[ts-gen] Re: success! (sort of)

[R P Herrold]

On Mon, 13 Nov 2006, our gmail Debian user wrote

> Ok, it appears as though we're using the shorter list from 
> LocalSet (as opposed to the huge list in Definition, which 
> in my previous email I erroneously referred to as 
> Descriptions)

yes ... Actually one can do it smaller still and ignore the 
LocalSet, by using a command line only subscription, so long 
as a ContractID is known.  This was my pair of test cases 
posted earlier.

This might be a good time to mention matters as to the 
Underlying symbols we have pre-loaded into the database we 
release.  We have read, and will respect the IB restrictions 
against reproduction of their data, and the like restrictions 
from the upstream Exchanges as to releasing more than 
incidental market data information.

We populated our symbols from several sources -- manual review 
of the various exchange venue websites, personal lists, news 
reports of high or unusual volume underlyings, and the like. 
We are interested in gathering data for our research goals, 
but understand that people using the trading-shim may have 
other interests.

Putting to side Underlyings with Expriations, strike prices or 
directionlity [Futures, and Options], we welcome lists of the 
form of simple collection of 'tuples':
 	"Underlying . Exchange . Security Type"
where the values for the latter two columns are the 'name' 
of the Echange, and the 'type' of the Security, from these 
tables:

 	select * from Exchange;
 	select * from SecType;

at a mysql command line.  The Underlying is the local symbol 
abbreviation.  If provided in a flat ascii text file of this 
form, we can massage it into the database fairly directly.

Underlying.(Exchange.name).(SecType.type)|Description<cr>


> I'm guessing the CBOT futures you're talking about are:
>
> Nov  9 03:23:58 vigilant : shim|real|0.26| 7391|12237|
> 1914649|3|1|5|       163|YM|FUT|200603|0.00||1|ECBOT||USD||

> Nov  9 03:23:58 vigilant : shim|real|0.26| 7391|12237|
> 1914661|3|1|5|       164|YM|FUT|200606|0.00||1|ECBOT||USD||

looks like Dow YM (the $5 mini) data, in the middle of the 
night when no trading is happening.  ;)

> I'm not 100% sure what those are, but Google implies that 
> they're the Dow's e-mini (ES, as you probably already know, 
> is the S&P 500's e-mini and is the most heavily traded 
> future in the world.)

Yes - we are aware of that symbol and its prominence, but once 
we had YM working, we did not move on and populate 
ES.ECBOT.FUT, as we were comfortable we had it working for 
futures.  I will construct a tuple set tomorrow for 
importation into the database as to permanent values.

>  I'd like to see what TWS says but for some reason it's not 
> currently working on any of my computers, but given that 
> nowhere in the log file is ES, CME, or GLOBEX mentioned I'm 
> thinking neither it nor the any of other major CME index 
> futures are included. Please feel free to slap me upside the 
> head if I'm missing something obvious here.

Nope, you are right.  At 03:23 GMT (assuming you are keeping 
your local host's time with that base), the SPI Future in 
Sydney is trading (SPI.SNFE.FUT);  The 'soon to expire' month 
is the Nov 06 contract, and IB has rolled to the Dec 06.  It 
is a bit trick getting the contract specification for Futures, 
and more so still for options, out of that database, and I 
will work an example and post it tomorrow, with my noted in 
front of me.

> thanks for all the help,

It is our pleasure.  Thank you for the report

-- Russ Herrold