QuantHouse Market Data Connector

QuantHouse Data Connector based on FeedOS API.

Features

quanthouseConnector Key

Instrument Types

EquitiesFuturesOptionsFXBonds

Technology

Custom API

Feed Mode

Real-Time

Order Book Update Mode

SnapshotIncremental Updates

Order Book Type

Aggregated

Message Types

✓

Level 1

✓

Level 2

✗

Level 3

✓

Trades

✗

Funding Rates

Custom Message Types

✓

QuantHouse Depth Info

✓

QuantHouse Imbalance Data

✓

QuantHouse Instrument Info

✓

QuantHouse NYSE OI Data

✓

QuantHouse Order

✓

QuantHouse Security Trading Status

✓

QuantHouse Trade Event

✓

QuantHouse User Command

Configuration

Data Connector Parameters

Parameter	Default Value	Description
Host	N/A	Server host.
Port	N/A	Server port.
User Name	N/A	User name for the session.
Password	N/A	Password for the session.
Custom Filter File Path	N/A	Path to the custom filter implementation file, relative to the 'config/plugins/' subfolder of your QuantServer home folder. See Custom User Filters.
Custom Transformation File Path	N/A	Path to the custom transformation implementation file, relative to the 'config/plugins/' subfolder of your QuantServer home folder. See Custom User Filters.
Filter Magic Prices For L1 Data	false	Select this option if you want to filter out "magic" prices from L1 data (Top-of-book and Trades). "Magic" prices are reserved FeedOS price constants (At Best, At Open, Peg, At Close, Unquoted) that the venue uses to encode a special order type instead of an actual price — e.g. a pegged order or a market order priced "at open"/"at close". Enabling this option drops updates carrying such a placeholder price rather than passing it through as if it were a real quote or trade price.
Subscribe Implied Prices	false	Select this option if you want to subscribe to implied prices (layer #1).
Snapshot Interval	10S	This property sets an interval in seconds between periodical Level2 snapshots which sent to Aggregator. Snapshots will be generated as soon as this threshold is exceeded AND the next increment message arrives. Conversely, snapshots are NOT generated every period if no data is coming in. Default value is 10 seconds.

Message Types

In addition to the standard universal market-data message types, the connector defines a set of custom message types (package deltix.qsrv.hf.plugins.data.quanthouse.types) that carry vendor-specific data.

QuantHouse Package Header

Top-level output message that wraps a batch of book/trade entries published by the connector. All L1, L2, trade and book-reset updates for an instrument are delivered inside this envelope.

Field	Type	Description
Entries	array of `L1Entry`, `L2EntryNew`, `L2EntryUpdate`, `TradeEntry`, `BookResetEntry`	The batch of universal entries carried by this update.

QuantHouse Depth Info

Book-depth metadata accompanying a Level2 update.

Field	Type	Description
Max Visible Depth	int	Number of visible depth levels included in the update.
Is Implied	boolean	Whether the update reflects implied (synthetic) prices rather than firm orders.

QuantHouse Imbalance Data

Auction/imbalance data published around opening, closing and intraday auctions.

Field	Type	Description
Last Auction Imbalance Side	char	Side (buy/sell) of the last auction imbalance.
Last Auction Price	Decimal64	Indicative or final price of the last auction.
Last Auction Volume	Decimal64	Volume matched at the last auction.
Last Auction Imbalance Volume	Decimal64	Unmatched (imbalance) volume at the last auction.

QuantHouse NYSE OI Data

NYSE-specific extension of QuantHouse Imbalance Data carrying additional opening/closing "Order Imbalance" (OI) fields.

Field	Type	Description
(inherits all fields of QuantHouse Imbalance Data* above)*
Auction Interest Clearing Price	Decimal64	Price at which auction interest would clear.
Continuous Book Clearing Price	Decimal64	Price at which the continuous order book would clear.
Significant Imbalance	char	Flag indicating a significant order imbalance.
Unpaired Side	char	Side (buy/sell) of the unpaired (imbalance) quantity.
Unpaire Qty	Decimal64	Unpaired (imbalance) quantity.

QuantHouse Instrument Info

Per-instrument reference/state snapshot, populated from FeedOS instrument-characteristics tags. Fields are grouped below by purpose; most price/quantity fields are Decimal64 and most date/timestamp fields are TimeBase timestamps.

Settlement, open interest and reference data

Field	Type	Description
Daily Settlement Price	Decimal64	Settlement price for the current business day.
Settlement Price Type	char	Vendor code describing how the settlement price was derived.
Settlement Price Date	timestamp	Date the settlement price applies to.
Open Interest	Decimal64	Open interest for the current business day.
Open Interest Date	timestamp	Date the open interest applies to.
Current Business Day	timestamp	Business day this snapshot refers to.
Trading Status	int	Vendor trading-status code for the instrument.
Internal Daily Closing Price Type	char	Vendor code describing how the daily closing price was derived.
MARKET ICE EFP Volume	Decimal64	ICE Exchange-for-Physical volume.
MARKET ICE EFS Volume	Decimal64	ICE Exchange-for-Swap volume.
MARKET ICE Block Volume	Decimal64	ICE block-trade volume.

Last trade / price activity

Field	Type	Description
Last Price	Decimal64	Last traded or reference price.
Last Trade Price / Qty / Timestamp	Decimal64 / Decimal64 / timestamp	Price, quantity and time of the last on-book trade.
Last Eligible Trade Price / Qty / Timestamp	Decimal64 / Decimal64 / timestamp	Price, quantity and time of the last trade eligible for reference-price calculations.
Last Off Book Trade Price / Qty / Timestamp	Decimal64 / Decimal64 / timestamp	Price, quantity and time of the last off-book (OTC) trade.
Last Auction Price / Volume	Decimal64 / Decimal64	Price and volume of the last auction for this instrument.
Mid Price	Decimal64	Current mid price (average of best bid/ask).
Session VWAP Price	Decimal64	Volume-weighted average price for the session.
Price Activity Market Timestamp	timestamp	Time of the last price-affecting market activity.

Daily statistics

Field	Type	Description
Daily Number Of Trades	int	Number of on-book trades so far today.
Daily Number Of Block Trades	int	Number of block trades so far today.
Daily Total Volume / Asset Traded	Decimal64 / Decimal64	Total on-book traded volume / notional value today.
Daily Total Off Book Volume / Asset Traded	Decimal64 / Decimal64	Total off-book traded volume / notional value today.
Daily Total Block Volume Traded	Decimal64	Total block-traded volume today.

Daily OHLC and closing quotes

Field	Type	Description
Daily Opening Price / Timestamp	Decimal64 / timestamp	Opening price and time.
Daily High Price / Timestamp	Decimal64 / timestamp	Highest traded price and time.
Daily Low Price / Timestamp	Decimal64 / timestamp	Lowest traded price and time.
Daily High/Low Bid Price / Qty	Decimal64	Highest/lowest bid price and quantity seen today.
Daily High/Low Ask Price / Qty	Decimal64	Highest/lowest ask price and quantity seen today.
Daily High/Low Mid Price	Decimal64	Highest/lowest mid price seen today.
Daily Closing Bid Price / Qty / Timestamp	Decimal64 / Decimal64 / timestamp	Closing bid quote for the day.
Daily Closing Ask Price / Qty / Timestamp	Decimal64 / Decimal64 / timestamp	Closing ask quote for the day.

Internal timestamps

Field	Type	Description
Internal Daily Business Day Timestamp	timestamp	Internal business-day marker.
Internal Price Activity Timestamp	timestamp	Internal marker for the last price activity.
Internal Last Auction Timestamp	timestamp	Internal marker for the last auction.
Internal Daily Open / Close / High / Low Timestamp	timestamp	Internal markers for the day's open, close, high and low events.

Previous business day

Field	Type	Description
Previous Business Day	timestamp	The prior business day.
Previous Daily Closing / High / Low / Settlement Price	Decimal64	Prior day's closing, high, low and settlement prices.
Previous Internal Daily Closing Price Type	char	Vendor code describing how the prior day's closing price was derived.
Previous Settlement Price Type / Date	char / timestamp	Type and date of the prior day's settlement price.
Previous Open Interest / Date	Decimal64 / timestamp	Prior day's open interest and its date.
Previous Valid Bid / Ask Timestamp	timestamp	Time of the last valid bid/ask quote on the prior day.
Previous Daily Total Volume / Asset Traded	Decimal64	Prior day's total on-book traded volume / notional value.
Previous Daily Total Off Book Volume / Asset Traded	Decimal64	Prior day's total off-book traded volume / notional value.

Risk

Field	Type	Description
Var Close	Decimal64	Variation from the previous close (absolute).
Var Close Pct	Decimal64	Variation from the previous close (percentage).

QuantHouse Security Trading Status

Standard TimeBase trading-status message extended with a raw, vendor-specific status code.

Field	Type	Description
(inherits all fields of the standard trading-status message)
Status Code	int	Raw QuantHouse/FeedOS trading-status code, in addition to the normalized standard status.

QuantHouse Trade Event

Raw diagnostic dump of everything received on the L1 subscription channel for an instrument — not only trades. It carries the full content of the underlying QuotationTradeEventExt/QuotationTradeCancelCorrection FeedOS event: content mask, context/value tags, best bid/ask, last trade price/quantity, off-book trades and cancels/corrections alike. This is a troubleshooting/logging aid, not a primary market-data record — the corresponding normalized updates are delivered separately as L1Entry/TradeEntry inside QuantHouse Package Header.

Field	Type	Description
Trade Event Dump	CharSequence	Raw text dump of the original FeedOS L1 event (content mask, context/value tags, best bid/ask, last trade or off-book trade price and quantity, or cancel/correction details), as received before any filtering or transformation.

QuantHouse User Command

Inbound control message used to dynamically subscribe/unsubscribe to L1/L2 data, or request a snapshot, for a symbol at runtime. See l2ByUserOnly and the _QHUserCommands stream.

Field	Type	Description
Symbol	string	Instrument symbol the command applies to, or `#ALL#` to apply it to all currently subscribed symbols.
User Command	`QHUserCommand` enum: `SubscribeL1`, `SubscribeL2`, `UnsubscribeL1`, `UnsubscribeL2`, `UnsubscribeL1L2`, `SendSnapshotL1`, `SendSnapshotL2`	Action to perform for the given symbol.

Advanced Options

These parameters are not exposed in the connector UI. They are set in the admin.properties file, or passed as Java system properties (-D<name>=<value>) to the QuantServer process. Do not change these values unless you clearly understand what they do — incorrect values can cause data loss or destabilize the connector.

Property	Type	Default	Description
`deltix.qsrv.hf.plugins.data.quanthouse.l2ByUserOnly`	boolean	false	When `true`, Level2/MBO subscriptions are not started automatically for instruments required by the output model. Instead, a Level2 subscription is only started on demand, in response to a QuantHouse User Command carrying the `SubscribeL2` command. These commands are monitored in the stream named `_QHUserCommands`.
`qh.queueSize`	int	300000	Capacity, in elements, of the internal bounded queue that buffers incoming FeedOS events between the FeedOS session thread and the connector's processing thread.
`qh.queueSizeThreshold`	int	0	Percentage (0-100) of the `qh.queueSize` capacity that, once exceeded, triggers automatic clearing of stale queued items to relieve backpressure.
`qh.periodicalSnapshotInterval`	int (seconds)	0 (disabled)	Interval, in seconds, at which the connector independently forces periodic book snapshots per instrument, in addition to the snapshot behavior controlled by the Snapshot Interval parameter above.

Symbology

QuantHouse instrument identifiers can be specified in one of three formats:

Symbol Notation	Examples
`MIC@Symbol` — ISO market identifier code followed by the QuantHouse symbol	XEUR@FDAX1220 XEUR@FGBL0621 XNYM@NGJ3
`!ROOT_SYMBOL` — group subscription, expands to all instruments currently available under the root symbol	!GC !EUR
`INTERNAL_NUMERIC_CODE` — raw internal FeedOS instrument code	1280042

For the full list of tradable instruments, refer to the FeedOS API documentation.

Logging

To enable detailed logging, use these lines in the <QSHOME>/config/gflog.xml file:

<logger name="deltix.qsrv.hf.plugins.data.quanthouse" level="TRACE">
  <appender-ref ref="safeAppender"/>
</logger>

Custom User Filters

The Custom Filter File Path and Custom Transformation File Path parameters let you plug in your own Java logic to accept/reject or modify L1 (top-of-book and trade) updates before they are published. The file is compiled at runtime — no rebuild or restart of QuantServer packaging is required, only a restart of the connector — and must be located relative to the config/plugins/ subfolder of your QuantServer home folder (<QSHome>/config/plugins/<path from field>).

Each file must contain a single class implementing one of the two interfaces below (package deltix.qsrv.hf.plugins.data.quanthouse.custom). The class does not need to be named after the file, and does not need a package declaration, but it must have a public no-argument constructor.

L1Filter

Installing a filter causes the feed to ignore every L1 update for which accept returns false.

public interface L1Filter {
    // Called once by the framework before first use.
    void setLogger(Logger logger);

    // Return false to drop this L1 top-of-book/trade update.
    boolean accept(int instrument_code, QuotationTradeEventExt trade_event_ext);

    // Return false to drop this trade cancel/correction. Defaults to true.
    default boolean accept(int instrument_code, QuotationTradeCancelCorrection correction) {
        return true;
    }
}

Sample implementation (L1FilterSample.java, drops updates where the best ask quantity is greater than zero):

public class L1FilterSample implements L1Filter {

    private Logger logger;

    @Override
    public void setLogger(Logger logger) {
        this.logger = logger;
    }

    @Override
    public boolean accept(int instrument_code, QuotationTradeEventExt trade_event_ext) {
        if (trade_event_ext.best_ask_qty > 0) {
            logger.log(Level.INFO, "Filtered event with ask > 0");
            return false;
        }
        return true;
    }
}

L1Transform

A transformation can modify a trade or best bid/ask entry in place, and can also veto sending it by returning false. It is invoked separately for the trade entry, for the best bid/ask pair, and for trade cancel/corrections.

public interface L1Transform {
    // Called once by the framework before first use.
    void setLogger(Logger logger);

    // Modify the trade entry in place; return false to drop it.
    boolean transform(TradeEntry trade, QuotationTradeEventExt trade_event_ext);

    // Modify the best bid/ask entries in place; return false to drop the update.
    boolean transform(L1Entry bestBid, L1Entry bestAsk, QuotationTradeEventExt trade_event_ext);

    // Modify a trade cancel/correction; return false to drop it. Defaults to true.
    default boolean transform(TradeEntry trade, QuotationTradeCancelCorrection correction) {
        return true;
    }
}

Sample implementation (L1TransformSample.java, caps large trade sizes, drops zero-size trades, and nulls out zero-size bid/ask entries):

public class L1TransformSample implements L1Transform {

    private Logger logger;

    @Override
    public void setLogger(Logger logger) {
        this.logger = logger;
    }

    @Override
    public boolean transform(TradeEntry trade, QuotationTradeEventExt trade_event_ext) {
        if (Decimal64Utils.isGreater(trade.getSize(), Decimal64Utils.fromDouble(12.34))) {
            logger.log(Level.INFO, "Found big trade: " + Decimal64Utils.toString(trade.getSize()));
            trade.setSize(Decimal64Utils.fromDouble(5));
        } else if (Decimal64Utils.isZero(trade.getSize())) {
            logger.log(Level.INFO, "Skip trade with zero size");
            return false;
        }
        return true;
    }

    @Override
    public boolean transform(L1Entry bestBid, L1Entry bestAsk, QuotationTradeEventExt trade_event_ext) {
        if (bestBid != null && Decimal64Utils.isZero(bestBid.getSize())) {
            bestBid.setSize(Decimal64Utils.NULL);
            bestBid.setPrice(Decimal64Utils.NULL);
        }
        if (bestAsk != null && Decimal64Utils.isZero(bestAsk.getSize())) {
            bestAsk.setSize(Decimal64Utils.NULL);
            bestAsk.setPrice(Decimal64Utils.NULL);
        }
        return true;
    }

    @Override
    public boolean transform(TradeEntry trade, QuotationTradeCancelCorrection correction) {
        return true;
    }
}

If a filter is configured, it is evaluated before a transformation on the same event; if the filter rejects the event, the transformation is not invoked.

Utilities

The connector ships with a set of standalone command-line utilities, located in the tools folder of the QuantHouse connector distribution.

DataLoader

Loads historical QuantHouse binary feed-recording files from disk and publishes them into a TimeBase stream. Launched via tools/DataLoader.sh (Linux) or tools/DataLoader.cmd (Windows).

Argument	Description
`-tb`	TimeBase URL, e.g. `dxtick://localhost:8011` or `dxtick://user:password@localhost:8011`.
`-in`	Directory containing the QuantHouse binary files to load, e.g. `C:\QH\Data`.
`-exchange`	Name of the exchange — the subfolder of the data directory to read from, e.g. `ice_eu`.
`-type`	Comma-separated list of data types to load: `L1`, `MBL`, `MBO`.
`-period`	Time period to load, e.g. `2024-04-18,2024-04-20`.
`-stream`	Name of the target TimeBase stream. Created automatically if it doesn't exist.
`-controlField`	Field in the securities stream used for instrument mapping (internal QuantHouse ID). Only one field name per instrument is supported.
`-qql`	QQL query used to select securities. Defaults to `SELECT * FROM securities`.
`-processImplied`	Store implied prices. Only applies when loading `MBL` data.
`-requireAllTypes`	When more than one `-type` is specified, fail if any day in the requested period is missing one of the specified types. Defaults to `false`.
`-limit`	Limit on the total number of messages to load.
`-verbose`	Print the original messages to the output.
`-l1Filter`	Path to a custom L1 filter class — see Custom User Filters.
`-l1Transform`	Path to a custom L1 transformation class — see Custom User Filters.
`-oauthProvider`, `-oauthClientId`, `-oauthClientSecret`, `-oauthScope`	OAuth credentials for the target TimeBase server. All four must be specified together to enable OAuth authorization.

Example:

DataLoader -in c:\QH\FEED\ -exchange ice_eu -type L1 -period 2024-04-18,2024-04-20 \
  -tb dxtick://localhost:8011 -stream QHData -l1Filter C:\QH\L1FilterSample.java \
  -qql "SELECT * FROM securities WHERE Symbol in ('XNYM@NGJ3', 'XEUR@FGBL0321')"

Symbols (Metadata)

Connects live to a FeedOS server and downloads referential/instrument metadata directly into a SQL Server database via JDBC. Launched via tools/Symbols.cmd.

Symbols SERVER PORT LOGIN PASSWORD JDBC_CONNECTION [TYPE1,TYPE2/ALL] [ROOT1,ROOT2/ALL] [EXCHANGE1,EXCHANGE2/ALL] [TAG_ID1:TAG_TYPE:DB_FIELD,TAG_ID2:TAG_TYPE:DB_FIELD/ALL]

Argument	Description
`SERVER`, `PORT`	Host and port of the FeedOS server.
`LOGIN`, `PASSWORD`	FeedOS credentials.
`JDBC_CONNECTION`	JDBC connection string of the target SQL Server database.
`[TYPE1,TYPE2/ALL]`	Instrument types to download, or `ALL`.
`[ROOT1,ROOT2/ALL]`	Root symbols to download, or `ALL`.
`[EXCHANGE1,EXCHANGE2/ALL]`	Exchanges (MICs) to download, or `ALL`.
`[TAG_ID:TAG_TYPE:DB_FIELD, ...]`	Optional mapping of FeedOS tag IDs to database columns, or `ALL`. `DB_FIELD` may not be a primary or foreign key. Available `TAG_TYPE` values: `bool`, `char`, `string`, `float64`, `int8`, `int16`, `int32`, `int64`, `uint8`, `uint16`, `uint32`, `uint64`, `timestamp`.

Example:

Symbols localhost 8000 joe secret jdbc:sqlserver://etc FUT,OPT WBS,ATW,O3FM XCEC 1703:float64:SecID

SymbolsCSV (MetadataCSV)

Loads referential data from local QuantHouse binary referential files (offline) into a SQL Server database. Launched via tools/SymbolsCSV.cmd.

Argument	Description
`-in`	Directory containing the QuantHouse binary referential files, e.g. `C:\QH\Data`.
`-exchange`	Name of the exchange — the subfolder of the data directory to read from, e.g. `ice_eu`.
`-period`	Time period to load, e.g. `2024-04-18,2024-04-20`.
`-odbc`	ODBC/JDBC connection string of the target SQL Server database, e.g. `jdbc:sqlserver://localhost\SQLEXPRESS;databaseName=QH;integratedSecurity=false;user=USER;password=PWD`.

Example:

SymbolsCSV -in c:\QH\FEED\ -exchange ice_eu -period 2024-04-18,2024-04-20 \
  -odbc "jdbc:sqlserver://localhost\SQLEXPRESS;databaseName=QH;integratedSecurity=false;user=USER;password=PWD"

Features​

Configuration​

Data Connector Parameters​

Message Types​

QuantHouse Package Header​

QuantHouse Depth Info​

QuantHouse Imbalance Data​

QuantHouse NYSE OI Data​

QuantHouse Instrument Info​

QuantHouse Security Trading Status​

QuantHouse Trade Event​

QuantHouse User Command​

Advanced Options​

Symbology​

Logging​

Custom User Filters​

L1Filter​

L1Transform​

Utilities​

DataLoader​

Symbols (Metadata)​

SymbolsCSV (MetadataCSV)​

Features

Configuration

Data Connector Parameters

Message Types

QuantHouse Package Header

QuantHouse Depth Info

QuantHouse Imbalance Data

QuantHouse NYSE OI Data

QuantHouse Instrument Info

QuantHouse Security Trading Status

QuantHouse Trade Event

QuantHouse User Command

Advanced Options

Symbology

Logging

Custom User Filters

L1Filter

L1Transform

Utilities

DataLoader

Symbols (Metadata)

SymbolsCSV (MetadataCSV)