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Direct MessagesDate/Time: Wed, 08 May 2024 22:39:33 +0000
Post From: Missing intraday stock data using SC Exchange Data Feed with real time U.S. Equities
| [2020-08-27 17:40:30] |
| User975023 - Posts: 18 |
|
I tested out the latest version of SC with your SC Data Feed. It seems to be working pretty well. I have compared against IQ Feed in second instance of SC, and Thinkorswim, and so far I have seen the following issues: 1. There still appears to be a slight difference in timestamps with the SC data feed that causes some ticks to be included in the wrong bar. It looks like all the data is making it into the charts, but your time and sales is reporting the wrong timestamps - yours are rounded to some strange values that look like a combination of a rounded decimal value and a counter (i.e. 11:29:07.000000, 11:29:07.000001, 11:29:07.000002, 11:29:07.250000, 11:29:07.250001, 11:29:07.250002). Most of the ticks make it into the correct 1 second bar, except maybe 3% of the time ticks that have actual fraction of a seconds like x.9xxxxx in IQFeed get bumped into the following second. Just as a point of reference, when testing 1 minute candles the SC using IQFeed matches what TOS is drawing, so this suggests that the SC Feed is off. 2. It seems like the SC data feed is slightly slower than the IQ Feed. This might not matter to some people, but I'm looking to scalp hot stocks at the market open, so this is very important to me. I have both instances of SC set to 10 ms update interval, and the SC instance that is using IQ Feed updates as fast as 17 to 50 ms (I recorded video at 60fps, so there might be some variance here.) While the SC data feed appears to be updating around 217 to 267 ms. 3. I also experienced some pauses that lasted several seconds in both data feeds this morning. The tape on the stock I was watching was going really fast, so that might explain why things choked up. I also had both SC instances running since the prior day. I plan on retesting this tomorrow after a fresh reboot to ensure that the pauses aren't a regular thing on the market open. Hopefully we can get these issues resolved and then there would be no reason for me to use IQFeed. Thanks for all your hard work! |
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