Support Board

Date/Time: Sun, 19 May 2024 06:11:28 +0000

Post From: Bracket order and OCO order between Lmax and Sierra

[2018-09-02 09:11:32] Link To Thread - Link To Post [Go To First Post]
gomifromparis - Posts: 244
Who knows, maybe they're like Sierra and support guys are also in the engineering team. :-) Yes, you can reduce latency in the platform, but can't reduce physical distance, so if you're at 200 ms of the Exchange, there's still a possibility that you flatten a position already closed 200ms before by the target profit, creating a naked position. Also, I had a quick look on the Disruptor, its speed is not about not using locks, it's about not using java locks. They use internal CPU registers as locks and atomic CPU instructions see http://lmax-exchange.github.io/disruptor/files/Disruptor-1.0.pdf Finally, it seems there is already a flag in DTC to indicate the close of a position, it's OpenOrClose. I think I did some tests using it but if I recall it seemed to not be set by Sierra. So I had to do my own flagging (if current position long and we get a short, we're actually trying to close a position.) Having the flag set by Sierra in a sure manner would be helpful. Thanks Date Time Of Last Edit: 2018-09-02 10:44:39