Importing Custom Data by Akhil patel

Akhil patel INVESTOR

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Hi is it possible to import trade and quote data, that will keep the message structure intact, I use Reuters Tick History but need to stream it as trade bid or quote update with multiple data points at the same microsecond. So I dont want to split the data into seperate trade or bidask.

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Akhil patel

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Alexandre Catarino

Could you give us more details?
What is the data structure?

Akhil patel

19 ,

Can I give you a sample? Would that be easier.

so here we have csv format, with eurex fgbl mar 16 emdi updates.

datetime,tradeprice,tradesize,bidprice,bidsize,askprice,asksize

2016-01-25 10:48:46.777566,NaN,NaN,161.47,190,NaN,NaN
2016-01-25 10:48:47.117338,NaN,NaN,161.47,256,161.48,40
2016-01-25 10:48:47.466905,NaN,NaN,161.47,253,161.48,43
2016-01-25 10:48:47.796992,NaN,NaN,161.47,207,161.48,94
2016-01-25 10:48:51.716714,NaN,NaN,161.47,205,NaN,NaN
2016-01-25 10:48:51.926685,NaN,NaN,NaN,NaN,161.48,94
2016-01-25 10:48:51.926685,161.48,15,NaN,NaN,NaN,NaN
2016-01-25 10:48:52.266630,NaN,NaN,161.47,249,161.48,28
2016-01-25 10:48:52.305743,NaN,NaN,161.47,252,161.48,13
2016-01-25 10:48:52.305743,161.48,13,NaN,NaN,NaN,NaN
2016-01-25 10:48:52.636735,NaN,NaN,161.47,264,161.48,1
2016-01-25 10:48:52.686503,161.48,1,NaN,NaN,NaN,NaN
2016-01-25 10:48:52.706968,NaN,NaN,161.48,10,161.49,302
2016-01-25 10:48:52.706968,161.48,2,NaN,NaN,NaN,NaN
2016-01-25 10:48:52.706968,NaN,NaN,161.48,3,161.49,301
2016-01-25 10:48:52.706968,161.48,3,NaN,NaN,NaN,NaN
2016-01-25 10:48:52.907173,NaN,NaN,161.48,2,161.49,288
2016-01-25 10:48:52.907173,161.48,1,NaN,NaN,NaN,NaN
2016-01-25 10:48:53.246988,NaN,NaN,161.47,299,161.49,293
2016-01-25 10:48:53.417005,NaN,NaN,161.47,285,161.48,1
2016-01-25 10:48:53.426608,161.48,1,NaN,NaN,NaN,NaN
2016-01-25 10:48:53.756711,NaN,NaN,161.47,304,161.49,319
2016-01-25 10:48:54.136616,NaN,NaN,161.47,297,NaN,NaN
2016-01-25 10:48:54.907041,NaN,NaN,161.48,6,161.49,296
2016-01-25 10:48:54.907041,161.48,6,NaN,NaN,NaN,NaN
2016-01-25 10:48:55.246839,NaN,NaN,161.48,3,161.49,296
2016-01-25 10:48:55.586655,NaN,NaN,161.48,19,161.49,295
2016-01-25 10:48:56.086649,NaN,NaN,161.48,20,NaN,NaN
2016-01-25 10:48:56.436275,NaN,NaN,161.48,106,161.49,269
2016-01-25 10:48:56.527094,161.48,75,NaN,NaN,NaN,NaN
2016-01-25 10:48:56.527094,NaN,NaN,161.48,29,161.49,300
2016-01-25 10:48:56.527094,161.48,7,NaN,NaN,NaN,NaN
2016-01-25 10:48:56.527094,NaN,NaN,161.48,22,161.49,303
2016-01-25 10:48:56.536805,161.48,1,NaN,NaN,NaN,NaN
2016-01-25 10:48:56.536805,NaN,NaN,161.48,21,161.49,304
2016-01-25 10:48:56.536805,161.48,21,NaN,NaN,NaN,NaN
2016-01-25 10:48:56.536805,NaN,NaN,161.47,264,161.48,32
2016-01-25 10:48:56.536805,161.48,3,NaN,NaN,NaN,NaN
2016-01-25 10:48:56.607224,NaN,NaN,161.47,246,161.48,3
2016-01-25 10:48:56.607224,161.48,3,NaN,NaN,NaN,NaN
2016-01-25 10:48:56.946949,NaN,NaN,161.48,8,161.49,335
2016-01-25 10:48:57.846354,NaN,NaN,161.48,10,NaN,NaN
2016-01-25 10:48:59.056279,NaN,NaN,161.48,11,NaN,NaN
2016-01-25 10:48:59.536665,NaN,NaN,NaN,NaN,161.49,336
2016-01-25 10:49:00.156964,161.48,1,NaN,NaN,NaN,NaN
2016-01-25 10:49:00.496611,NaN,NaN,161.48,10,NaN,NaN
2016-01-25 10:49:00.836415,NaN,NaN,161.48,92,161.49,278
2016-01-25 10:49:01.176334,NaN,NaN,161.48,90,NaN,NaN
2016-01-25 10:49:02.185997,NaN,NaN,161.48,88,NaN,NaN
2016-01-25 10:49:02.526792,NaN,NaN,161.48,26,161.49,289
2016-01-25 10:49:02.856935,NaN,NaN,161.48,116,161.49,238
2016-01-25 10:49:03.196667,NaN,NaN,161.48,99,161.49,232
2016-01-25 10:49:03.546252,NaN,NaN,NaN,NaN,161.49,239
2016-01-25 10:49:03.886120,NaN,NaN,NaN,NaN,161.49,220
2016-01-25 10:49:04.016096,NaN,NaN,161.48,108,NaN,NaN
2016-01-25 10:49:04.016096,161.48,10,NaN,NaN,NaN,NaN
2016-01-25 10:49:04.366569,NaN,NaN,161.48,97,161.49,217
2016-01-25 10:49:05.026691,NaN,NaN,NaN,NaN,161.49,215
2016-01-25 10:49:05.366505,NaN,NaN,NaN,NaN,161.49,212
2016-01-25 10:49:06.055896,NaN,NaN,161.48,133,161.49,156
2016-01-25 10:49:06.385933,NaN,NaN,161.48,130,161.49,156
2016-01-25 10:49:07.106665,161.49,1,NaN,NaN,NaN,NaN
2016-01-25 10:49:07.106665,NaN,NaN,NaN,NaN,161.49,155
2016-01-25 10:49:07.106665,161.49,1,NaN,NaN,NaN,NaN
2016-01-25 10:49:07.106665,NaN,NaN,161.48,156,161.49,113
2016-01-25 10:49:07.106665,161.49,113,NaN,NaN,NaN,NaN
2016-01-25 10:49:07.106761,NaN,NaN,161.49,26,161.5,714

Alexandre Catarino

Please checkout the docs, under Importing Custom Data:

// In Initialize method:

AddData<Weather>("KNYC", Resolution.Daily);

Here is how a custom class look like:

public class Weather : BaseData

{

    public decimal MaxC = 0;

    public decimal MinC = 0;

    public string errString = "";



    public override SubscriptionDataSource GetSource(

        SubscriptionDataConfig config, 

        DateTime date, 

        bool isLive)

    {

        var source = string.Format(

                "https://www.wunderground.com/history/airport/{0}/{1}/1/1/" + 

                "CustomHistory.html?dayend=31&monthend=12&yearend={1}&format=1",

                config.Symbol, date.Year);



          return new SubscriptionDataSource(source,

              SubscriptionTransportMedium.RemoteFile);

    }



    public override BaseData Reader(

        SubscriptionDataConfig config,

        string line,

        DateTime date,

        bool isLive)

    {

        if (string.IsNullOrWhiteSpace(line) ||

            char.IsLetter(line[0])) 

            return null;

            

        var data = line.Split(',');



        return new Weather()

        {

            // Make sure we only get this data AFTER trading day - don't want forward bias.

            Time = DateTime.Parse(data[0]).AddHours(20), 

            Symbol = config.Symbol,

            MaxC = Convert.ToDecimal(data[1]),

            Value = Convert.ToDecimal(data[2]),

            MinC = Convert.ToDecimal(data[3]),

        };

    }

}

In your case, you need to have members called BidPrice, BidSize, AskPrice, AskSize, TradePrice and TradeSize.
Value should be TradePrice.

Akhil patel INVESTOR

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