Excel RTD (Real Time Data) client other than Excel? - c++

Question

I have been looking all over, and couldn't find any example for an RTD CLIENT (many RTD server samples, though).
My goal is to 'pull' data from an RTD server into my application for algo-trading purposes.
If possible, without using C# / .Net, as I am looking for a lightweight, deploy-able solution.
Can you give me any tips?

Answer 1

Here is a C# client I built as a test harness for Excel RTD servers (both in-process DLL and out-of-process EXE):
using System;
using System.Reflection;
using System.Threading;
namespace MyRTD
{
class Program
{
// ProgIDs for COM classes.
private const String RTDProgID = "MyRTD.RTD";
private const String RTDUpdateEventProgID = "MyRTD.UpdateEvent";
private const String RTDEXEProgID = "MyRTDEXE.RTD";
private const String RTDEXEUpdateEventProgID = "MyRTDEXE.UpdateEvent";
// Dummy topic.
private const int topicID = 12345;
private const String topic = "topic";
static void Main(string[] args)
{
Console.WriteLine("Test in-process (DLL) RTD server.");
TestMyRTD(RTDProgID,RTDUpdateEventProgID);
Console.WriteLine("Test out-of-process (EXE) RTD server.");
TestMyRTD(RTDEXEProgID,RTDEXEUpdateEventProgID);
Console.WriteLine("Press enter to exit ...");
Console.ReadLine();
}
static void TestMyRTD(String rtdID, String eventID)
{
try
{
// Create the RTD server.
Type rtd;
Object rtdServer = null;
rtd = Type.GetTypeFromProgID(rtdID);
rtdServer = Activator.CreateInstance(rtd);
Console.WriteLine("rtdServer = {0}", rtdServer.ToString());
// Create a callback event.
Type update;
Object updateEvent = null;
update = Type.GetTypeFromProgID(eventID);
updateEvent = Activator.CreateInstance(update);
Console.WriteLine("updateEvent = {0}", updateEvent.ToString());
// Start the RTD server.
Object[] param = new Object[1];
param[0] = updateEvent;
MethodInfo method = rtd.GetMethod("ServerStart");
Object ret; // Return value.
ret = method.Invoke(rtdServer, param);
Console.WriteLine("ret for 'ServerStart()' = {0}", ret.ToString());
// Request data from the RTD server.
Object[] topics = new Object[1];
topics[0] = topic;
Boolean newData = true; // Request new data, not cached data.
param = new Object[3];
param[0] = topicID;
param[1] = topics;
param[2] = newData;
method = rtd.GetMethod("ConnectData");
ret = method.Invoke(rtdServer, param);
Console.WriteLine("ret for 'ConnectData()' = {0}", ret.ToString());
// Loop and wait for RTD to notify (via callback) that
// data is available.
int count = 0;
do
{
count++;
// Check that the RTD server is still alive.
Object status;
param = null;
method = rtd.GetMethod("Heartbeat");
status = method.Invoke(rtdServer, param);
Console.WriteLine("status for 'Heartbeat()' = {0}", status.ToString());
// Get data from the RTD server.
int topicCount = 0;
param = new Object[1];
param[0] = topicCount;
method = rtd.GetMethod("RefreshData");
Object[,] retval = new Object[2, 1];
retval = (Object[,])method.Invoke(rtdServer, param);
Console.WriteLine("retval for 'RefreshData()' = {0}", retval[1,0].ToString());
// Wait for 2 seconds before getting
// more data from the RTD server.
Thread.Sleep(2000);
} while (count < 5); // Loop 5 times.
// Disconnect from data topic.
param = new Object[1];
param[0] = topicID;
method = rtd.GetMethod("DisconnectData");
method.Invoke(rtdServer, param);
// Shutdown the RTD server.
param = null;
method = rtd.GetMethod("ServerTerminate");
method.Invoke(rtdServer, param);
}
catch (Exception e)
{
Console.WriteLine("Error: {0} ", e.Message);
}
}
}
}

Answer 2

You can indeed create RTD "clients" outside Excel by emulating the calls that Excel would make to the RTD server. The RTD server is, after all, just a COM component that implements IRtdServer (and IRTDUpdateEvent for the callback).
You must follow the call sequence that Excel itself uses when interacting with the RTD. But once you do that, the RTD should quite happily pump data into your "client". Indeed, there might be an advantage to doing this because whereas Excel will only pull data from the RTD about every two seconds, your client can pull data as fast as it wants. This is certainly an advantage for algorithmic trading.
Whether such a client can work side-by-side with Excel is something I have not tested.

Answer 3

You would use RTD because RTD is normally free and the API access adds $100/month/cient or more to the datafeed cost for the dataservice we are using