Posted Sunday October 27 2013
I have noticed interesting RE behavior (RE 49).
In symbol lists when creating two different folders and placing there products with identical symbol specifications (one to each folder) -> these two symbols are joined on data/feed level.
I assume the rationale is fact that RE is predominantly for IB TWS catering -> not multi-broker/data-feed environment.
Unfortunately, this practice (I hope described above is not a bug -> then I will ask to get my money back) leaves me without control for different data sources and execution.
I would propose to establish dictionary of symbols, say, based on BB conventions. User can modify this dictionary to their needs or use centrally distributed template (during installation).
That dictionary will hold recognized symbol name, example of decimalization, rounding rules, big point value and so on. Prices for symbols will be stored according to the decimalization rules of that dictionary.
On the top of symbols dictionary, there should be dictionary of "tradables". Those are symbols known to specific brokers. Again, template should be installed during installation. User can change it as he/she likes. Here for each broker user can pick symbol from symbols dictionary and specify what is the symbol notation with specific broker and accepted decimalization.
On the top of symbols dictionary, there should be dictionary of "updatables". Those are symbols known to specific data providers. Again, template should be installed during installation. User can change it as he/she likes. Here for each data provider user can pick symbol from symbols dictionary and specify what is the symbol notation with specific data provider and accepted decimalization. User should have opportunity to link existing flat files to data coming from different data sources. Since different sources have different degree of credibility -> some ranking should be applied to data providers. If high trusted sources are not available -> use less accurate ones. If more than one source provides data -> use the most accurate one.
Described above is normal practice for houses trading through more than one broker.
I have it implemented in my back office DB solution. I am happy to provide additional info to improve functionality of RE.