Latency problem from Europe to USA
- Thread starter billyfoe
- Start date
How should PocketChange's statement not be true?
The 6 updates per second on IB feed are a fact and not disputed. (Sometimes you can get better values but you can never be sure.)
6 updates per second (=1000ms) -> 1000/6 = 166.6 ms time between updates
That means: If you get a price change right after receiving the last quote from IB you will get notice of it more than 150 ms later.
This is a worst case computation.
Though in times were there are lots of changes in short time periods (which occur many times in a single trading day on DAX) it will happen regularly.
Actually it is not only data lag but data loss if price changes multiple times within the snapshot delivery period.
Incorrect !
Because we are talking here about Lag! Lag defined as history. (thiink about this very hard before you reply...).
In your example you simply do not receive the quote from 150ms ago at all. If you did, then yes that would be Lag, but you don't!
You simply get a foto-picture each 166ms of that current situation, and this photo-picture doesn't have any Lag as it is the current picture. Therafter you don't get ANY quotes for the next 165ms before you get a next photo-picture of the THEN current situation.
So you don't get history nor Lag, you simply don't get all quotes like a streaming-data-provider.
In other words:
a) Snapshotting doesn't Lag, not even at times of high volatile newsbreaks (because sending pictures to hundreds of thousands clients doesn't jam resources).
b) Snapshotting is suitable for fast-trading but not for charting (for that use a streaming-data-provider, which lags but offers all quotes).
Needles to say: but of course I would like to have a faster snapshotting-frequency as well.
Sadly not...
For what I know: Connecting TWS to another Server, will log you in, but will re-direct your trading-IP to the Server where your account is situated (trading is validated against your Account-server).
Maybe (I don't know for sure) the extended-login Server will manage other (faster) connections to MarketData-Servers.
You have to ask IB, to change your Account-server to another place on the Globe. (I know that some Asian clients have switched to USA-servers).
30 sec total time for placing and canceling 100 sequential orders. Using your 140ms figure x 100 placed orders x 100 canceled orders = 28 seconds. Obviously this is just the data transport time estimate missing time to process the data packets.
In real life transport sending data in anyone direction is approx 1/2 your ping time so the sequence would look something like:
Trader - Release Order: <1ms
Issue Local Order #
Send order Instructions
Data Transport to broker: 1/2 ping rate ~ 70ms
Broker: ~ 3ms
Process Order
Credit Check
Release order to Exchange
Data Transport Broker to Exchange: <1ms
Exchange: ~ 3ms
Receive & Process Order
Send Status Update:
Data Transport Exchange to Broker: < 1ms
Broker Log & Process Order Status Message: <1ms
Data Transport Broker to Trader: 1/2 ping rate ~ 70ms
Trader: Log & Process Order Status Message: <1ms.
Repeat Sequence to Cancel Order
In real life transport sending data in anyone direction is approx 1/2 your ping time so the sequence would look something like:
Trader - Release Order: <1ms
Issue Local Order #
Send order Instructions
Data Transport to broker: 1/2 ping rate ~ 70ms
Broker: ~ 3ms
Process Order
Credit Check
Release order to Exchange
Data Transport Broker to Exchange: <1ms
Exchange: ~ 3ms
Receive & Process Order
Send Status Update:
Data Transport Exchange to Broker: < 1ms
Broker Log & Process Order Status Message: <1ms
Data Transport Broker to Trader: 1/2 ping rate ~ 70ms
Trader: Log & Process Order Status Message: <1ms.
Repeat Sequence to Cancel Order