in fact faster than the Symbol Quote stream I sure can change the FT code involved, but this would affect all tickers, not just the Playback ticker.

How I see it, the ESignal API should provide the Size information for the Playback symbol on the Symbol Quote stream as well as on the T&S stream."

Hope this addition makes things clearer,

Regards, Ron

[JayF]

I'll work on getting this answered in short order. Thanks for your patience on this.

[ylidor]

Are you still working on solution?

Jay,

Just wanted to check where you are in addressing this issue.

Regards,

Ron

[JayF]

I'm currently waiting on a response from a developer as this is a bit over my head. I'm dropped them another request to help the process along.

Thanks again for your patience.

[ylidor]

Hi Jay,

Almost three weeks passed by without a solution. Who should I talk to in your system to expedite the process? In my mind this task should be pretty simple - just amending the code already available for the T&S stream into the Symbol Quote stream so that the the size information for $PLAYBACK will be available on both.

I'll appreciate a faster response from the developer.

Ron

[bassocat5]

Ron,

I would also like to see some action for this problem but I'm guessing eSignal has their hands full.

There seems to be a similar bid/ask/size problem going on in another thread: Cummulative Bid Ask Volume
see JasonK's comments there.

Rich

[AndyS]

Hi Ron, Rich,

Our developers have been extremely busy with the release of 7.5 due out tomorrow. We have submitted this thread for their review and they will get to it as soon as we get 7.5 out the door.

We appreciate your patience in this matter.

Regards,
Andy
eSignal Support

[JayF]

Re: Additional clarification

.

Originally posted by ylidor
FT reads the Symbol Quote stream when reading the current Bid/Ask/Last values plus Sizes. This works for all realtime instruments as it should. But it does not work for the $Playback stream, as the ESignal API does not transmit Size information on the Symbol Quote Stream for $Playback.

ESignal does transfer Size information on the Time and Sales Stream, but this stream is not used within FT, as there is no obvious advantage in real trading for using the T&S stream instead of the Symbol Quote stream.

If Jay can confirm, that the T&S stream is in fact faster than the Symbol Quote stream I sure can change the FT code involved, but this would affect all tickers, not just the Playback ticker.

How I see it, the ESignal API should provide the Size information for the Playback symbol on the Symbol Quote stream as well as on the T&S stream."

Hope this addition makes things clearer,

Regards, Ron

Ron,

As you may have read in my earlier thread from today, we have a developer working on enhancing our Desktop API to include size information in the Quote Stream for $PLAYBACK. We should have this implemented sometime in January's release of 7.6. Please also know that if FT chooses to change to the T&S stream for $PLAYBACK, then that should work just as fast.

Again, I apologize for the long delay on getting this response to you, and hope this answer is satisfactory. If you need further assistance, please let us know.