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Direct MessagesDate/Time: Sat, 18 May 2024 14:44:34 +0000
Post From: Sierra tick statistics - seconds with no data
| [2017-09-26 20:04:55] |
| Merlin - Posts: 81 |
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Today the problem seems to have gotten worse. Please take a look at this chart from this morning: http://www.sierrachart.com/image.php?Image=1506453751959.png This chart is pretty typical of the whole day. It was during a relatively high-volume period when the NQ market was making a sharp move - it wasn't a low-activity period. For the 2-minutes from 10:58:00 to 11:00:00 (NY time), 56 out of 120 seconds - just below half - show no data. This is way more than I was seeing yesterday or in previous days. There are many cases where 2 seconds in a row show no data. And these seem to bunch together. For example, in the 10 seconds from 10:59:02 to 10:59:11, there are only 3 seconds with tick data - 70% of the seconds are empty. This is significantly worse than yesterday's behavior, as you can see by comparing the charts from my post #1 to today's chart. And, again, empty seconds like this were quite rare before the problem began on September 5. I've also noticed now that, for all the cases I've checked, a second that has no TICK-NASDAQ data transmitted, also has no TICK-NQ data transmitted. The empty seconds are consistent across the two statistics. Up until now I've been very pleased with the quality of Sierra's market statistics. I've viewed them as a competitive advantage. My trading method makes extensive use of tick levels, tick extremes, and tick/price divergences. Although my main charts are all number-of-trades charts, I also watch a 1-second chart showing NQ with TICK-NQ and TICK-NASDAQ, specifically to see early warnings of these sorts of conditions - which is how I first noticed this new behavior. So yes, it could be a datafeed problem - but it could also be a subtle problem with the logic on your server that is deciding when to send out each update. Who knows, it could even be a hardware issue on that server, or on its network connection. (Here's another idea - perhaps some other process is pegging the cpu on the market statistics server, causing a series of updates that actually occurred in a previous second or two to be bunched together into a single second.) In any case, I do think this is a serious issue that requires further investigation. Thanks, and best regards, Merlin Date Time Of Last Edit: 2017-09-26 20:21:05
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