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Direct MessagesDate/Time: Tue, 16 Apr 2024 18:05:54 +0000
Post From: Sierra users, how good is your data feed?
| [2020-01-17 19:11:46] |
| JM-JO - Posts: 38 |
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Hi T44, thanks for your feedback. Alas I cannot see the 3 files you have uploaded, you need to set them "Public". My minimum latency on both CME products was 98. Yet my minimum latency to Chicago at https://www.netmeter.co.uk/ping-test/ (Chicago (United States) - VULTR.net) is reported at 110ms.
Those numbers seem pretty fine to me. The ping (110ms) is a round trip, so you can expect a 110/2=55ms latency at best, which seems consistent with 98ms.As I understand, the feed is timestamped only to the second, so we'd have to take the minimum latency from the delta you calculate? e.g. if your true latency is 50 millisecond and a trade happens at 500ms past the second you'll receive it at 550 and your "delta" will say 550?
Yes and yes.The study I share will not tell the latency precisely, but by observing hundreds of seconds, you will get the feeling of what is happening : 1° an estimate of your latency, 2° an estimate of the stability of the latency when the market turns volatile. The interesting ticks are the first one in the second, and the last one in the second. When you get 1000 ticks per second (SP500 future with a bit of volatility for instance) and the delta says "400" then you know you have a delay of 400ms. Same here if the last tick of the second has a delta of 1400, the latency is about 400ms. When volatility is low (say 3 ticks per second), the first tick only tells the max value of the latency, and the last tick only tells the min value of the latency. Date Time Of Last Edit: 2020-01-17 19:18:06
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