Manage 2 data feeds

[skynetman]

I have my pats "live only" data feed and i am in trial with iqfeed historical feed.

I want to retrieve from IQFeed only data for continuous contracts, stocks and indices and not real trading contracts not to mix real time with delayed data (this happen if i connect to both, changing connection order).

So i DELETED IQFeed symbol Map line for all the contracts i trade and created another "fake" future with similar name (ES_ for ES, CL_ for CL etc) and mapped ONLY Iqfeed symbol there.
The i added these "fake" future to one market anlyzer using only continuous contracts in format ##.##.
This works if i connect ONLY to IQFEED.

Then i add my usual market analyzer with standard futures i trade that uses data from patsystem.
And chaos begins. I receive an invalid symbol error for each future in my market anlyzer, BUT it should not look for them on IQFeed in the first place, as i deleted the mapping.

This happens also if i connect to pats first.
When IQFeed connection starts NT looks for symbols it should not look for and i receive the same amount of errors.
The strange thing is that NT does not look on Pats for iqfeed continous contracts. I receive errors only when i load pats contracts.

Why this mess?
thx

[NinjaTrader_Michael]

Hi,



The reason you're getting these errors is because NT is attempting to pull data from the futures you have deleted the symbol mapping for. I recommend starting fresh by resetting your instrument list, after doing so I recommend adding your regular contracts with the front month then add the continuous contracts as well to your default instrument list. Use the front month contracts for the Market Analyzer, use the continuous for the charting.

Please reset your instrument list then add the different contract types separately. You will need to remove your existing contracts from the default list. I recommend that you do not edit or delete any symbol mapping.

To reset your instruments please: go to the Tools menu, select the Options menu item, select the Misc tab, and then click on 'Reset Instruments'.



Note: Connect to Patsystems first, then IQFeed.

[skynetman]

Is there any way to export instrument DB? Do i have to copy every customized future contract on paper and add it again?
I had to customize almost everything in pats as it has non standard mappings and/or decimal position....

Why can't i delete iqfeed mappings for traded contracts ? I do not want delayed data to mix with live data if by any chance i connect in the wrong order....


Thx

[NinjaTrader_Michael]

Hi,


Is there any way to export instrument DB?


MD: Unfortunately this is not a possibility at this time and you would not want to do so as the errors would likely persist.


Do i have to copy every customized future contract on paper and add it again?


MD: The contracts should be setup with the correct symbol mapping after resetting your instrument list.


After doing some testing, the order of Patsystems then IQFeed will not feed the continuous contract. I'm under the impression it wouldn't work the other way either however I would like to test it. Please send an e-mail to support AT NinjaTrader dot com ATTN: Mike, reference this post as well.

[skynetman]

I'm writing here so others that have my problem or need same solution can read, that is the purpose of a forum.

Things i did:

Reset Instrument list
Reset DB
Deleted all lists
Created a CL_ contract with only IQFeed mapping (QCL)
Removed iqfeed mapping in standard CL because from tests i did if i do not delete iqfeed mapping for the futures i trade and i connect to iqfeed first, i receive delayed quotes (mixing real time with delayed in the db) and i can't accept that.

1)Connection Order:

Connected IQFeed
Connected Pats

IQFeed Continuous contracts CL_## and CL_04-09 are ok

CL 04-09, CL 05-09 (with only pats mapping) --> Symbol error for every symbol and they are not updated with pats data (market analyzer fields are blank).
When i disconnect IQFeed they are updated with real time pats data.

NT can't use any data from the second connection (in my case pats connection),

NT tries to retrieve data from IQFeed even if there is no mapping for that symbol (i tried even with new never used instruments like CL 09-09, 10-09,11-09 etc) and this causes the symbol error.

2) Connection ORDER:

Connected Pats
Connected IQFeed

CL futures are correctly updated.
IqFeed CL_ futures are not updated at all (second connection again).
I receive symbol errors for every futures in market analyzer that i trade on pats because all symbols are requested from iqfeed even there is no mapping for them and even if they are available on my pats connection!!!

3) Test with new Instrument:

As you told me that removing mapping could have been the problem, i created a new instrument named CL_P with only pats mapping (same as i did with CL_ that had only iqfeed mapping).
Nothing changed. NT still tries to load CL_P data from iqfeed even if there is no mapping!!!!
Why only with iqfeed? NT does not try to load data from pats for CL_ Futures at all. I receive symbol errors only when connected to iqfeed.

NT should behave like this:
a) Store data in the db for the first connection
b) Look for data in the first connection feed and IF NOT FOUND then in the second connection feed (with the right mapping of course)
c) Ignore blank mappings!!

Main problem:
NT is not able to use data feed from 2 accounts. The second account you connect is not used.
The problem is even bigger for pats users as they do not have historical data at all as my broker told me (and your help table is wrong)

Does that mean that iqfeed support in NT is broken? They are not a broker, they give you data, but i can't use historical data from them. Why should i pay hundreds of dollars a month for real time data when i have them already with my pats broker?

Now my trial week with iqfeed expires on wednesday, i hope you can fix something while i can test it

[skynetman]

Updated my post with latest tests.
Please do not tell me "it's broken you can't do that".... It's obviously a bug, else why enable multiple connections?

[NinjaTrader_Dierk]

Your findings as per post #5 are accurate. NT will pull realtime data from the first connection which supports this instrument type. For your test on futures it would mean that futures realtime data is pulled either from Pats or IQFeed, whatever connects first (since they both support futures).

Instrument mappings are irrelevant in that regard.

[skynetman]

So.... Can you fix it now?
Will it be fixed in v7?
What priority does it have in your to do list?

[NinjaTrader_Dierk]

It works as designed. Unfortunately this won't be changed with NT7.

[skynetman]

What if:
I connect to iqfeed only so my CL_ data is stored in the db.
I use a dedicated market analyzer with an sma daily so that it should retrieve historical data.
Then i disconnect from iqfeed and connect to pats.

Can i access CL_ daily data with indicators and strategies even if they are not on the market analyzer and while i am connected to pats?

[NinjaTrader_Dierk]

>> Can i access CL_ daily data with indicators and strategies even if they are not on the market analyzer and while i am connected to pats?

I'm not sure I follow. Could you please clarify?

[skynetman]

If i have 2 instruments for every future i trade: one with only iqfeed mapping and one with pats mapping, for example CL_P and CL_I.
If i connect to iqfeed and update historical Daily data for CL_I, then i disconnect iqfeed and connect to pats and use CL_P, can i access CL_I data from my strategies?

[NinjaTrader_Dierk]

Sorry I still don't follow. If you connected either IQFeed or Patsystems you could stay with the same symbol no?

[skynetman]

I do not want to mix delayed data with real time data....
If i use the same symbol i am mixing current time data with 1 hour ago data....

[NinjaTrader_Dierk]

I see. Hmm .. you could try to setup a multi-series strategy. However, as you traded one series on Pats the other series would be purely historic and you code would need to reflect that.