Market data lag
- Thread starter topdog
- Start date
With futures it is instantaneous on the CME with CQG data feed. Does that answer your question?
NorgateData
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Lag is always present. Every trade/quote has a timestamp associated with it. If you compare that with when you actually receive it, that will give you the lag (make sure you have a good NTP time source to sync to, of course).
Firstly, there is the lag from an event (trade/quote) being initiated and when it is reported by the exchange's equipment (SIAC/SIP etc.).
From there, there's the actual transmission delay to the first consumer of the data.
If you have hardware co-located at an exchange's data center, it's measured in nanoseconds, plus processing time on your hardware (and software, if applicable).
If you use a data vendor, they're the ones with hardware typically located in an exchange which takes the raw data and sends it to other systems at the data vendor for dissemination to clients.
For institutional-level realtime feeds, you can expect a handful of milliseconds.
As you move down the chain to retail level realtime feeds, you should expect a few hundred milliseconds.
Finally, there's the connectivity lag (Internet or dedicated link) from the data vendor to your system and processing time on your system.
In short, you should ask your data vendor - they should be answer a simple question like this, and give you expectations of the lag involved, especially at key times like market open and close.
Firstly, there is the lag from an event (trade/quote) being initiated and when it is reported by the exchange's equipment (SIAC/SIP etc.).
From there, there's the actual transmission delay to the first consumer of the data.
If you have hardware co-located at an exchange's data center, it's measured in nanoseconds, plus processing time on your hardware (and software, if applicable).
If you use a data vendor, they're the ones with hardware typically located in an exchange which takes the raw data and sends it to other systems at the data vendor for dissemination to clients.
For institutional-level realtime feeds, you can expect a handful of milliseconds.
As you move down the chain to retail level realtime feeds, you should expect a few hundred milliseconds.
Finally, there's the connectivity lag (Internet or dedicated link) from the data vendor to your system and processing time on your system.
In short, you should ask your data vendor - they should be answer a simple question like this, and give you expectations of the lag involved, especially at key times like market open and close.
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It seems like no one can answer this question.
It is a very simple solution.
you need to have at least two trading platforms,
at least 2 brokers,
and at least 2 charting software.
then you will know which gives a lousy data feed.
don't ever ever ever ask the data vendor / broker / charting s/w provider
about the data feed problem.
because they will say that their data feed is excellent / very good.
and they will blame your lousy computer / internet speed.
believe me; there are some very lousy
trading platform/broker/charting software that gives horrific data feed.
and if you want very high-quality data feed,
you have to rent a desk in the trading house,
have a high-speed trading platform etc etc
It will cost > $2k / month.
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It's pretty easy to see if you have lag. Here, try this vid.
You have to set it at 0.6 or so speed to get the best approximation of real-time speed, due to a recording artifact error in the compression. Otherwise it moves too fast.
@topdog Where is the real market data lag there, man?
The "lag" is simply figured out with a tracert on your command prompt. I didn't realize you are drilling down into that much detail.
The question was how do you check your data lag.
After reading some of your answers I came into this conclusion.
So the simple answer to my question if "there is no way" until you colocate your h/w and compare the delta times between exchange generated time stamps and your h/w clock.
Depends on your feed. Most feeds provide a timestamp on the tick, sometimes with a precision of 1/1000th of a second, with the timestamp coming from the exchange.
If your feed is like that, sync your time as much as you can with a known precise time source, then compare the timestamp of the trade with the synced time on your computer. The difference is the lag.
If your feed is like that, sync your time as much as you can with a known precise time source, then compare the timestamp of the trade with the synced time on your computer. The difference is the lag.