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Direct MessagesDate/Time: Fri, 17 May 2024 19:10:05 +0000
Post From: 30 second Data drops with both CQG & AMP, + 2 different ISP's - for two months now.
| [2019-01-05 02:31:24] |
| TraderTen - Posts: 80 |
|
Ged, this is very interesting; I believe I will try this on Sunday/Monday when markets open. Also, I have had more insight into my situation with the same problem. I monitored my two PCs that I run the trading account off of, which has Sierra Exchange data, and AMP/CQG for trading platform, and Sierra Chart Exchange data. If you look back on this thread you will see that SC is not a fan of CQG (as well as other providers, in other instances). They are also routinely critical of how much these data platforms charge for their services (including the exchanges). With this issue, I believe we should, like investigators do, and that is start with the hypothesis of 'who benefits' from these outages, since they absolutely recur throughout the trading day? My first take on that is the data providers (only to the extent that they may get execution/activity fees. The others would be primarily brokers and exchanges who would be possible beneficiaries of anomalies such as this, which could cause the transaction activity to increase. Though for the exchanges to fiddle with the stream would mean they have to split it off at some point, and give the 'retail side the junk data (meaning dropped data). That would be hard to believe, but not impossible to do. In fact, the HFT boys would love to have some of their competition slammed with corrupted data. Therefore, among the possible winners would be brokers and exchanges, as well as HFT firms. In the end, our job is not to assign responsibility, but rather to find the solution, or simple avoid trading in such an environment altogether. After all, this kind of hurdle reduces the odds of making money under such a handicap. Anyway, enough of that digression, here is what I discovered in the last day. After monitoring both trading PCs, it turns out that #A1 has at least 3x more data loss-incidences than PC #A3. Furthermore, I have a non-trading PC (#A2) [all are Windows machines], with Sierra Historical data for many years (I believe it is Barchart data). On this PC, I monitor Bitcoin a lot (BTC) from Bitfinex, which runs 24/7. And while a few hours is not as robust as the other Daily, multi-hour instances, it turns out that so far, there has not been one instances in the Data Log that would indicate any instance of recovery from data interruptions. Furthermore, I have watched the live BTC chart and log while doing other tasks, and no anomalies have occurred in two hours. Whereas, in two hours of data on the other instances with the futures data, there would be at lease four and sometimes a lot more, within an hours time. Thus, it would seem that BTC, might be a trading option, if we can not solve the freeze/drop data issue. Frankly, I am watching one of my charts with a 1 range bar setting on BTC, and it trades as sweet as any futures contract I have traded. Meaning that it should be easy to trade. If you know anything about BTC, maybe you can tell me what the tick value is in this latest excursion of 5+ minutes: High: 3996, Low: 3979, High: 3994. The total gain if you entered and exited as above would be: 32 ticks or points, what ever they are called. Any idea what that would be in dollars? And in the last 11 minutes the ticks when up by +14. Let me know if you have any thoughts on this, Ged. Bill |