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Viewing User Profile for: gamozo
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Joined: Apr 2, 2013 08:04 PM
Last Post: Sep 20, 2013 10:09 AM
Last Visit: Sep 20, 2013 10:09 AM
Website: http://gamozolabs.com
Location: Virginia
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Interests: Optimization
Email: bfalk@fundsies.org
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Post Statistics
gamozo has contributed to 4 posts out of 21185 total posts (0.02%) in 4,045 days (0.00 posts per day).

20 Most recent posts:
IQFeed Developer Wish List » Multi-Threaded Decompression / Get Number of Ticks Sep 20, 2013 10:09 AM (Total replies: 4)

Just tick-level on pretty much all the top 20 most traded futures. I think @ES# has about 55 million datapoints at tick level.

I pull at ticklevel as I postprocess all the data and frequently use tick data for simulated fills rather than n-length bars.

It's not a huge issue, I usually just pull once and then have the files around forever. I'm just requesting the feature if it's easy to add as it would be nice here and there.

-Brandon

IQFeed Developer Wish List » Multi-Threaded Decompression / Get Number of Ticks Sep 19, 2013 05:24 PM (Total replies: 4)

Yep. That's what I currently do. However that only works with multiple symbols. It would be nice to have one symbol at full speed. And the only way I could think of doing this is if I knew how many ticks there were historically, with that I could start multiple queries at different starting points. I guess I could do it in chunks of 100k trades or so and just guess for now, but it'd be nice to know how many trades to expect.

IQFeed Developer Wish List » Multi-Threaded Decompression / Get Number of Ticks Sep 19, 2013 05:17 PM (Total replies: 4)

Is there any chance we could get multi-threaded decompression in IQConnect? I'm bottlenecking on CPU rather than download bandwidth.

Currently I just pull all my symbols at once, which means I bottleneck on bandwidth which makes me happy. However I would like to pull a single symbol at full network bandwidth.

Another thing that could allow me to implement this on my end is if you add a 'get number of ticks', so I could query how many ticks of history there is for a symbol. Once I get that number I could start at trades/threads offsets and do a multi-threaded pull.

Any chance this could happen soon?

-Brandon
Edited by gamozo on Sep 19, 2013 at 05:22 PM

IQFeed Developer Wish List » Binary Protocol Apr 2, 2013 08:07 PM (Total replies: 12)

I really do not like working with text-based protocols, as they're clumsy, expensive to parse, and take longer to write parsers for.

I'm wondering if there could be a mode added where data will be sent in binary fixed-width structures rather than CSVs. It pains my love for optimization to know that you guys take in binary data, convert it to CSV, and I convert it right back the second I read it.

I know it's probably something that most people do not ask for, but I can't imagine it would take too long for you guys to implement it.

-Brandon
Edited by gamozo on Apr 2, 2013 at 08:20 PM


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