2006 Nov 04 - Sat

IQFeed Provider for SmartQuant

When I first started looking into developing an Automated Trading Strategy, I started by building some historical data acquisition routines in Perl. The routines were designed to communicate with DTN/IQFeed's servers. I then started gaining access to their real time data. At that point, I started to realize how daunting was the project I started on. More realizations were yet to come.

In the mean time, some mild clarification for those referring to the two sites just mentioned. IQFeed does 500 symbols, with opportunity for more in 500 chunks. DTN starts off with 1300 symbols, with room for more. Both are effectively the same company, so besides symbol counts, there really isn't all that much difference.

Anyway, as I thought may way through how I was going to store data, play it back, graph it, and analyse it, I was realizing that there was much to do. Being a software developer, I wanted something with a decent API, a lot of flexibility, and a lot of functionality. I figured there wasn't enough time in the world to do it mysefl. I looked at some of the Perl libraries, but they weren't quite 'there'. I looked at the mainstream trading platforms, but they relied on limited and proprietary languages. Then, by stumbling through a series of links relating Quant and Libraries, I ended up at SmartQuant. Their QuantDeveloper product fits the bill exactly. It has a straight forward user interfaces for manipulating and charting symbols. It has an analysis and simulation engine built around components. The components are developed using native C# code, and are supported by an array of extensive Quant/Trader/Data libraries. I have barely scratched the surface of utilizing the functionality.

More on this in a later entry.

I took my old perl code, rewrote it in C# and made it conform to the IProvider interfaces as supplied in the API. With another rewrite a month ago, it has progressed to something reasonably reliable.

If you are using SmartQuant's QuantDeveloper, and have a subscription to IQFeed, give the library a try, and let me know about any issues. You'll need the latest IQFeed Files as well as the C# Library. The library provides realtime access to IQFeed. I havn't implemented the IHistory interface yet.