On Wed, Aug 19, 2009 at 10:53 PM, nonlinear5 <[email protected]>wrote:
> > Here are a couple of ideas that I have to improve the multi-user > consistency: > > 1. Instead of the midpoint depth balance, use a 1-second average (or > an exponential average) of the depth balance. > Averaging can alleviate the discrepancy. I have tested with RAW data last year applying artificial time delay of hundreds of milliseconds. The results showed that averaging has better consistency than high-low method. > > 2. Instead of using the PC clock, obtain the atomic time from a time > server (such as the US Naval Observatory time server), and trigger > depth balance sampling based on the changes in that atomic clock. This > would involve continuous polling of the time server, multiple times > per second. This is easy to do in Java, but it may not be reliable, as > the server may go down. The server may also deny service, if the > requests are deemed to be too frequent. > This probably is not going to help. IB wouldn't send you exactly the same data at exactly the same time. I have compared data collected from two computers and found that the data sequences are correct most of the time, but the updates were truncated randomly. So if you use any time-based averaging method, you are not going to get perfect synchronized. You probably can get perfect synchronized with event-based averaging method, such as averaging every update, or start a new averaging sequence after some identifiable events, such as the change of best bid/ask. > > If you have any other ideas, feel free to share with the group. > > > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
