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OpenTick Plugin

Posted By DoQ 9 Years Ago
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DoQ
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Posted Tuesday January 22 2008
I have been trying to write a stub to clean extended hours data from OpenTick historical data to avoid having to wait again for another release. After many hours of frustration, I came to the conclusion that this is not feasible either. Trying to clean 100 symbols with 1 year of 1 minute data results in a crash after many hours. Never mind the effort in reimporting the data after that. I can only do handful of symbols at a time and is way too time consuming to do everyday. So my only option is to have RTH (with user adjustable start and end times defining RTH) coded into the plugin by RESupport for an interim build or do it myself. I'll assume I'll have to do it myself, but can I at least get a copy of the RE OpenTick Plugin source and make my life easier?

Angry

thx


DoQ_Indicators
"better is the enemy of good enough"
Posted Tuesday January 22 2008
Actually, you don't need the source code.  Check out the attached solution.  It is a wrapper around the OpenTick plugin that filters out bars that aren't in market hours when you request historical data.

If you don't have Visual Studio 2008 then the solution probably won't open up.  But all you need to do is create a new solution, add references to Common.dll and OpenTickPlugin.dll, and add the code from the .cs file.

Basically this plugin works by creating an instance of the OpenTick plugin and then forwarding most method calls to the inner plugin.  In the RetrieveData method, however, it creates a new list of bars with only the bars from market hours.  There is commented out code in the TickListener property which shows how you could filter out live ticks if you wanted, too.  Some of the other calls such as id() and the service name and description either don't call the inner plugin or modify the return value first.

Let us know if you have any questions.  I think you will find this technique useful.

Thanks,
Daniel


Attachments
ServiceWrapper.zip (522 views, 6.00 KB)
DoQ
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Posted Tuesday January 22 2008
DANG!w00t

I'm not quite sure how all this really works but I'll guess I need to pick up a book on .NET 101. Wow, you make it look so easy. I quickly changed the end time from 16h00 to 15h59 as I understand RTH would be 9h30 to 15h59 bar in RE for your average stock on NASDAQ.

This opens up many complicated possibilites for average joe and not even 10 minutes to implement. I am still in awe. Wow!

Many Thanks.

 

For those of you lurking, this wrapper allows you to coveniently intercept historical retrieved data, customize it, and then have it stored . Even more, you should be able to intercept Live data, customize it, then pass it on. Many possibilites!


DoQ_Indicators
"better is the enemy of good enough"


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