Introduction to Real-Time Markets

Everything you have built so far ran on data that had already stopped moving. A daily bar is finished before you analyse it; a backtest reads a file whose last row was written yesterday. From here on, the data arrives while you are looking at it, and almost every new problem in the next ten parts comes from that single change.

The problems are not the ones people expect. Live data does not make analysis harder because the market moves faster. It makes analysis harder because the number on your screen is now the end of a chain of eight or nine separate systems, run by different organisations, any one of which can be slow, stopped, entitled differently from what you assumed, or simply closed for the day — and because a chain that has stopped looks exactly like a market that is quiet.

What this part is for

This is the map. Four pages, no configuration, nothing to install. By the end of them you should be able to draw the path a price takes from the venue where it was agreed to the pane where you see it, name what each link contributes, say what happens when each one fails, and state precisely what real-time work in AmiBroker requires — in edition, in software, in subscriptions and in money.

That last point is the reason this part exists as a separate part rather than a paragraph. Real-time market data is the only subject in this course where the honest answer to “what do I need?” is expensive, and where a great deal of published material quietly assumes you have already bought it. This course does not assume that. The third page defines three access levels and states, part by part, what each one can complete.

What changes for you

Three ideas carry through the rest of the track, and none of them is about speed.

• AmiBroker is not the market, and it is usually not your data source either. It is the last three links of the chain. Most questions that begin “why is my data…” are questions for the organisation upstream of the plugin, and knowing where the boundary falls is what lets you ask the right one.
• A stopped feed and a quiet market are indistinguishable on a chart. The only defence is to measure something other than the price: the age of the newest bar, the time of the last plugin update, the status light in the corner of the window. The first lesson builds a panel that does exactly that, and it runs with or without a feed.
• What real-time data costs is a licensing question, not a technical one. Exchanges license their own prices. Vendors redistribute them under those licences and pass the fees on. The word “professional” appears twice in this subject with two completely different meanings, and confusing them is expensive.

What you need first

Nothing beyond a working AmiBroker installation and the end-of-day database you built in Part 3. No live feed, no subscription, no Professional licence, and no configuration changes. Three of the four pages are conceptual; the fourth describes what a plugin-fed database does, and gives you a way to observe the same behaviour on the database you already have.

You should have finished Part 2 on market data and Part 3 on installing AmiBroker, and it helps to have met the Analysis window in Part 12. The two formulas in this part are short and are given complete; you are not asked to write AFL here.

How to read it

In order. The architecture lesson establishes the vocabulary — link, hop, plugin, backfill, entitlement — that the other three use without re-explaining. The lesson on data categories tells you what is actually being sold when someone sells you “data”. The edition and access-levels lesson is the one to read carefully and come back to: it is where the whole track’s promise about cost is written down, and it decides which route you take through Parts 18 to 26. The last lesson connects the feed to the database, which is where Part 19 picks up.

One habit worth starting immediately: whenever a real-time system behaves unexpectedly, name the link you think is at fault before you change anything. Most wasted afternoons in this subject are spent adjusting a formula to fix a subscription problem.

Part17 of 36Level5 — Real-Time AmiBroker UserPages4Estimated time1.8 hours

✱1 of 4 pages in this part need the Professional edition or a live data feed, marked below. Every one of them has a Level A path that uses Bar Replay and historical data instead, so the part can be completed in full without a subscription.

0 / 4 lessons in this part completed

• LessonThe Real-Time Architecture, End to End28 min
• LessonDelayed, Real-Time and Historical Data26 min
• LessonEdition Requirements and the Three Access Levels26 min
• LessonPlugins and the Database Relationship✱ Pro26 min