time and sales quotes

[venusthree]

I've noticed for some time now that most of the time there are no quotes anymore -only trades- (and I DO have the setting correct) but I figured it was just some prob that would get worked out but now I read here in the forum where somebody said that was actually a CHANGE !! Say it ain't so!

While I don't use it every minute of the day, it's an invaluable tool when you need it for a particular type of trade, and I just never heard of any feed not having it...Especially you need it in the pre and after hours cuz the L2 quotes then are always all screwed up and sheesh, you want to know you can see the quote progressions in price and size if you want to!

Please explain and/or point me to where's there's more info. Thanks.

[eSignal_ShaheedM]

Hi There,

You will need to request a special routing bit to be added to your service in order to be directed to a special set of servers which store hostorical bid and ask information.

NOTE: These servers have been setup to hold much more data, so the servers may take a little longer to respond to any requests from your client sided program.

Please can you PM your account username if you would like me to add this entitlement to your account.

Kind Regards,

[venusthree]

Thanks for your quick and kindly reply, but the news is pretty sad...in order to receive what is a very basic part of any quote feed, I'm going to need to accept a slower feed overall when it's already at a standstill any time the market really moves? I'm a daytrader. I have to be able to move in milliseconds. Already I depend upon my broker's feed for accuracy and speed in a busy market because Esignal's data just comes in too slowly sometimes. I absolutely cannot accept it being any slowER, and I can't see not having a decent historical quote system available in a system as big and expensive as Esignal. So I don't know what I'm going to do. Sure am unhappy about it.

[eSignal_ShaheedM]

We found that the majority of our clients did not require the ability to access historical bid and ask information and removing that data from our servers significantly improved the overall performance. Users are still able to view the bid and ask data, collected inside a time and dales window from the time they open the program (just not historical bid/ask information).

We left a number of servers online, which are holding this historical bid/ask entitlement, for users who do need that data. User's who need this data just need to request the special routing entitlement to be added to their service.

I have forwarded your comments to my team, who are actively updating our system to support the increased volume of data being injected into our system these days.

Now, regarding your comments about encountering a delay during fast market activity, could you please review the following article: Performance

Kind Regards,

[beverlycloak]

We have just requested the special routing bit to be added on our account to get historical bid/ask data. I would have thought we could then use getMostRecentAsk() and getMostRecentBid() to get the historical information. This does not seem to work.

So, now that we have been routed to the servers with the historical data, how do we get at it? Our goal is to be able to run the BidAskVolume.efs script in backtest for the period where the historical bid/ask data is available.

Can anyone point us in the right direction?

Many thanks.

[ACM]

beverlycloak
At this time EFS cannot access historical Bid and Ask data
Alex

Originally posted by beverlycloak
We have just requested the special routing bit to be added on our account to get historical bid/ask data. I would have thought we could then use getMostRecentAsk() and getMostRecentBid() to get the historical information. This does not seem to work.

So, now that we have been routed to the servers with the historical data, how do we get at it? Our goal is to be able to run the BidAskVolume.efs script in backtest for the period where the historical bid/ask data is available.

Can anyone point us in the right direction?

Many thanks.

[beverlycloak]

Can we import the data?

Can we generate 3 minute bars with the following data externally

- High
- Low
- Open
- Close
- Bid volume
- Ask Volume

Then, import into esignal and create a backtest.

We would do this for a month at a time of data.

Is this possible. If so, how would we do it?

Thanks

[beverlycloak]

Given that there is no way to get historical bid/ask data in an EFS, can we forward test an algo in eSignal? If so, how can we get a summary of the results at the end of the forward test as we do in back testing?

Thanks.