On Aug 6, 5:56 pm, ben.pow...@CLA.CO.UK wrote:
> If you can identify a source of data and post the format if necessary then
> importing that into sas should be straightforward. You can review the
> output in a variety of ways - ODS html would be the first that springs to
Thanks for replying to my post. The data, when it reaches the trading
platform, from the exchange (CME), will be of two types:
o timestamp - UTC
o transaction type: "trade"
o timestamp - UTC
o transaction type: "quote"
I realize I will have to mess around with the API of the trading
platform, whatever it is. I'd be happy if someone had done this
already, on a particular platform, and on the same data - the emini
S&P 500 from CME. In which case, I'm prepared to get the same
platform, and follow his/her lead. Sounds rather silly; could lead to
problems, I know, but I have very little experience with C#, C++,
Java, and the Windows platform. Plus I'd rather be working on my SAS
app and get it's trading logic right rather than spend time building
the infrastructure. Unless I have to of course.
At any rate, we all have to assume that I can put enough code on the
trading platform to get the data in the format I want; then my problem
is sending the data from the trading platform to my SAS app. I was
thinking of building a named pipe feature inside the trading platform,
and piping the data from the trading platform to the SAS app, one tick
at a time, and as they arrive from the exchange. The technicians I
consulted, didn't like the idea, didn't say why, but simply said, "We
can't support that.". If anyone understands the issues surrounding the
use of named pipes in a trading platform to send data to an external
app, I'd be happy to listen and be less informed.
Another solution came from someone who passed tick data from a trading
platform to an external app that he wrote in C++. He used WM_COPY to
send the data, as strings, to his app. I understand this is Windows
messaging. I am looking at the code, and would like to see if I can
get a simple SAS code to receive the message. It will mean getting
"simple SAS" to interface with an external DLL. The part I haven't
figured out is how "simple SAS" can be made to sit there and listen,
then react when it receives an incoming message. (In the case of the C+
+ code, it simply looped around the receiving logic, all the while
testing for the existence of an incoming message.) What are we talking
about here? AF? SCL? Is this not doable in batch? If there is a batch
solution, I'd prefer that. But then again, beggars can't be choosers.
Note that importing the data, as in importing csv data to excel, is
not the way to go, as indicated above.