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TMQR Framework 2 data updating #33

Open spickering-git opened 7 years ago

spickering-git commented 7 years ago

@alexveden I am reviewing the document TMQR Framework online launch guidelines https://tmqrexo.slack.com/files/steve/F6NLBBMAB/tmqr_framework_online_launch_guidelines.odt

so far i just put 3 script files in the tmqrscripts of framework 2 online_asset_index_update.py risk_free_rate_update.py import_options_data.py

now i am looking at Futures data updates script we have 3 sources of futures data 1) futures daily settlement prices from span in the futures_contract_settlements collection 2) contract_bars contains the minute bars that are updated at the end of each day

in the tmldb_test 3)futurebarcol which has the up to the minute bars for the futures

can you please help me with how this should be updated I assume the following notebook is for pulling the minute bars out of the contract_bars collection and we could run this script at 13:15 everyday after the contract_bars have been updated? Is this correct Not sure about futures_contract_settlements and futurebarcol

alexveden commented 7 years ago

can you please help me with how this should be updated

I've supposed that futurebarcol fromtmldb_test should be used for online datafeed, you have to poll the current day data bars each minute for every instrument and compose Pandas.DataFrame then serialize it to the new DB quotes_intraday collection. Each record in quotes_intraday represents one day, but not a minute bar.

You have to load just current date to keep futures data up to date. But I have concerns about data equality between span and CQG sources, probably it will be good idea to do some sanity checks every day.

For sure you can replace online updated data by span data at 13:15, but there is non zero probability that OHLCV values can be slightly different and you could get ghost trades (trades which have been triggered yesterday, can disappear tomorrow due to minor differences in the data series).

I didn't implement futures / options settlements data. Because this data is not used in real trading and related only for reporting this should be handled separately by reporting module. I know I'm using options settlements, but this data is 'pretending' to be like regular market data.