Can't point to exchange simulator (port 7003) for strategy market data??

This message was edited 2 times. Last update was at 03/11/2009 04:56:36

I want to be able to simulate a pattern in real time and the simulator seems like it should be able to provide that functionality.

I fixed this setting in mdata_marketcetera.properties:
.URL=FIX.4.4://exchange.marketcetera.com:7003 (from 7004)

And, pointed to mdata:marketcetera in the VWAPStrategy.txt:
startModule;metc:mdata:marketcetera:single

I made sure I had some pending orders in the simulator for the ticker, JAVA.

Then, I applied these settings within VWAPStrategy.java:
public static final String[] SYMBOLS = {"JAVA"}; // Depends on MD - can be other symbols
public static final String MARKET_DATA_PROVIDER = "marketcetera"; // Can be activ, bogus, marketcetera

When I fire up Strategy Agent, the sink output is:
109 Mon Nov 02 23:44:28 EST 2009 WARN event didnt' find anything for JAVA and checked value was null within {}

I would have thought that at least when an order is filled, a quote would come back. Can I not get this kind of price and spread control in some test environment out of the box?

Thanks.

- sf

The steps you described below are correct except that we have a known issue with the simulator for latest_tick (trades) and marketcetera feed. The next version should address this issue.

In the meantime you can change the CEP query in the VWAPStrategy.java to look at bid or ask instead of trade and subscribe to TOP_OF_BOOK instead of LATEST_TICK. Once you make those changes, start strategyagent with the VWAPStrategy and issue new orders (from Photon) that change the bid or ask per your symbol in the exchange simulator top of book. You should then see the orders created in the running VWAPStrategy as those changes are propagated to your strategyagent.

Thanks,
Yoram

This message was edited 4 times. Last update was at 14/11/2009 19:49:18

That works and makes sense.

When working off of processed market data (requestProcessedMarketData(...)), which event hooks aside from onOther are triggered in the Strategy implementation?

Maybe you can just fill in the blanks:
- onAsk - ?
- onBid - ?
- onMarketstat - ?
- onCallback - Yes, it's intrinsic
- onExecutionReport - ?
- onCancelReject - ?
- onOther - Yes
- onStart - Yes, is intrinsic
- onStop - Yes, is intrinsic

I ask because although breakpoints in onBid and onAsk are triggered when using requestMarketData(...), they're not when requesting processed.

Thanks, Yoram.

- sf

I ask because although breakpoints in onBid and onAsk are triggered when using requestMarketData(...), they're not when requesting processed.

I'm reading more Esper documentation now (new to it) and think that when listening on processed data, the assumption is likely and logically made by you guys at metc that the author of some epl would query for the exact event they desire. Therefore, onBid and onAsk hooks would be irrelevant.

Let me know that I'm on the right track.

Thanks.

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