Herman,
I also use DTN IQFeed, however, I am only watching @ES# on a constant basis. I
gave up on stocks, because of the poor realtime data quality. I did not know
how to automate the process with all that random noise. I went to the highest
volume futures because the feed was clean and fast. When I test a strategy, it
trades the same way. However, I still manually input my trades and watch the
order book and charts. I have seen nothing fishy.
A 5 minute delay is not tradable. The best you can do is detect the anomalies
and abort the strategy during bad delays.
BR,
Dennis
On Jun 25, 2010, at 9:41 PM, Herman wrote:
>
>
> Thank you Dennis!
>
> Yes,i realize that there is an order queue you can't jump.
>
> In addition to your observation there is the fact that your orders may
> actually may change the market, draw the price one way or the other. That
> effect is impossible to Backtest. The only real test is to trade real money.
>
> I can live with all that, but FIVE MINUTES delay from market to my computer?
> I expected 15 seconds under heavy load... Five minutes seems really strange
> and changes everything.
>
> Can you think about an explanation for that?
>
> herman
>
>
>
>
>
> Herman,
>
> I assume that you are aware that you will not get a limit fill just because
> it touches your price. You have to stand in line behind all the other limit
> orders and will also be superseded by any market orders before you turn comes.
>
> It is only if the backtest shows exceeding the limit order by a tick that you
> know for sure that you would have been filled.
>
> The other issue, is that there is about a 2 second delay from the time your
> program sees the data until an order could be placed in reality. A really
> good high speed trading backtest needs to be done at the tick level, and the
> backtest has to assume a 2 second delay in placing the order at the exchange.
> Add any AB/AFL processing delay to that number also.
>
> Timestamps on data from the exchanges are not when the trade occurred, but
> when it is transmitted from the buffer to the internet. When things get
> really busy, they can delay sending out the data, but you can't know what the
> real delays were.
>
> Most high speed trading computer systems sit right on the exchange floor to
> eliminate these communication delays. A fast trading algorithm located
> across the internet must take into consideration the timestamps of the data
> relative to current time. Add to that the uncertainty that the timestamps do
> not even reflect the execution time, and you can see how this limits the
> practical trading speed of the system.
>
> In my trading, I use limit orders, but realize that I have to place them in
> advance to get a fill. I look at the order book when I place the order. If
> there are a lot of orders ahead of me at a certain price, I may change my
> price by a tick to increase my odds of a fill. When I see the volume of
> contracts filled start to approach the number when I placed my order, I know
> I am about to get filled.
>
> Not an easy thing to backtest.
>
> BR,
> Dennis
>
> On Jun 25, 2010, at 4:22 PM, Herman wrote:
>
>
>
> If anyone is trading real-time it might help you to know your data latency;
> it might explain why you don't get your LMT fills :-)
>
> I invite you to post possible explanations for the delays I experience, or
> the code I wrote. Remember to adjust the code if you live in a different
> timezone (subtract hours).
>
> I am using IQFeed RT data. My time-zone is EST (UTC 5:00), my computer clock
> is synchronized, I run AB at a 32% load factor, I ping DTN at about 134
> milliseconds.
> My Internet tested slow today, at about 1Mb/sec, but can that explain a 5
> minute delay at peak hours? I tested the system with 100 and 1800 tickers, no
> difference.
>
> The data delay ranges from < 1 sec to several minutes. The worst time
> appears to be around 3:45PM, i.e., 15 minutes before the market closes. See
> captures of my real-time scan at that time below. The results at about 3:45
> PM market time are scary! At better times it is usually 1-3 seconds.
>
> I'd like to know what your data latency is. Below is some test code that you
> can rework into a loop for your own system.
>
> Data latency at 3:45 PM:
> <int_1.jpg> <int_2.jpg>
>
> function TimeNumToSeconds( TN )
> {
> Seconds = int( TN % 100 );
> Minutes = int( TN / 100 % 100 );
> Hours = int( TN / 10000 % 100 );
> SecondNum = int( Hours * 3600 + Minutes * 60 + Seconds );
> return SecondNum;
> }
>
> RequestTimedRefresh( 1 );
> Now4 = Now( 4 );
> UpdateTime = StrToNum( "" + GetRTData( "UpdateTime" ) );
> UpdateSeconds = TimeNumtoseconds( UpdateTime );
> Now4Seconds = TimeNumToSeconds( Now4 );
>
> if ( UpdateSeconds >= 0 ) Latency = Now4Seconds - UpdateSeconds;
> else Latency = Null;
>
> if ( Latency >= 0 ) LatencyStr = NumToStr( Latency, 1.0, False );
> else LatencyStr = "-";
>
> Title = "Data latency: " + LatencyStr + " Sec.";
>
> <int_1.jpg><int_2.jpg>
>
>
>
>
>
