Re: Timestamp for streaming market data and tick by tick?
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Hi JR,
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Thanks for the feedback. I think tick-by-tick is a misnomer for what they send as tick-by-tick. They *may be sending all data but bunching them with a single time stamp negates the idea of tick by tick. I think a true tick by tick should be price, sell or buy, and exact timestamp. A) You 3.5ms for your trading system in the cloud to receive things. I am assuming you have done a ping test and see your cloud server being 3.5ms away from one of the data servers. I wonder how much time is also wasted with type of data sent (due to not be FIX; if FIX is more efficient), and also if FIX requests are given priority over the regualar API requests. Can you comment on that? B) At the bottom of the page you linked for limitations of market depth level 2, I see this chart which I don't understand. Would you know to explain please? I get that one need booster quotes and I sort of think they allow 60 lines (i.e. 10 rows per security = 6 securities like 6 forex pairs) to come through. And then with each booster quote one can get 1 or 3 more securities added which is maybe 10 more lines or 30 more lines (forgot the exact amount). I do not understand the chart they are showing. Can you or anyone explain this table please? C) FIX allows only for order placement and not real-time streaming data. And for streaming data one has to again use TWS or IB Gateway? D) Can someone speak of the FIX order placement speed in milli or micro seconds? and also overall general speed advantage over the API? Thanks, On Mon, Feb 1, 2021 at 02:01 PM, JR wrote:
#2 - The TBT time stamp has a resolution of one second as ds-avatar said. It appears (but I can't point to documentation) that the time stamp denotes the beginning of the second. Just as if ms, us, ns, ... are 0. In other words, no rounding takes place. |