Re: event when a stock reaches a certain price
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JR,
You must have 8 market depth level 2 subscriptions.
I seem to have 6 subscriptions and can pull 6 full book depth level 2 but if I use?TickByTickBidAsk?that also counts towards marketdepthlevel2. Do you see the same?
By "That is *all available market data for ~75 contracts" I think you mean partial data as you do not get market depth level 2 for all 75.
What you mean by "I ask for five and most of the days I get five"? Some days you intentionally dont ask for five or something is not available on some days or not worth pulling based on your strategies?
Sounds like you have a good system running. I am interested to know how you store all this streaming data or if you do not see a point in storing it?
- Bruce
Can you be more specific what you consider huge? Did you buy quote boosters so that you can subscribe to more than 100 contracts?
From what you are doing, I'd say you'd only need to subscribe to monitor the Last Price and Last Size ticks. So you would look at roughly 4 - 5 call backs per contract per second.
You might want to review your approach and code. I am subscribing to a pretty massive amount of data (process and log them in a Json format) and my server does not break a sweat. And it's a very small server for today's standards. Just to give you some idea:
- The total volume is between 30million and 60million ticks per day and sometimes more than 1,000 callbacks per second for busy days
- That is all available market data for ~75 contracts
- Plus TickByTickLast and TickByTickBidAsk for five contracts (yes five. I ask for five and most of the days get five)
- Plus Level II for three contracts
We use the standard Java API..
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On Wed, Mar 17, 2021 at 03:54 PM, corneliu maftuleac wrote:
Hi,
I am trying to monitor a list of tickers (lets say the list is big).
I want to know when one of the tickers reaches a certain price. The target price is generated by an algo so it's not just a %-change.
I tried subscribing to realtime data to all of the instruments but this generates HUGE amount of network traffic to the point that my code is not really able to process all of the events.
Is this possible to do with scanner subscriptions?
I dont find where I can specify that scanner subscriptions to work only with a specific ticker or a list of tickers.
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